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Comment — The Capital Growth Model: An Empirical Investigation
Published online by Cambridge University Press: 19 October 2009
Extract
Since this comment should be primarily addressed to Professors Bicksler's and Thorp's own research and results, I will not consider those pages that contain the authors' interpretation of prior studies.
Professors Bicksler and Thorp study the short-run properties of the optimal growth model via Monte Carlo simulation. This is an interesting idea because of the mathematical difficulty of the problem.
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- Copyright © School of Business Administration, University of Washington 1973
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1 This information, which is not in the paper, was given to me by Professor Thorp.
2 At the meetings I mentioned that a quick calculation had shown that conclusion 5 was wrong (and hence that 2 was correct) for the case of the uniform distribution. Most of the participants did not believe the result. I checked the calculation and I must confess that I was wrong and that the intuition of the participants was correct. God bless intuition!
In the appendix I include the derivation of the equation for λ*. It is interesting to notice that λ* is fairly sensitive to changes in r, e.g., for r = 0, λ* = 3.59, bu for r = 0.05, λ* = 2.81.