Thursday, August 6th, 2009
Here is an interesting excerpt from Benoit Mandelbrot’s paper entitled “A focus on the exceptions that prove the rule” If you would like the full article click here.“Conventional studies of uncertainty, whether in statistics, economics, finance or social science, have largely stayed close to the so-called “bell curve”, a symmetrical graph that represents a probability distribution. [...]
Filed under: Trading Methods by Charles Maley
Tags: «bell curve - Benoit Mandelbrot - Carl Friedrich Gauss - correlation - Gaussian model - sharpe ratio - standard deviation »
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Friday, July 31st, 2009
In a 2004 groundbreaking study from The Yale School of Management’s Center for International Finance titled “Facts and Fantasies about Commodity Futures”, Drs. Gary Gorton and Ken Rouwenhorst show that not only are commodity futures negatively correlated to stocks and bonds, but also that commodity returns are greater than bonds and have about the same [...]
Filed under: Favorites, Insights by Charles Maley
Tags: «futures - Gary Gorton - inflation - Ken Rouwenhorst - leverage - standard deviation - stocks - Yale »
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