011: Ralph Vince talks position sizing, the different applications of optimalf, trading horizon, diversification and his changing views over 25 years.
Better System Trader
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How to Maximize Expected Growth in a Coin Toss Game
An optimal fisy is a fraction of unaccount, let say, to expose to risk such that one would maximise their expected geometric growth. When i say it's the point that maximizes growth, it implies that there's a curve, and it would be the high point of the curve. And if we're to quit at an infinite number of plays, it converges aetotically to thi peak of this curve, point two five. That's only true as the number of periods, or the number of plays,. approaches infinity.
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