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Mass_Driver comments on Open Thread June 2010, Part 2 - Less Wrong
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OK, I have a question! Suppose I hold a risky asset that costs me c at time t, and whose value at time t is predicted to be k * (1 + r), with standard deviation s. How can I calculate the length of time that I will have to hold the asset in order to rationally expect the asset to be worth, say, 2c with probability p?
I am not doing a finance class or anything; I am genuinely curious.
So am I - I'm only aware of the Kelly Criterion thanks to roland thinking I was alluding to it. I haven't worked through that calculation.