A prize is offered to the first LQG member to provide a proof or disproof of Leland’s Lost Theorem:
The expected return of a portfolio comprising a bond and a vanilla call option is the highest of any unleveraged path-independent strategy, assuming the same level of downside protection.
LQG will award £100, which Jason MacQueen will personally match with £100, to give a total prize of £200. The winner will be announced on this site.