Search found 7612 matches

by tadamsmar
Wed Jan 17, 2018 1:06 pm
Forum: Investing - Theory, News & General
Topic: Maximizing Portfolio Growth Rate - Kelly Criterion - Empirical Market Data
Replies: 44
Views: 3477

Re: Maximizing Portfolio Growth Rate - Kelly Criterion - Empirical Market Data

There's some discussion of fractional Kelly here: http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.225.4036&rep=rep1&type=pdf The authors (including Thorp) discuss the relative advantages. One application of fractional Kelly is when you don't trust you win probability estimate. You might thi...
by tadamsmar
Tue Jan 16, 2018 6:48 pm
Forum: Investing - Theory, News & General
Topic: Maximizing Portfolio Growth Rate - Kelly Criterion - Empirical Market Data
Replies: 44
Views: 3477

Re: Maximizing Portfolio Growth Rate - Kelly Criterion - Empirical Market Data

I don't know how I ended up being the champion of the Kelly criterion .... I don't leverage and probably never would .... If you look at the expectation to be maximized: E[log(1+fS)] where S is the return over the riskless rate (note that I used a different formula that I derived since I wanted to ...
by tadamsmar
Tue Jan 16, 2018 2:51 pm
Forum: Investing - Theory, News & General
Topic: Maximizing Portfolio Growth Rate - Kelly Criterion - Empirical Market Data
Replies: 44
Views: 3477

Re: Maximizing Portfolio Growth Rate - Kelly Criterion - Empirical Market Data

There are various examples that present problems for the Kelly Criterion. Turns out most of us don't attempt to assure against every remote possibility that can wipe out our wealth. Those that try to do that seem a bit nutty. Under the Kelly Criterion we are being reckless, the low probability even...
by tadamsmar
Mon Jan 15, 2018 2:36 pm
Forum: Investing - Theory, News & General
Topic: Maximizing Portfolio Growth Rate - Kelly Criterion - Empirical Market Data
Replies: 44
Views: 3477

Re: Maximizing Portfolio Growth Rate - Kelly Criterion - Empirical Market Data

There are various examples that present problems for the Kelly Criterion. Turns out most of us don't attempt to assure against every remote possibility that can wipe out our wealth. Those that try to do that seem a bit nutty. Under the Kelly Criterion we are being reckless, the low probability even...
by tadamsmar
Mon Jan 15, 2018 10:06 am
Forum: Investing - Theory, News & General
Topic: Maximizing Portfolio Growth Rate - Kelly Criterion - Empirical Market Data
Replies: 44
Views: 3477

Re: Maximizing Portfolio Growth Rate - Kelly Criterion - Empirical Market Data

There are various examples that present problems for the Kelly Criterion. Turns out most of us don't attempt to assure against every remote possibility that can wipe out our wealth. Those that try to do that seem a bit nutty. Under the Kelly Criterion we are being reckless, the low probability event...
by tadamsmar
Sat Jan 13, 2018 11:37 am
Forum: Investing - Theory, News & General
Topic: Maximizing Portfolio Growth Rate - Kelly Criterion - Empirical Market Data
Replies: 44
Views: 3477

Re: Maximizing Portfolio Growth Rate - Kelly Criterion - Empirical Market Data

Here's an analysis by Thorp himself that supports 117% investment in the S&p 500: http://finance.martinsewell.com/money-management/RotandoThorp1992.pdf That's assuming that you can borrow at the T-Bill rate. Note that half-Kelly would be 58.5% in equities. Given that the "win probabilities" in the s...
by tadamsmar
Sat Jan 13, 2018 11:08 am
Forum: Investing - Theory, News & General
Topic: Maximizing Portfolio Growth Rate - Kelly Criterion - Empirical Market Data
Replies: 44
Views: 3477

Re: Maximizing Portfolio Growth Rate - Kelly Criterion - Empirical Market Data

This paper: https://sites.math.washington.edu/~morrow/336_16/2016papers/nikhil.pdf calcualated: f∗ =(.058−.029)/.2162 ^2 ≈ .62 .058 = historical market real return .2162 = historical market standard deviation .029 = treasury (risk free) rate. Implies to invest 62% in stocks (SP500) Yes ... Kelly do...
by tadamsmar
Fri Jan 12, 2018 10:56 am
Forum: Investing - Theory, News & General
Topic: Maximizing Portfolio Growth Rate - Kelly Criterion - Empirical Market Data
Replies: 44
Views: 3477

Re: Maximizing Portfolio Growth Rate - Kelly Criterion - Empirical Market Data

This paper:

https://sites.math.washington.edu/~morr ... nikhil.pdf

calcualated:

f∗ =(.058−.029)/.2162 ≈ .62

.058 = historical market real return
.2162 = historical market standard deviation
.029 = treasury (risk free) rate.

Implies to invest 62% in stocks (SP500)
by tadamsmar
Sun Jan 07, 2018 5:44 pm
Forum: Personal Finance (Not Investing)
Topic: Please Post Tax Bill Questions Here [was Tax Bill Omnibus Thread]
Replies: 886
Views: 57960

Re: Tax Bill Omnibus Thread

I imagine that lots of us will want to precisely estimate our taxes in advance in the future. It will be necessary with Roth recharacterization after 12/31 going away. If you have a solo 401K then you can fund a Roth up to tax day of the next year. That allows some wiggle room. I believe Roth IRA c...
by tadamsmar
Sun Jan 07, 2018 5:32 pm
Forum: Investing - Theory, News & General
Topic: CAPE Fear: Why CAPE Naysayers Are Wrong
Replies: 125
Views: 11194

Re: CAPE Fear: Why CAPE Naysayers Are Wrong

Still, even if the future were to replicate the past, returns for the next 10 years could be anywhere between -1.38% and 12.07%. Most of the prior 10 year returns with a high CAPE have been between 2% and 7% though. I seem to recall that high CAPE is also an indicator that long term bond returns wi...
by tadamsmar
Fri Jan 05, 2018 1:48 pm
Forum: Personal Consumer Issues
Topic: Chip architecture vulnerability in pretty much everthing
Replies: 106
Views: 7253

Re: Chip architecture vulnerability in pretty much everthing

One of the principle behind "good" guys finding this type of issues and reporting this privately to the "powers to be" is that the vulnerability is publicly disclosed only after the patch has been in place for a while. From reading the current news, it seems as if the patches have not been yet wide...
by tadamsmar
Fri Jan 05, 2018 1:45 pm
Forum: Personal Consumer Issues
Topic: Chip architecture vulnerability in pretty much everthing
Replies: 106
Views: 7253

Re: Chip architecture vulnerability in pretty much everthing

A exploit requires gaining access to your computer. But Javascript (for instance) running in a browser has access. If javascript is disabled, what next could the attackers use to access the cache? This is primarily a rhetorical question because those of use who routinely turn off javascript, must t...
by tadamsmar
Fri Jan 05, 2018 11:58 am
Forum: Personal Consumer Issues
Topic: Chip architecture vulnerability in pretty much everthing
Replies: 106
Views: 7253

Re: Chip architecture vulnerability in pretty much everthing

The technical side of this is beyond me for now. One question I have is what this means for data that is internal to a VM on a Windows host and in particular, data that is provided to a browser for log-in such as password or other credentials? Is that data exposed here? My understanding is that the...
by tadamsmar
Fri Jan 05, 2018 11:05 am
Forum: Investing - Theory, News & General
Topic: REGISTRATION FOR 2018 BOGLEHEAD CONTEST
Replies: 154
Views: 11099

Re: REGISTRATION FOR 2018 BOGLEHEAD CONTEST

The new interface allows a real-time look at the contest entries by looking at the spreadsheet: https://docs.google.com/spreadsheets/d/19-5aO8g6xePwdCdE5boerLE7uP1d31B6tenbGYOwmfI/edit#gid=451082556 I was thinking about writing a spreadsheet analyzer that would tell you the next best pick given the ...
by tadamsmar
Fri Jan 05, 2018 7:57 am
Forum: Personal Consumer Issues
Topic: Chip architecture vulnerability in pretty much everthing
Replies: 106
Views: 7253

Re: Chip architecture vulnerability in pretty much everthing

Cert has backed down on recommending CPU replacement. But the researcher who discovered the Meltdown flaw says otherwise: On the change in recommendation from CERT, Gruss said, however, that there were no replacements yet that could address the flaws in processors that he and other researchers have ...
by tadamsmar
Fri Jan 05, 2018 6:50 am
Forum: Personal Consumer Issues
Topic: Chip architecture vulnerability in pretty much everthing
Replies: 106
Views: 7253

Re: Chip architecture vulnerability in pretty much everthing

That’s why I suggested a chromebook with a limited attack surface (vs a full PC OS) using a PC VM hosted in the cloud without the chip-based vulnerability. https://www.google.com/amp/s/www.cnbc.com/amp/2018/01/03/microsoft-google-respond-to-intel-chip-vulnerability.html Cloud VMs hosted on Linux-ba...
by tadamsmar
Thu Jan 04, 2018 2:56 pm
Forum: Personal Consumer Issues
Topic: Chip architecture vulnerability in pretty much everthing
Replies: 106
Views: 7253

Re: Chip architecture vulnerability in pretty much everthing

People need to check that their anti-virus software is compatible with the Windows upgrades related to the vulnerability. Here's a spreadsheet that provides some info: https://docs.google.com/spreadsheets/d/184wcDt9I9TUNFFbsAVLpzAtckQxYiuirADzf3cL42FQ/htmlview?sle=true#gid=0 Not sure what the sympto...
by tadamsmar
Thu Jan 04, 2018 2:43 pm
Forum: Personal Consumer Issues
Topic: Chip architecture vulnerability in pretty much everthing
Replies: 106
Views: 7253

Re: Chip architecture vulnerability in pretty much everthing

That’s why I suggested a chromebook with a limited attack surface (vs a full PC OS) using a PC VM hosted in the cloud without the chip-based vulnerability. https://www.google.com/amp/s/www.cnbc.com/amp/2018/01/03/microsoft-google-respond-to-intel-chip-vulnerability.html Huh? This hits Intel x86, no...
by tadamsmar
Thu Jan 04, 2018 8:16 am
Forum: Personal Consumer Issues
Topic: Car headlights or Daytime Running Lights - what do you do?
Replies: 62
Views: 4195

Re: Car headlights or Daytime Running Lights - what do you do?

Doesn't make sense to me that daytime running lights on cars would cause more motorcycle accidents. "These results support the Fleet DRL Hypothesis for urban roadways, that widespread use of DRL in the vehicle fleet increases the relative crash risk for certain types of motorcycles crashes. This co...
by tadamsmar
Thu Jan 04, 2018 2:08 am
Forum: Personal Consumer Issues
Topic: Chip architecture vulnerability in pretty much everthing
Replies: 106
Views: 7253

Re: Chip architecture vulnerability in pretty much everthing

Reports of a post-fix 30% reduction in computer performance. But Intel seems to be saying that is only for certain applications.
by tadamsmar
Thu Jan 04, 2018 1:55 am
Forum: Personal Consumer Issues
Topic: Chip architecture vulnerability in pretty much everthing
Replies: 106
Views: 7253

Chip architecture vulnerability in pretty much everthing

I find it hard to get my head around this story. Pretty much everything is vulnerable. It is uncertain if there have been any exploits by hackers. Reports seem to indicate that Microsoft issued a patch today, but reports say that other driver patches may be needed. And maybe it is not fully patchabl...
by tadamsmar
Tue Jan 02, 2018 4:16 pm
Forum: Personal Consumer Issues
Topic: Car headlights or Daytime Running Lights - what do you do?
Replies: 62
Views: 4195

Re: Car headlights or Daytime Running Lights - what do you do?

DRLs are standard on all General Motors, Honda, Subaru, Volkswagen and Volvo models. Other manufacturers also offer daytime running lights on certain models. Retrofit kits can be purchased for vehicles that didn't come with DRLs. http://www.iihs.org/iihs/topics/t/headlights/qanda But, there are ple...
by tadamsmar
Tue Jan 02, 2018 4:11 pm
Forum: Personal Consumer Issues
Topic: Car headlights or Daytime Running Lights - what do you do?
Replies: 62
Views: 4195

Re: Car headlights or Daytime Running Lights - what do you do?

How effective are DRLs? Nearly all published reports indicate DRLs reduce multiple-vehicle daytime crashes. A 1985 Institute study determined that commercial fleet passenger vehicles modified to operate with DRLs were involved in 7 percent fewer daytime multiple-vehicle crashes than similar vehicle...
by tadamsmar
Mon Jan 01, 2018 2:18 pm
Forum: Personal Consumer Issues
Topic: Car headlights or Daytime Running Lights - what do you do?
Replies: 62
Views: 4195

Re: Car headlights or Daytime Running Lights - what do you do?

DRL on automatically on my car. I wish other cars had this setting, too. There might be studies showing that they're ineffective, but living in the outer boroughs of NYC, it's a huge help when other cars are running with DRL/headlights on smaller streets- you can see the reflection off of parked ca...
by tadamsmar
Sun Dec 31, 2017 10:18 am
Forum: Investing - Help with Personal Investments
Topic: LifeStrategy Income Fund - Only 20% stocks?
Replies: 20
Views: 2407

Re: LifeStrategy Income Fund - Only 20% stocks?

As a point of comparison, the TSP target date funds drop to 20/80 at their target date. Perhaps with a government pension, the managers determined that 20/80 was sufficient. The Vanguard target date funds are 50/50 at their target date and don't reach 30/70 until 7 years after the target date. That...
by tadamsmar
Sat Dec 30, 2017 7:43 pm
Forum: Personal Consumer Issues
Topic: manual car for new teen driver
Replies: 143
Views: 7725

Re: manual car for new teen driver

1990?

The OP is going to get ESC. He will probably get traction control if he got a Tacoma since it's standard since at least 2012. It will handle well in the snow.

Welcome to the future.
by tadamsmar
Sat Dec 30, 2017 12:59 pm
Forum: Personal Consumer Issues
Topic: NC or SC beach area summer rentals for big group
Replies: 19
Views: 1169

Re: NC or SC beach area summer rentals for big group

Hi all, Looking for some advice from the locals or folks who have had good experiences. My family and friend couples (all with kids between 2-6 years old) approximately 18-20 folks total are looking to rent a summer place for a week somewhere in SC or NC for 2018. We are looking for some beach acti...
by tadamsmar
Sat Dec 30, 2017 10:46 am
Forum: Investing - Theory, News & General
Topic: What the experts say about Bitcoins?
Replies: 114
Views: 8746

Re: What the experts say about Bitcoins?

The current issue of Scientific American has a number of good articles on crypto-currencies and bitcoin: This explainer about blockchains is free: https://www.scientificamerican.com/sciam/assets/Image/bitcoin-explained_REV%20(1A).jpg The rest is paywalled: https://www.scientificamerican.com/report/t...
by tadamsmar
Wed Dec 27, 2017 9:52 pm
Forum: Personal Consumer Issues
Topic: manual car for new teen driver
Replies: 143
Views: 7725

Re: manual car for new teen driver

Looking at the "big picture", percentages are not as meaningful when overall occurrences of death are very low. The curb weight is probably more meaningful than all the crash test ratings and optional safety features since the 2012 model year combined. So, if you ignore curb weight then you can ign...
by tadamsmar
Wed Dec 27, 2017 3:46 pm
Forum: Personal Consumer Issues
Topic: manual car for new teen driver
Replies: 143
Views: 7725

Re: manual car for new teen driver

That super gigantic graphic cherry picks the data. It only uses multi-vehicle crashes and ignores single vehicle and single vehicle rollovers. Pickups do terrible in both those categories, but that data is magically removed. I guess because everyone thinks "I'll never rollover, only idiots do that....
by tadamsmar
Wed Dec 27, 2017 3:11 pm
Forum: Personal Consumer Issues
Topic: manual car for new teen driver
Replies: 143
Views: 7725

Re: manual car for new teen driver

Read the IIHS report the graph is based on, not the graph. The side bar on page 2 says the death rate is defined as "driver deaths per million registered vehicle years, 2005-08 models during calendar years 2006-09". Additionally, the text on page 2 says "A registered year is 1 vehicle registered fo...
by tadamsmar
Wed Dec 27, 2017 2:48 pm
Forum: Personal Consumer Issues
Topic: manual car for new teen driver
Replies: 143
Views: 7725

Re: manual car for new teen driver

source: http://informedforlife.org/viewartcl.php?index=83 If you read through to the actual IIHS report used to generate the graph (http://www.iihs.org/externaldata/srdata/docs/sr4605.pdf), you find things are far more complicated than the graph makes it seem. First off, the data is ancient in mode...
by tadamsmar
Wed Dec 27, 2017 1:52 pm
Forum: Personal Consumer Issues
Topic: manual car for new teen driver
Replies: 143
Views: 7725

Re: manual car for new teen driver

I think we should avoid the trap of thinking that small cars are somehow "unsafe". Might there be a slight marginal bit of safety with a larger car? Sure. But any recent US vehicle is going to be "safe enough" in the grand scheme of things. Certainly better than the death trap I learned to drive in...
by tadamsmar
Wed Dec 27, 2017 1:32 pm
Forum: Personal Consumer Issues
Topic: manual car for new teen driver
Replies: 143
Views: 7725

Re: manual car for new teen driver

I think we should avoid the trap of thinking that small cars are somehow "unsafe". Might there be a slight marginal bit of safety with a larger car? Yep, it's marginal. The margin is a mere 500%+ http://informedforlife.org/demos/FCKeditor/UserFiles/Image/fatality%20rates%20feb%202015B.png source: h...
by tadamsmar
Wed Dec 27, 2017 12:36 pm
Forum: Personal Consumer Issues
Topic: manual car for new teen driver
Replies: 143
Views: 7725

Re: manual car for new teen driver

Search on car.com. You can limit your search to manual transmission. Then add a keyword "stability control" (in quotes). You can put some other limits on the search or just peruse the list. I saw some Jeeps and some SUVs in the list I got, limiting it to <$10,000, so you can find some fairly high c...
by tadamsmar
Wed Dec 27, 2017 12:13 pm
Forum: Personal Consumer Issues
Topic: manual car for new teen driver
Replies: 143
Views: 7725

Re: manual car for new teen driver

Search on car.com. You can limit your search to manual transmission. Then add a keyword "stability control" (in quotes). You can put some other limits on the search or just peruse the list. I saw some Jeeps and some SUVs in the list I got, limiting it to <$10,000, so you can find some fairly high cu...
by tadamsmar
Tue Dec 26, 2017 10:00 am
Forum: Investing - Help with Personal Investments
Topic: Should I preserve parents’ risky portfolio? Or “disobey” them?
Replies: 74
Views: 5413

Re: Should I preserve parents’ risky portfolio? Or “disobey” them?

Do you have POA for both? Are they still competent so they could change the POA? I think the current portfolio is too risky, but you need to keep their confidence if they are still competent. I would use Vanguard Target Retirement Income Fund. If they are concerned, then you could make changes that ...
by tadamsmar
Mon Dec 25, 2017 9:42 am
Forum: Personal Finance (Not Investing)
Topic: Do you see a meaningful change in your income with new Tax Bill?
Replies: 266
Views: 23429

Re: Do you see a meaningful change in your income with new Tax Bill?

My wife and I are retired and both have Medicare Part B. So, we are targeting a $170,000 MAGI due to the Part B income limit for low premium payments. We convert to Roths up to that MAGI. Our house is paid off so we end up with the standard deduction. On paper, that gives us a $4,800 after tax incom...
by tadamsmar
Sun Dec 24, 2017 7:10 pm
Forum: Investing - Theory, News & General
Topic: Bitcoin: food for thought
Replies: 53
Views: 5140

Re: Bitcoin: food for thought

What caused the large sell off this week? There were a couple of theories in the freefall thread. N Korea stole a bunch of bitcoins. At least one S Korea exchange filed for bankruptcy. Under the new tax law, 1031 exchanges are only allowed for real estate. The IRS is funding cyber detection of cryp...
by tadamsmar
Sun Dec 24, 2017 3:26 pm
Forum: Investing - Theory, News & General
Topic: Bitcoin: food for thought
Replies: 53
Views: 5140

Re: Bitcoin: food for thought

The Mt Gox thing hit only 7% of bitcoins. And those creditors may well get 2/3 of it back by virtue of the run up in value of bitcoins that Mt Gox's founder found on an old hard drive.

Still no credible explanation of what happened at Mt Gox.
by tadamsmar
Sat Dec 23, 2017 7:25 pm
Forum: Investing - Theory, News & General
Topic: Bitcoin: food for thought
Replies: 53
Views: 5140

Re: Bitcoin: food for thought

First time I read about Bitcoin, I thought about buying $100 worth just to see what would happen. It wasn't easy to do that at the time. I thought about mining it, but it wasn't easy to do that at the time. I also don't buy lottery tickets or similar. So I did neither. Not sure when that was, but m...
by tadamsmar
Sat Dec 23, 2017 7:14 pm
Forum: Investing - Theory, News & General
Topic: Bitcoin: food for thought
Replies: 53
Views: 5140

Re: Bitcoin: food for thought

I suppose Bitcoin is some sort of game (as defined in mathematical theory) played between people exchanging their money with each other through the "exchanges" or played with an "exchange" as opponent If some of the Bitcoin "disappeared" then who got the money? Could Bitcoin be made "peer to peer"?...
by tadamsmar
Sat Dec 23, 2017 5:01 pm
Forum: Investing - Theory, News & General
Topic: Bitcoin: food for thought
Replies: 53
Views: 5140

Re: Bitcoin: food for thought

Maybe my food for thought is Schrodinger's Cat poo. If one had bought $400 of Bitcoin in 2011 and held like a good Boglehead, what's the chances that you would have lost it in the Mt Gox thing (theft or scam or whatever)? Could be pretty high. They were doing 70% of transactions. Not sure of the per...
by tadamsmar
Sat Dec 23, 2017 3:39 pm
Forum: Investing - Theory, News & General
Topic: Bitcoin: food for thought
Replies: 53
Views: 5140

Re: Bitcoin: food for thought

Back when Bitcoin was $4 each, there was nothing that would have indicated it was the next “thing”, any more than it was clear that Google or Amazon or Dell or Apple was the next “thing” when they first got started. I became aware of Bitcoin when it was around $10 each because my son was mining the...
by tadamsmar
Sat Dec 23, 2017 3:37 pm
Forum: Investing - Theory, News & General
Topic: Bitcoin: food for thought
Replies: 53
Views: 5140

Re: Bitcoin: food for thought

Back when Bitcoin was $4 each, there was nothing that would have indicated it was the next “thing”, any more than it was clear that Google or Amazon or Dell or Apple was the next “thing” when they first got started. I became aware of Bitcoin when it was around $10 each because my son was mining the...
by tadamsmar
Sat Dec 23, 2017 3:28 pm
Forum: Investing - Theory, News & General
Topic: Bitcoin: food for thought
Replies: 53
Views: 5140

Re: Bitcoin: food for thought

People are saying bitcoin is or is not a Ponzi scheme without saying what a Ponzi scheme is. I find it particularly awful to say it doesn't have a characteristic of a Ponzi scheme without describing said characteristic. One definition of a Ponzi scheme is: A Ponzi scheme (/ˈpɒn.zi/; also a Ponzi ga...
by tadamsmar
Sat Dec 23, 2017 2:28 pm
Forum: Investing - Theory, News & General
Topic: Bitcoin: food for thought
Replies: 53
Views: 5140

Re: Bitcoin: food for thought

Many of us hold the TSM or EM or small-cap funds. Via those firms we chronically held $400 in some pretty dicey publicly traded companies while simultaneously calling Bitcoin a scam and a Ponzi scheme. Some of those investments no doubt were a total loss. The difference is that it's impossible to d...
by tadamsmar
Sat Dec 23, 2017 2:16 pm
Forum: Investing - Theory, News & General
Topic: Bitcoin: food for thought
Replies: 53
Views: 5140

Re: Bitcoin: food for thought

Here's the earliest mention of bitcoin on Bogleheads that I can find: https://www.bogleheads.org/forum/viewtopic.php?f=10&t=84400&p=1208595&hilit=bitcoin#p1208595 October 19, 2011 You didn't look very far. The very first post in that thread has links to earlier discussions Earlier discussions here:...