Category Archives: Fund management in general
Don’t stop believing
The document is “Don’t stop believing: The state and future of UK occupational pensions” by Con Keating. Overview It seems to me that pensions are hard. Me, I just do easy things like write genetic algorithms for the fast, efficient generation of random portfolios and the optimization of portfolios. But Con gives pensions a go, … Continue reading
Efficient Atmospheres Hypothesis
Mark Buchanan in The Physics of Finance has another great post called “Of hurricanes and economic equilibrium”. The Efficient Market Hypothesis has been beaten up quite a lot lately, but this is quite a nice pummeling. How would a meteorologist using the equivalent of the EMH fare in the aftermath of Hurricane Irene? Subscribe to … Continue reading
Quantum thinking
Human logic is more like quantum logic than formal logic. The Physics of Finance in “Quantum thinking” points to an article in New Scientist (actually the cover piece) about the connection between the mathematics used in quantum physics and the non-logicality of human logic. The blog post also gives some interesting background on the writing … Continue reading
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Schelling points and prices
Deus Ex Macchiato has a brief post called “Prices as modified Schelling Points”. It is a cute little idea about how markets work. I had known of the concept of Schelling points but not their name. Subscribe to the Portfolio Probe blog by Email
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A critique of financial advice
Dan Ariely has a post called “Asking the right and wrong questions” about financial advisors. It starts off with: For the most part, professional financial services rely on clients’ answers to two questions: How much of your current salary will you need in retirement? What is your risk attitude on a seven-point scale? In his … Continue reading
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Market efficiency versus stability
Mark Buchanan has a piece on Bloomberg called “Sand in the machine the key to stable markets”. This is an introduction into the idea that market efficiency is at odds with market stability. A couple of quotes: Every modern economy depends on financial markets … to funnel capital into the most worthwhile enterprises. But we … Continue reading
A test of new market circuit breakers
The Barron’s article “Hitting the Switch on New Circuit Breakers” describes a backtest of the proposed new rules for circuit breakers in American markets. All trades for 2008 through 2010 were inspected relative to the so-called “limit up-limit down” scheme. Result: Maybe we should think a little more about it. Subscribe to the Portfolio Probe … Continue reading
Twisted valuation
100 years ago today a small, rather obscure masterpiece was stolen from the Louvre by a disillusioned former(?) employee. Subsequently: the painting was recovered during an attempt to sell it to an Italian museum the painting toured Italy a campaign started in Italy to keep the painting a campaign started in France to get it … Continue reading
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The standards of pundits
From Saturday Morning Breakfast Cereal: Hat tip to This is the Green Room Subscribe to the Portfolio Probe blog by Email
An exercise in quality control
To fix a broken market. The exercise Some teachers of quality control present their students with a series of pictures like Figure 1. Figure 1: Center the process on (0, 0). The students are tasked with centering the process at zero in both dimensions. The students put the center near where they’ve seen points. It … Continue reading
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