Hello Warren, Quarel too,
Good to hear that you too have discovered that interesting relationship. In my Dutch book I explained also a simpler way to get that relationship from the fundamentals. I got a hint for this solution from Qarel. He showed me an easy way of solving the question without actually getting the Formula F=1/(1-f). Qarel's way to solve this problem took me almost a full hour, including the time taken for the discussion on the Board. I think Qarel spend about 10 minutes to lead me to this solution. My solution took me a week, or may be two in 1997, if you count all the pencil work to get the substitutions done and to correct the errors I made before I got to the clean end-result.
When I equate Portfolio Control with Equity(Rw=Y I think you refer to)then this is done with the simple mathematical equality that at the starting point PC=Equity Value and that in VORTEX this is the case after each trade. Clearly I do differentiate between the meaning of the Fixed PC, being an equity value reference, and the floating Equity Value.
At the moment I have no more time to analyse your message. Thanks for the trouble to go into it so deeply.
I Shall Return!
Conrad