Silicon Investor (SI) -- The First Internet Community

STOCKTALK

We've detected that you're using an ad content blocking browser plug-in or feature. Ads provide a critical source of revenue to the continued operation of Silicon Investor. We ask that you disable ad blocking while on Silicon Investor in the best interests of our community. If you are not using an ad blocker but are still receiving this message, make sure your browser's tracking protection is set to the 'standard' level.

Strategies & Market Trends : Waiting for the big Kahuna -- Ignore unavailable to you. Want to Upgrade?

To: Moominoid who wrote (56761)	2/17/2002 10:56:02 PM
From: Skeet Shipman	Read Replies (1) \| Respond to of 94695

??? What was that? Could you explain a more about the Hursh exponent and fractals. Since we are talking about recent ideas in finance. Here are some comments on Value-at-Risk portfolio management. Value at Risk, VaR, portfolio management is said to be "The cutting edge of financial risk management". The value at risk is defined as the amount of money such that a portfolio is expected to loose less than that amount of money 99 days out of 100. The broad acceptance of Value at Risk management has led to reduced short term volatility, as intended. However, there are indications that VaR risk management undesirably raises the probability of extreme losses. < Guess what? Risk is not normally distributed! >

To: Moominoid who wrote (56761)	2/18/2002 6:12:33 AM
From: Real Man	Read Replies (1) \| Respond to of 94695

I know. The fact that stocks have fractal geometry is well known. More useful is the fact that the "tails" are distributed according to Levy distribution, which is also well known. Yes, I was the guy. Get that book (Bouchaud and Potters, Theory of Financial Risk), there is more in it than just the Hurst exponent. All the recent knowledge about the "tails". Which, of course, means that methods based on this knowledge no longer work -ggg- I'm getting Hull's book, so soon I'll know all this like a pro, and better -ggg-