[其他] 目睹 William Sharp 真我的风采 [推广有奖]

William Sharpe came to our university today and I was lucky to have the opportunity to have "第一次亲密接触" with him. You cannot tell he is a Nobel Laureate by just looking at and talking to him. He is very nice, humorous, talkative, and always willing to answer your questions.

Here are some questions raised and answered in the section when Dr. Sharpe met with the Finance students.

One student asked him, "How did you come up with the CAPM idea?" He smiled: "it came with luck!" (I remember last year Harry Makowitz came and also said he got his Nobel Prize by luck). He said he worked with Harry on Portfolio Theory for his Ph.D. dissertation at UCLA. In his dissertation, there were just some specified applications of his idea. After he graduated and worked at University of Washington (not sure if I remember this correctly), he tried to generalize his theory in his dissertation. Two months later, CAPM was born. He continued, "At that time, some other people were working on the similar idea. I was just lucky to publish my paper before others did."

Another student asked, "How would you invest if you have 100 billion dollars?". Now, stop, and think! How would you answer this question?

? … …

? … …

Dr. Sharpe started, “Every people has his/her own specific situations that need to be taken into account when answering this question. I need to consider my own circumstances when I make investment decisions (pretty much like the “personalize” idea he mentioned in his talk later. See the lecture part). So let me change your question a little bit. ‘what is my suggestion to a man who is behind the white board (pointing to the white board) and wants to invest his $100 billion?’. I would recommend Morgan Stanley Capital International All Country Index (not very sure, please correct me if it is wrong). Since it is such a diversified portfolio and it is pretty new. But for now, it seems you can only invest in some components of this index. The ETF of this index is expected to come to the market soon.”

Another question:”Do you think you CAPM apply to all other countries?” “pretty much to the industrial countries like Japan, European countries, I think”. To my great surprise, he mentioned that it might not apply to China’s market. China’s market is very small and immature. This is the impression the Nobel Laureate has on China’s equity market.

“Is Sharpe ratio a good measure for performance of hedge funds”. Dr. Sharpe replied with confidence: variability(?) ratio, other people call it Sharpe ratio, is not a perfect measure. But is there a perfect one yet? No. If you can only choose one measure, Sharpe ratio is the best.

When he was young, he talked to a famous musician in a bar but found he did not have talents on music. A student joked “we appreciate that you were not a musician, (Means “so we have this great CAPM”). Dr. Sharpe replied “you might appreciate more if I am a musicianJ”

Then in the late afternoon, he gave a lecture (open to the public) on “Equilibrium Simulation”. In which he talked about his work on a simulation program he designed. His opening remarks made all laugh and easy, “my talk might make all of you confused some time, but I don’t want to confuse some of you all the time”.

Dr. Sharpe then started with a case: How Marie and Hue act in a market where fish is the currency. He simulated several different scenarios when taking people’s preferences, predictions, risk aversion factor into account. And find the final equilibrium market.

He showed in his slides "the index fund premise":

NONE OF US IS AS SMART AS ALL OF US

And two variations:

Variation 1:

NONE OF US IS AS SMART AS ALL OF US. FEW OF US ARE AS SMART AS ALL OF US, BUT IT IS HARD TO TELL WHO THEY ARE.

Variation 2:

NONE OF US IS AS SMART AS ALL OF US. FEW OF US ARE AS SMART AS ALL OF US, BUT IT IS HARD TO TELL WHO THEY ARE. AND THEY USULLY CHARGE MORE THAN WHAT THEY WORTH.

As of personal investment advice, he emphasized:

1. DIVERSIFY - to avoid unrewarded risk (unique risk, unsymmetric risk)

2. ECONOMIZE - to avoid unnecessary costs

3. PERSONALIZE - to take into account one’s situation

4. CONTEXTUALIZE - to take into account the determinants of assets pricing

He is also very generous to offer his forthcoming book:

Investors and Markets:
Portfolio Choices, Asset Prices and Investment Advice

on his website:

It will be available on his website until this September, so go and download if you like it.

You can also find his simulation program on his website.

Good luck to all! And Please let me know if I made any mistake in my hurry writing. Thanks.

[此贴子已经被作者于2006-4-23 0:43:13编辑过]