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I think I know what the OP is talking about... In the world of rates, event-based models of vol have evolved to price short-dated stuff. Models that allow you to build a term structure of vol that takes into account NFP and other econ release days, for example. These models evolved because...

For sure, but let's forget Taleb and the stupid swans when looking at it, shall we? Point is that the CAPM equation you're quoting follows from some assumptions that Taleb believes are totally unrealistic. So you can't combine his view of the world with the CAPM equation. Personally, I...

I wonder if this means that the cheap sh1t you buy at the supermarket would be called a CWO (Collateralized Wine Obligation)? You could have CCOs and CHOs too. I think this thing could go far...

Wine as collateral for bank loans http://www.ansa.it/site/notizie/awnplus/english/news/2009-08-18_118409241.html Indeed, if parmesan is OK, why not vino?

But what does this have to do with CAPM? I might add that what might be more interesting is to consider the events of 2008 in light of Modigliani-Miller. I think that's a much more interesting line of inquiry, meself.

I have heard a similar argument to yours, xenix... I think it's in one of the blurbs from a strategist somewhere. Idea is to look at (non-financial) corporate profitability vs unemployment momentum (i.e. the change in the unemployment rate). History suggests that peaks of unemployment would...

Yes...

I don't have a particular favorite strategy. I do whatever comes naturally. However, having lived through a few "interesting" episodes, I can say with certainty that I am not a big fan of selling gamma.

http://online.wsj.com/article/SB10001424052970204409904574350432677038184.html In my view, though, house ownership/mortgage makes a lot of fundamental sense from a personal asset allocation/diversification perspective.

Isn't it one of Taleb's beliefs that "CAPM is nonsense" (his own words)? He rejects the very assumptions that CAPM is based on. So how, pray tell, do you intend to reconcile two contradictory concepts to explain anything?

True, but surely you would agree that an event of Holodomor proportions couldn't have been based on operational decisions? A famine that kills millions over a huge expanse of fertile land surely requires a strategic decision. In my view (and, as I understand it, most serious historians share...

Good point about Hitler, I keep forgetting he wasn't German. So yes, ethnic Jews were initially prominent in the Bolshevik apparatus, just like members of other ethnicities, oppressed by the Tzarist regime. I completely disagree with the conclusion you draw from that. The only...

Well, fine, if you wish to define this as a continuous, rather than discrete distribution, be my guest. Like most of the more recent arguments in this thread, it's a matter of semantics/hair-splitting. I honestly couldn't give a rat's ass whether anyone here defines me as an agnostic or a...

I don't get involved in politics, but I just had to say something... Does anyone else see anything funny about the quote above? I couldn't believe my eyes when I first saw it. I have been re-reading it time and again and, I swear, it gets better every time.

Yes, but, if you care to recall, I never argued about the point you're making above (I also know what Cheka and NKVD are, so you don't need to explain). What I was refuting was your claim that Jewish population was the most disproportionately attracted to the Bolshevik movement. That's...

I am reading the papers, shown as references here (some in Russian): http://en.wikipedia.org/wiki/Jewish_Bolshevism Also, looking at this table: http://upload.wikimedia.org/wikipedia/commons/d/d0/1924_Chart_-_Conditions_in_Russia.png Interestingly enough, looks like the ethnic groups...

No, you have got this wrong. I have seen some data that shows that Jewish people were disproportionately involved at the top echelons of the Bolshevik power structure. However, your claim that Jews generally were attracted to the bolshevik ideas more than other European ethnic groups is false...

How does that make Sharpe ratio useless? If I am able to deliver a positive return (in excess of the risk-free rate) with very little volatility (a la Madoff), why is a very high Sharpe ratio misrepresenting my performance?

No, I didn't... Firstly, I said "if". Secondly, the question still stands. If Jews were the instrument of the regime, how can you argue that Jews and not the regime is to blame? [B] How do you figure that? What actual statistics might those be? [B] And? My impression is that this...

Is that right? You're basing this on what reliable sources? As far as I can see, even historians that study the events can't conclude whether Holodomor was intentionally genocidal. Moreover, if, as you say, Holodomor was about implementation of socio-economic ideas by the Soviet regime...