6 ms·
I took a similar approach where I defined "ruin" as losing more than half my money and set a target "probability of ruin" for 5%. With a specific set of paramet
by demopathos 5y ago
I took a similar approach where I defined "ruin" as losing more than half my money and set a target "probability of ruin" for 5%. With a specific set of parameters I think this ends up being very similar to the maximize the median approach.