<t>Could you tell me about how important phase space analysis is ? <br/> <br/> I must admit being biased towards thinking that a phase-space <br/> view is useful when faced with stochastic price time-series <br/> from which one wishes to back-out (1) distributions (2) time <br/> evolution of distrib...

<t><br/> 1/T Sum_{t=0}^{T-1} W_{t+1} - 1/T Sum_{t=0}^{T-1}W_t -> 0 <br/> as T -> +oo because E[W_t]=0 for all t seems rather reasonable <br/> <br/> I do know that stationarity does not in general imply ergodicity.<br/> Covariance stationarity is usual sufficient to imply ergodicity, <br/> The counte...

<t>Reza,<br/> <br/> as you said:<br/> Ergodicity allows one over long times to substitute ensemble <br/> averages by time averages which seems useful from the perspective<br/> of using time-series data to make statements about ensemble<br/> valued functions, for example an average.<br/> <br/> I kind...

<t><br/> Q1 "I am wondering how constructing a portfolio of hedge funds would differ from constructing a stock and bond portfolio, say. Does Markowitz theory apply?" <br/> <br/> As far as I know most use a multi-manager type methodology. This <br/> is similar to strategic asset allocation where inst...