Professional Documents
Culture Documents
Bogle
1987
10
19
20
2246
1738
13%
25%
1929
10
29
1987
2007
2007
2%
Taleb
2(The Black Swan: the Impact of the Highly Improbable)
(rarity)
(extremeness)
(retrospective predictability,
2002
Knight
Frank H. Knight
1885-1972
Knight
Financial analyst Journal Volume 64 Number 2
p.19
Knight
Knight
p.199
Knight
Glyn A. Holton
2004
exposure
Holton
Blaise Pascal
Pascal
Peter Bernstein
(1623-1662)
2007
p.5
Mandelbrot
Popper, Knight
Pascal
fractal geometry
(Mis)Behavior of Markets
2004
Mandelbrot
The
Richard Hudson
A Fractal View Of Risk, Ruin And Reward
determination rule
power laws
Fibonacci
Financial analyst Journal Volume 64 Number 2
1-2-3-5-8-13-21-34-55-89-144
144
1.618
1.6
Mandelbrot
1
sigma
0.74%
10
sigma
0.89%
0.89
5
28
20
10
1000
111
4
2
139
1915
7
10
83
bell curve
167
6
3
11 56
2
100
50
8
2
12
5
2
Monte Carlo
Carlo
100
3
3
07
1915-2007
3
Mandelbrot
Hudson (2004)
Financial analyst Journal Volume 64 Number 2
1926
1000
2006
500
500
11
1950
500
288
550
70
500
14 588
17
1470
40
40
500
1883-1946
1936
12
1951
20
80
GDP
95%
2
5
P/E
10
20
9.6%
(4.5
9.5
)
0.1
P/E
Minsky
Hyman Minsky
1976
Minsky
Minsky
20
80
92%
8%
26%
74%
Minsky
Minsky
Minsky
1988
20
25
2007
5280
4
Financial analyst Journal Volume 64 Number 2
1975
8000
2007
1975
15.7
GDP
GDP
50%
20
13
GDP
120%
GDP
1957
500
1.2
500
1982
2200
500
500
2006
4380
500
12
20
500
4
32
GDP
1945-2006
250%
GDP
GDP
60
600
10
45
5
GDP
10
Minsky
70
CDO
CDO
$400,000
5
AAA
CDO
B
C
15%
D
A
5%
CDO
BBB
75%
5%
2007
Bogle
800
Oscar Wilde
Charles Prince
(Nakamoto and Wighton 2007)
2007
CDO
221
CDO
107
241
UBS
184
11
2%
60%
HSBC
5%
1
5%
PE
2%
7%
6%
7
03
10%
07
3%
6%
Bogle
Bogle
Alan Greenspan
2005
12
1/3
20
8 300
230
2007
1.
2.
10
1929
17
3. 1926
11
2008
S&P500
381
1932
2006
14
90%
10.4%
9-11%
80
4.
41
2001
John Bogle
2001
5.
Bogle2007
15-18
Frank Martin
6.
Minsky
1974
:
7.
8.
Bogle
9.
McGraw-Hill
2007
6
20
Seides 2007
2008
2
1
10.
11.
12.
Lipper
500
50
Bernstein, Peter L. 2007. In Defense of the Greenspan Put and a Call on Pascals Wager. Economics and Portfolio Strategy
(15 December): www.peterlbernsteininc.com/.
Bogle, John C. 2001. The Economic Role of the Investment Company. Princeton University thesis in John Bogle on Investing:
The First 50 Years. Columbus, OH: McGraw-Hill. . 2007. The Little Book of Common Sense Investing: The Only Way to
Guarantee Your Fair Share of Stock Market Returns.
Hoboken, NJ: John Wiley & Sons.
Gokhale, Jagadeesh, and Kent Smetters. 2007. Do the Markets Care about the $2.4 Trillion U.S. Deficit? Financial Analysts
Journal, vol. 63, no. 2 (March/April):3747.
Gopnik, Adam. 2002. The Porcupine: A Pilgrimage to Popper. New Yorker, vol. 78, no. 7 (1 April):8893.
Holton, Glyn A. 2004. Defining Risk. Financial Analysts Journal, vol. 60, no. 6 (November/December):1925.
Keynes, John Maynard. 1936. The General Theory of Employment, Interest and Money. London: Macmillan, Cambridge
University Press, for the Royal Economic Society. (Currently available from
Prometheus Books and at http://cepa.newschool.edu/het/ texts/keynes/gtcont.htm.)
Knight, Frank H. 1921. Risk, Uncertainty, and Profit. Boston: Houghton Mifflin (www.econlib.org/LIBRARY/Knight/
knRUP.html).
Mandelbrot, Benoit, and Richard L. Hudson. 2004. The (Mis)Behavior of Markets: A Fractal View of Risk, Ruin, and
Reward. Cambridge, MA: Basic Books.
Martin, Frank K. 2006. Martin Capital Management Annual Report (http://mcmadvisors.com/downloads/2006_Annual_Report_
8_5_x_11_copy_for_website.pdf).
Nakamoto, Michiyo, and David Wighton. 2007. Citigroup Chief Stays Bullish on Buy-Outs. Financial Times Limited (9 July):
www.ft.com/cms/s/0/80e2987a-2e50-11dc-821c-0000779fd2ac. html?nclick_check=1.
Seides, Ted. 2007. The Next Dominos: Junk Bond and Counterparty Risk. Economics and Portfolio Strategy (1 December):
www.peterlbernsteininc.com/.
Taleb, Nassim Nicholas. 2007. The Black Swan: The Impact of the Highly Improbable. New York: Random House.