links for 2009-01-16

An MIT Blackjack Team perspective: Martingale is a strategy that will often result in a minor gain, with the 1:1000 chance of catastrophic loss instead. Intuitively attractive, but foolish, since risk outweighs benefit. Financial advisers and investment banks run Martingales that only fail when market crashes, but in those cases? Epic fail. Since the horizons for failure are long enough, martingale-running investors outcompete honest investors. See also: Gresham's Law.