The Geometry of Leverage Space Portfolios 357
FIGURE 10.10 dTWR/df for 800 plays (T=800) of the two-to-one coin toss. The
peak to the left and the trough to the right are the points of inflection. The left peak
is atf=.23
knew how many finiteTyou were to trade before you started trading, you
could maximize the left point of inflection.
∗
To recap how the left point of inflection migrates towards optimalf,
the following table depicts the numbers for the two-to-one coin-toss game:
2:1 Coin Toss# plays (T) finflection left10
30 .12
40 .13
80 .17
800 .23Thus, we again see that, as more time elapses, as Tincreases, miss-
ing the optimal f carries with it a steep penalty. Asymptotically, nearly
everything is maximized, whether it is EACG, GRR, or the left point of
inflection. AsTincreases, they all converge on optimal f. Thus, asT
∗Interestingly, though, if you were trying to maximize the EACG for a givenT, you
would be seeking a point to therightof the peak of thefcurve, as thefvalue which
maximizes EACG migrates toward the optimalfasTapproaches infinity from the
right.