tag:blogger.com,1999:blog-38600807.post7038718085475925524..comments2009-11-23T04:58:43.726-05:00Brian Burkenoreply@blogger.comBlogger3125tag:blogger.com,1999:blog-38600807.post-32259163560436052842009-11-23T04:58:43.726-05:002009-11-23T04:58:43.726-05:00Brian, this discussion of financial modelling (risk tolerance/sharpe ratio/etc) projected onto football (and I realize that it was posted a year and a half ago when I say this...) is a waste of time. Investment decisions are made with the goal of growing your bankroll as quickly as possible, taking into account the fact that you will have gains and losses. In a zero-slippage/infinite-liquidity environment a trader would want to bet 10x as big on stock X (perhaps 800 shares instead of 80) when he has $100000 than he would when he has $10000. Risk tolerance is a function of your bankroll, plain and simple.<br /><br />Football does not have anything resembling the notion of a bankroll. A team with 35 points does not have 5 times the risk tolerance as a team with 7 points, and a team with a 21 point lead does not have 3 times the risk tolerance of a team with a 7 point lead. These concepts just don&#39;t mean anything, and applying formulas that are meaningful in portfolio optimization just looks silly in this context. For that matter, finance doesn&#39;t have any meaningful equivalent to going four-and-out.<br /><br />One technique that IS relevant in both finance and football analysis is the use of monte-carlo simulations, which I&#39;m sure you already do and are capable of coding up. This enables you to account for the probabilities of various yardage gains, turnovers, etc without losing sight of the fact that this is football, not portfolio optimization.JChttp://www.blogger.com/profile/16066518948775074224noreply@blogger.comtag:blogger.com,1999:blog-38600807.post-86209395367651146172008-02-10T00:59:00.000-05:002008-02-10T00:59:00.000-05:00BTW, I hope you're planning to tell us who those outlier teams on your charts are.JGhttp://www.blogger.com/profile/11164150812219689611noreply@blogger.comtag:blogger.com,1999:blog-38600807.post-74966792084189763262008-02-09T19:20:00.000-05:002008-02-09T19:20:00.000-05:00This is really, really good. You're ahead of both Rockerbie and Alamar now. I wish I coulda done this. Kudos.JGhttp://www.blogger.com/profile/11164150812219689611noreply@blogger.com