David Harris has not received any gifts yet
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…Continue
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…Continue
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…Continue
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…Continue