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Category Archives: Miscellaneous
Lamia Gurdleneck – “it’s what you do with the figures that matters”
In the frontispiece of my risk management books I have a quote that sums up a fundamental truth about quantitative risk management: It’s not the figures themselves, it’s what you do with them that matters” I included the quote because … Continue reading
Posted in Miscellaneous, Risk Management
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Thinking Probabilistically – HIV screening in the U.S. and South Africa
How can the same HIV test and screening process have the dramatic differences that show up between the U.S. and South Africa? Thinking carefully about probability is so often useful in our every-day lives. I was reminded of this once … Continue reading
Posted in Miscellaneous, Musings
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Probability, Expected Utility, and the Ellsberg Paradox
The Ellsberg paradox is often cited as evidence for unknowable “ambiguity” versus computable “risk”, and a refutation of expected utility maximization and “subjective” or “belief-type” probabilities. I have concluded the paradox is not convincing. The results can be explained by … Continue reading
Managing a Sovereign Wealth Fund: A View from Practitioners
This chapter, co-authored with D. Darcet and M. du Jeu, is in Economics of Sovereign Wealth Funds: Issues for Policymakers, ed. U. S. Das, A. Mazarei, H. van der Hoorn, published by the IMF.
Estimating The Correlation Of Non-Contemporaneous Time-Series
This paper examines the statistical problem of estimating the correlation of non-contemporaneous time-series observations such as daily returns for the FTSE and S&P500 stock indexes. A December 2007 .pdf version is available on SSRN, and there is an abridged version.
Effective degrees of freedom during the radiation era
This is a physics paper that grew out of my collaboration with Matts Roos in his publication of the 3rd edition of his text Introduction to Cosmology. This paper updates the curves of the effective degrees of freedom for the … Continue reading
Compensating Fund Managers for Risk-Adjusted Performance
This paper (Journal of Alternative Investments, volume 2, number 3, winter 1999, by Thomas S. Coleman and Laurence B. Siegel) explores a risk-adjusted performance fee structure for hedge funds that addresses incentive compatibility and helps reduce asymmetry, while at the … Continue reading