<I>yikes!</I>

<t><FONT face="Times New Roman">To 1 and 2: No, what I'm saying is that it is usually the case that only crude properties of historical price action and/or strategy performance are likely to persist. If you don't have a simple and convincing reason why a strategy should have worked well in the past ...

btw, don't show this thread to fund-of-fund managers who claim a quantitative basis for their allocations. they might not appreciate it...

<t>Historical price/return data is next to useless for portfolio/strategy selection because of sample error. Portfolios/strategies with a very broad range of historical performances are statistically indistinguishable.Consider the following eye-opener: Imagine you have a Sharpe ratio 2.0 money-machi...

<t>If the so-called replicating portfolio is reproducing the cash flows of a contingent claim ONLY at a discrete number(like 1!) of future times(e.g. on the exercise date of a European call), then the self-financing property is absolutely required for the reasons I outlined in my last post. If, howe...

<t>Hi TRC. I think you're missing the point. The reason to focus on a self-financing replicating portfolio is that no-arbitrage guarantees that the value of a contingent claim that is equal to that of its replicating portfolio only if the replicating portfolio is self-financing. If you need to borro...

<t>Every 2-sided financial contract that was effected by LTCM, Drexel,etc. had a winner and an offsetting loser. So, for these contracts, it was and always will be a zero-sum game. But not all securities are 2-sided contracts of this type, and not all assets are financial. Consider the equity market...

<t>Why do you need a new mathematical apparatus to deal more easily with the self-financing req't?<br/> <br/> There was a thread in which Jiri Hoogland referred to a paper he had written and gave a link to his homepage for download. Part of the paper's logic was this (as I understand it):<br/> <br/>...

<t>Hi. Does anyone know of an excel function that allows one to specify a full set of arguments (name of access file, table name, field values) and return a db record to excel? It seems that "dget" only works on ranges or pivot tables w/in excel. I haven't found a way to query access other than by u...

<t>Hi Pat.Long time no speak! Here's a great book: "Microscopic Simulation of Financial Markets--From Investor Behavior to Market Phenomena" by Levy, Levy and Solomon. The book turns its proverbial back on closed-form solutions and explores via simulation the effects of relaxing some of the standard...