Yes, I know it, and I think the Nobel Prize is undeserved


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送交者: james_hussein_bond 于 2008-04-15, 12:59:45:

回答: james_hussein_bond 听说过什么叫efficient frontier吗? 由 Enlighten 于 2008-04-15, 12:46:14:

It's actually not that fancy. It's basically a fuzzy arbitrage with risks included. For a small investor, to be able to get to the "efficient frontier," you have to make a lot of assumptions none of which you can actually validate. So I don't believe anyone here is using it.

I don't doubt that some big investment firms that employ supercomputers might be able to do it but I doubt it. The evidence is the screw up by the LTCM. They certainly understood "efficient frontier" but boy how badly did they miscalculate!




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