ergodicity economics

Not the keyword you're looking for? See all keywords.

Finance Is Geometry, and It All Comes Back to Jensen’s Inequality Finance Is Geometry, and It All Comes Back to Jensen’s Inequality
36 min read Keywords:  Jensen's inequality, Kelly criterion, ergodicity economics, tail hedging, logarithms, Spitznagel, Taleb, Peters

Logarithms, Kelly, ergodicity, and tail risk meet at the same geometry: wealth compounds multiplicatively, the logarithm is concave, and Jensen’s inequality measures the cost of variability.