(I don’t understand how you arrived at 2.45:1 optimal leverage with log utility. I get 5%/(.16^2*1)= 1.95, and the Samuelson formula in leverage.py seems to be the same. Same for the other values.)
5% is the geometric mean return, the Samuelson share formula uses the arithmetic mean on the numerator (see here. So the correct formula is (5% + 0.16^2/2)/(0.16^2 * 1) = 2.45.
(I don’t understand how you arrived at 2.45:1 optimal leverage with log utility. I get 5%/(.16^2*1)= 1.95, and the Samuelson formula in leverage.py seems to be the same. Same for the other values.)
5% is the geometric mean return, the Samuelson share formula uses the arithmetic mean on the numerator (see here. So the correct formula is (5% + 0.16^2/2)/(0.16^2 * 1) = 2.45.
Oh, thanks, I was under the mistaken impression that the Samuelson share formula used the geometric mean!