Comments on: Book Review:Beat the Market: Invest by Knowing What Stocks to Buy and What Stocks to Sell http://alephblog.com/2008/12/13/book-reviewbeat-the-market-invest-by-knowing-what-stocks-to-buy-and-what-stocks-to-sell/ Helping Institutions and Ordinary People Invest Better by Focusing on Risk Control Mon, 13 Feb 2012 17:14:22 +0000 hourly 1 http://wordpress.org/?v=3.3.1 By: Kurt Osishttp://alephblog.com/2008/12/13/book-reviewbeat-the-market-invest-by-knowing-what-stocks-to-buy-and-what-stocks-to-sell/comment-page-1/#comment-20387 Kurt Osis Sat, 13 Dec 2008 22:05:18 +0000 http://alephblog.com/?p=1246#comment-20387 David: How can advocate people using these models which clearly don't work? Estimating volatility is a suckers bet. Even if you could estimate the underlying "actual" volatility with 100% accuracy there would be sample error in your realized volatility. And of course the volatility isn't just changing, the fundamentals of the underlying are changing. I once heard of a man named Mandelbrot who said volatility was infinite, in which case these sigmas and lemmas are a bit beside the point, no? David:

How can advocate people using these models which clearly don’t work? Estimating volatility is a suckers bet. Even if you could estimate the underlying “actual” volatility with 100% accuracy there would be sample error in your realized volatility. And of course the volatility isn’t just changing, the fundamentals of the underlying are changing.

I once heard of a man named Mandelbrot who said volatility was infinite, in which case these sigmas and lemmas are a bit beside the point, no?

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