/biz/ - Business & Finance

>>30322570
Reposting this from the other thread, as I'm not sure of my math, and need to check it. From the whitepaper I'm calculating the optimal number of BAT held by a speculator (z_BAT) as:
z_BAT = ($_BAT[future] - R * $_BAT[now]) / (gamma * sigma^2 * $_BAT[future]), where
$_BAT[future]: expected future price ($40)
R: risk free exchange operator (1.0 for convenience)
$_BAT[now]: current price ($0.697 yesterday)
gamma: risk aversion term (>0 - 2). 1 is risk-neutral, most people are 2, but /biz/ is easily <1, being very risk seeking
sigma^2: BAT price volatility/standard-deviation ($0.079 current 15-day volatility)

When I allow gamma to vary, it gives the following graph for the optimal number of BAT.