In the 1960s and at the start of the 1970s, these assumptions about market conditions were wildly unrealistic. Commissions (an important transaction cost) were high everywhere. Investors could not purchase stock entirely on credit (in the United States this was banned by the Federal Reserve's "Regulation T"), and such loans would be at a rate of interest in excess of the riskless rate. Short-selling was legally constrained and financially penalized: stock lenders retained the proceeds of a short sale as collateral for the loan, and refused to pass on all (or sometimes any) of the interest earned on those proceeds (Thorp interview).

Donald MacKenzie, An Engine, Not a Camera, loc. 628