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by RockyMcNuts
3585 days ago
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Fair enough, but for this retirement problem you're comparing outcomes within 1-2 orders of magnitude. If you don't have scale invariance you'll get a different answer if you put in $100K, $1m and $10m starting portfolios, but that difference wouldn't tell you anything useful. IMO best way to look at γ is an arbitrary tunable smoothing parameter, just tune it until it looks like what you're most comfortable with, trading off smoothness for maximizing cash flow. |
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