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Tag Archives: PMPT
Some Thoughts on Volatility Strategies
This is a critique of a front page article in Pensions & Investments on April 16, 2012 and an Investment News article about Dr. Robert Haugen’s strategy. It seems all one needs to know is what the volatility WAS of … Continue reading
PMPT Marries Prospect Theory
Introduction: Believing in a theory as evidence mounts disproving its merits will lead at first to disappointment and then to a better theory. Concocting a strategy that solved the previous market fiasco without any theoretical foundation will lead nowhere. All … Continue reading
Should The Government Regulate Risk Taking?
How much risk was this woman taking? How would one measure it? There were 40 some people in our group when my wife had this picture taken and nobody got gored. So, was this a riskless transaction? Just because you … Continue reading
Attacking the GIGO Problem
All of us who try to manage uncertainty in financial decisions face the problem of describing that uncertainty. To the extent that we can improve on the accuracy of that description we can produce better results for our clients. Professor … Continue reading
Absolute Returns are Absolute Nonsense
A recent article in Pensions & Investments (8/19/2011 pg 19) gives several reasons why absolute returns are just another Wall Street marketing gimmick: they didn’t work in 2008 and there are a wide range of strategies called Absolute Return Strategies. … Continue reading
Post Modern Portfolio Theory (PMPT) 