|
Abstract
This is a terse account of group creation of modern finance theory;
and a sampling of my prosaic autobiographical investing and consulting
for nonprofit academies. Eschewing 1900 Bachelier and
1905 Einstein white noise randomness, my martingale version of
market micro efficiency invoked no violation of economic law. My
attempts to establish pricing theory for options fell a bit short of
the Black-Scholes-Merton Holy Grail. For life cycle investing,
mathematicians’ maximum growth Kelly criterion was debunked,
as were vulgar notions that necessarily riskiness is averaged downward
for long-term investors. Popular Markowitz-Tobin quadratic
programming was shown to hold generically only for smallest
price variations or for unrealistic risk-aversion functions. Because
economic history at best obeys only quasi-stationary probabilities,
no sure-thing formulas will ever be definable. Excess returns—
excess “alphas”—can result only from early new “insider” knowledge,
however acquired—legally or illegally. Boo hoo.
| 
发帖
雷达卡
京公网安备 11010802022788号
