Consider that I can solve an optimality equation in the spirit of Carmona and Webster (I can not; this is an infinite-dimensional SPDE). One version of C&W assumes that this equation defines a distribution of alphas for the clients. What useful information can be inferred from its solution? What kind of data I have to have to calibrate this solution?
P.S. I fancied myself an "expert" on market microstructure (see, e.g. my book "Microstructure and Noise"). But in the end I realized that I understand nothing. But this situation is typical--shtetl cobblers, among whom could be some my ancestors, typically walked barefoot.
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