Comment by haltingproblem
4 years ago
I am confused so hope you will clarify. I thought the article argues that Markowitz mean variance has problems and 1/n is a reasonable estimator. You seem to be arguing for the opposite? Or perhaps you mean 1/n vs. Kelly but that article does not talk about Kelly.
Sorry, I didn't mean to argue any point really, just expose folks to Gerd Gigerenzer's work, as it seems relevant to this topic. He makes the arguments much more strongly than I ever could.
Any confusion or inconsistency I'm presenting is my fault, and I apologize!