The Fringe Benefits of Failure, and the Importance of Imagination President Faust, members of the Harvard Corporation and the Board of Overseers, members of the faculty, proud parents, and, above all, graduates. The first thing I would like to say is ‘thank you.’ Not only has Harvard given me an extraordinary honour, but the weeks of fear and nausea I’ve experienced at the thought of giving this commencement address have made me lose weight.

The highlight of the book is the following statement : Any model should consider the following : Transaction Costs, Risk, Return, Market Efficiency and the objective of a investment strategy should be minimize first two, maximize third and work around the fourth. Liquidity and Taxes are the additional elements to make any model realistic. Coming back to what the book is all about, It is about Alpha, a term used to represent , excess of benchmark returns generated by a fund manager.

The highlight of the book is the following statement : Any model should consider the following : Transaction Costs, Risk, Return, Market Efficiency and the objective of a investment strategy should be minimize first two, maximize third and work around the fourth. Liquidity and Taxes are the additional elements to make any model realistic. Coming back to what the book is all about, It is about Alpha, a term used to represent , excess of benchmark returns generated by a fund manager.

Couple of folks have emailed me to post the link of the article that I was mentioning in one of my previous post. The document attached with this post is perhaps a remarkable view from a person who understands both sides of the world, Fischerian and Bayesian, and proposes an alternative view for design inference. One can’t speed read this document. The article needs to be read slowly to understand it thoroughly…It is certain to make any reader wonder about the effective use of stats for drawing inference

Via Derivatives Strategy - Dec'97: What do you think of value-at-risk? NT: VAR has made us replace about 2,500 years of market experience with a co-variance matrix that is still in its infancy. We made a tabula rasa of years of market lore that was picked up from trader to trader and crammed everything into a co-variance matrix. Why? So a management consultant or an unemployed electrical engineer can understand financial market risks.