February 25th, 2009, 1:59 pm
Yes, that is what alpha roughly is. But you are explaining it as a poker game where there is a number of chips to spread across the players. They all get together, they play, the game finishes and then they go home. That is, they all have the same time horizons. And I agree that if we put it this way net alpha of course adds up to zero. Even I can see that What I am trying to argue is that there is potentially a way of getting net positive alpha on the *long-run*. Sort of like an inverse Ponzi scheme.
Last edited by
QuantVader on February 24th, 2009, 11:00 pm, edited 1 time in total.