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David Harris's blog post was featured### The Likelihood Principle, the MVUE, Ghosts, Cakes and Elves

In my prior blog post, I wrote of a clever elf that could predict the outcome of a mathematically fair process roughly ninety percent of the time. Actually, it is ninety-three percent of the time and why it is ninety-three percent instead of ninety percent is also important.The purpose of the prior blog post was to illustrate the weakness of using the minimum variance unbiased estimator (MVUE) in applied finance. Nonetheless, that begs a more general question of when and why it should be…See More

Nov 29, 2019

David Harris's blog post was featured### Tool induced arbitrage opportunities, also, how to cut cakes.

How should an estimator be chosen? The academic training of economists and finance professionals has traditionally favored the minimum variance unbiased estimator (MVUE). Sometimes, the maximum likelihood estimator (MLE) is chosen. From time to time, the method of moments (MOM) or the generalized method of moments (GMM) is used. Because of its subjective nature, Bayesian methods are rarely used. The problem with this hierarchy is that it is preference-based and ignores the axiomatic…See More

Nov 7, 2019

David Harris posted a blog post### If not mean-variance finance, then what?

I want to apologize to my small audience for being so long in waiting to post a blog post. My goal had been one per week, but life intervened in the meantime. While I have tried to be productive, the blog post fell by the wayside. I did write a couple of short stories, I must confess. I wrote How to Engage in Counterespionage Operations Against Ghosts because I grew up watching Sherlock Holmes movies and the Twilight Zone. I wrote a small set of short stories about the first day of the…See More

Jul 18, 2019

David Harris's blog post was featured### If not mean-variance finance, then what?

I want to apologize to my small audience for being so long in waiting to post a blog post. My goal had been one per week, but life intervened in the meantime. While I have tried to be productive, the blog post fell by the wayside. I did write a couple of short stories, I must confess. I wrote How to Engage in Counterespionage Operations Against Ghosts because I grew up watching Sherlock Holmes movies and the Twilight Zone. I wrote a small set of short stories about the first day of the…See More

Jul 18, 2019

- Job Title:
- Consultant

- Seniority:
- Consultant

- Job Function:
- Business Analytics, Other

- Short Bio:
- Economist that works with distributions that lack a first moment for implementations in things such as the stock market.

- Interests:
- Contributing, Networking, Finding a new position, New venture

Posted on November 26, 2019 at 1:44pm 0 Comments 0 Likes

In my prior blog post, I wrote of a clever elf that could predict the outcome of a mathematically fair process roughly ninety percent of the time. Actually, it is ninety-three percent of the time and why it is ninety-three percent instead of ninety percent is also important.

The purpose of the prior blog post was to illustrate the weakness of using the minimum variance unbiased estimator (MVUE) in applied finance. Nonetheless, that begs a more general question of when and why it…

ContinuePosted on November 5, 2019 at 8:30pm 0 Comments 0 Likes

How should an estimator be chosen? The academic training of economists and finance professionals has traditionally favored the minimum variance unbiased estimator (MVUE). Sometimes, the maximum likelihood estimator (MLE) is chosen. From time to time, the method of moments (MOM) or the generalized method of moments (GMM) is used. Because of its subjective nature, Bayesian methods are rarely used.

The problem with this hierarchy is that it is preference-based and ignores…

ContinuePosted on July 16, 2019 at 12:45pm 0 Comments 1 Like

I want to apologize to my small audience for being so long in waiting to post a blog post. My goal had been one per week, but life intervened in the meantime. While I have tried to be productive, the blog post fell by the wayside.

I did write a couple of short stories, I must confess. I wrote *How to Engage in Counterespionage Operations Against Ghosts* because I grew up watching Sherlock Holmes movies and the Twilight Zone. I wrote a small set of short stories…

Posted on December 27, 2018 at 7:32pm 0 Comments 0 Likes

I thought I would follow on my first blog posting with a follow-up on a claim in the post that going returns followed a truncated Cauchy distribution in three ways. The first way was to describe a proof and empirical evidence to support it in a population study. The second was to discuss the consequences by performing simulations so that financial modelers using things such as the Fama-French, CAPM or APT would understand the full consequences of that decision. The third was to discuss…

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