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.
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.