dear all i am a new member to this group . i teach finance related papers in an management college in india i hope that i can learn a lot and improve my...
Welcome, Dr Siddiqui I suppose by "burning" you mean "controversial" I think you will find hot stuff by looking for "Magical thinking and financial decisions"...
Hi everybody, I need some help for my thesis. I have daily returns of 160 firms for a 2 years period. I would like to compute the daily realized volatility. My...
dear all I am a new member !i am interesting in the subject "the limits of arbitrage",anyone who can give me some advice! for example the paper of this...
Dear easygonet, You can look for these working papers & books: The Limits of Arbitrage AThe Limits of Arbitrage Andrei Shleifer, Robert W. Vishny The Journal...
Hi, dear members and visitors! Here is your 93rd month newsletter, Let me renew all my best wishes to all of you for this new year, whatever its "volatility". ...
Neil Stoloff wrote: I think a good journalistic answer to your question is a book by Roger Lowenstein: When Genius Failed: The Rise and Fall of Long-Term ...
Gholamreza, I recommend that you use maximum drawdown, for which there is now sufficient analytical work broadly available. We prefer a vector rather than a...
It is important to distinguish attitude from knowledge. The LTCM principals were not - ex-ante or ex-post -- the smartest people in the world, or in the USA,...
Dear Bob, Thank you so much for your recommend. I would be appreciated if you kindly let me know more about DVR and any academic articles which have used...
I'm not aware of any academic studies on DVR yet, Gholamreza. From: Behavioral-Finance@yahoogroups.com [mailto:Behavioral-Finance@yahoogroups.com] On Behalf Of...
Bob Bronson wrote: "...there is an important difference between actually believing all risk contingencies are covered in sharp contrast to consciously deciding...
Of course, leverage increases risk as well as return, Neil. You misunderstood what I said. Because the average gains in their arbitrage strategy were...
Dear all, I think the word "arbitrage" may be incorrectly understood and used. It may not be classified as a conservative investment activity, as the risk can...
It may be Mr Bob but there are some thing to introduce like risk aversion ,the cost of leverage, possibility to have hight return using the leverage, the...
I don’t understand your sentence or what you are trying to say, Zakarya. From: Behavioral-Finance@yahoogroups.com [mailto:Behavioral-Finance@yahoogroups.com]...
I'm always looking for better measures of downside risk. Is there a formula for DVR and UVR that you can share Bob? I note in footnote 10 to your April 12...
I don't know the details of Bob's DVR but it sounds like Ed Seykota's Lake Ratio which he uses to get past the Sharpe Ratio upside volatility problem. ...
I think we saw, in the LTCM goof, the good old primacy of emotions (greed, overconfidence, wishful thinking, narcissism or whatever illusion) over reason and ...
Hi, Drew I'm afraid most academic papers on cognitive psychology treat only one or a few biases at a time and do not really make categorizations or syntheses...
