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by complyorexplain
January 29th, 2016, 1:05 pm
Forum: General Forum
Topic: Monty Hall again
Replies: 22
Views: 3017

Monty Hall again

QuoteOriginally posted by: BigAndyDIsn't the outcome the same though as contestant number 2 has picked a dud?So you are saying that it doesn't matter whether the contestant chose to pick a dud, or whether it was by accident?
by complyorexplain
January 29th, 2016, 11:43 am
Forum: General Forum
Topic: Monty Hall again
Replies: 22
Views: 3017

Monty Hall again

<r>Andrew Vazsonyi <URL url="https://sites.oxy.edu/lengyel/M372/Vazsonyi2003/vazs30_1.pdf"><LINK_TEXT text="https://sites.oxy.edu/lengyel/M372/Vazs ... zs30_1.pdf">https://sites.oxy.edu/lengyel/M372/Vazsonyi2003/vazs30_1.pdf</LINK_TEXT></URL> gives a different formulation of the problem. He assumes ...
by complyorexplain
January 29th, 2016, 11:09 am
Forum: General Forum
Topic: Monty Hall again
Replies: 22
Views: 3017

Monty Hall again

<t>I simulated on a spreadsheet the random outcome 1, 2 or 3. I always choose 1. The other contestant always chooses 2. So 2/3 of the time, other contestant loses. Of that 2/3, half are me winning (i.e. box 1 came up, half are me losing, i.e. box 3 comes up.I also added a separate column with the ru...
by complyorexplain
January 29th, 2016, 9:22 am
Forum: General Forum
Topic: Monty Hall again
Replies: 22
Views: 3017

Monty Hall again

<t>Apologise if this has been discussed many times before, but I think this is a different version of the problem.Assume there are 3 doors, behind one of which is a prize. I am the first contestant and choose door 1. The second contestant chooses one of the two remaining doors, and opens it. She cho...
by complyorexplain
November 13th, 2015, 2:31 pm
Forum: General Forum
Topic: The no-no arbitrage argument
Replies: 39
Views: 5428

The no-no arbitrage argument

<t>I just came across IFRS 13, which says that to determine fair value, firms must determine "the valuation technique(s) appropriate for the measurement, considering the availability of data with which to develop inputs that represent the assumptions that market participants would use when pricing t...
by complyorexplain
November 12th, 2015, 3:09 pm
Forum: General Forum
Topic: The no-no arbitrage argument
Replies: 39
Views: 5428

The no-no arbitrage argument

<t>QuoteOriginally posted by: AlanI have glanced through the whole thread. Correct me if I am wrong, but I think your topic is: - how, as an auditor, should I pose correct objections to gross quant mis-marking of books? That is absolutely right. Some of the suggestions below were quite useful. </t>
by complyorexplain
November 12th, 2015, 1:36 pm
Forum: General Forum
Topic: The no-no arbitrage argument
Replies: 39
Views: 5428

The no-no arbitrage argument

<r>QuoteOriginally posted by: daveangelQuote Hargreaves crunched its numbers to 16 December, when the market was 300 points lower than the 29 December close.At that point an investor who invested £10,000 at the peak in 1999 would have seen this shrink to just £9,137 if dividends had been taken as in...
by complyorexplain
November 12th, 2015, 1:20 pm
Forum: General Forum
Topic: The no-no arbitrage argument
Replies: 39
Views: 5428

The no-no arbitrage argument

<t>QuoteOriginally posted by: daveangel the risk premium is earned everyday.. why would anyone buy equities or any risky asset if they can't earn a risk premium ?I am the owner of a portfolio of equities bought just before the early 2000s crash. FTSE still lower than when I bought, although dividend...
by complyorexplain
November 12th, 2015, 12:56 pm
Forum: General Forum
Topic: The no-no arbitrage argument
Replies: 39
Views: 5428

The no-no arbitrage argument

<t>QuoteOriginally posted by: Traden4AlphaQuoteOriginally posted by: complyorexplainBut maybe there's a deeper flaw in all this. The "no no arbitrage" condition also probably applies to this entity whose balance sheet is being gilded by "no no arbitrage" hand waving. Someone valuing said entity and ...
by complyorexplain
November 12th, 2015, 12:28 pm
Forum: General Forum
Topic: The no-no arbitrage argument
Replies: 39
Views: 5428

The no-no arbitrage argument

This is a very strange forum.
by complyorexplain
November 12th, 2015, 10:22 am
Forum: General Forum
Topic: The no-no arbitrage argument
Replies: 39
Views: 5428

The no-no arbitrage argument

<t>Here is another version of the argument. It is argued that the risk neutral probability distribution is different from the real-world probability distribution. This is because in the real world, investors demand risk premia, whereas under the risk-neutral probabilities all assets have the same ex...
by complyorexplain
November 11th, 2015, 8:14 am
Forum: General Forum
Topic: The no-no arbitrage argument
Replies: 39
Views: 5428

The no-no arbitrage argument

<t>QuoteOriginally posted by: bearish Taking your points in turn. 'What stops someone ...'. The quants have commissioned expert economists and forecasters, and for these stocks a growth of 8% average over 5 years is the consensus. So you can't make up any forecast, only one derived by expert judgmen...
by complyorexplain
November 11th, 2015, 7:42 am
Forum: General Forum
Topic: The no-no arbitrage argument
Replies: 39
Views: 5428

The no-no arbitrage argument

QuoteOriginally posted by: outrunDutch pension liabilities used to be values agains the "ultimate forward rate" (UFR) designed by the central bankNooo don't even think of going there.
by complyorexplain
November 11th, 2015, 7:14 am
Forum: General Forum
Topic: The no-no arbitrage argument
Replies: 39
Views: 5428

The no-no arbitrage argument

<t>You are getting it, and the analogy with pensions accounting is exactly right. I don't think anyone would seriously buy a portfolio of equities at £100m then immediately put them on their balance sheet at £105m. Here's a more complex example. Company X has managed to secure $1bn of funding using ...
by complyorexplain
November 10th, 2015, 9:51 pm
Forum: General Forum
Topic: The no-no arbitrage argument
Replies: 39
Views: 5428

The no-no arbitrage argument

<t>Quote"Someone forecasts it will grow by 5% by this time next year, to 105" sounds not accurate. Usually it is assumed that stock price is random. More realistic assume that stock takes to values with known probabilities and say 105 is the expected value of the stock in 1 year forward. Then consid...
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