1 min readAug 25, 2017
In other words, assuming the SP500 has a certain expected return “alpha”, an ergodic strategy would generate a strategy, say Kelly Criterion, to capture the assumed alpha. If it doesn’t, because of absorbing barrier or something else, it is not ergodic.
Two questions professor”
- Is Kelly a strategy or a risk management method to apply to a strategy? Or these two are the same?
- Is non ergodic then a posterior assessment?