A Wonky Post in the Works – The Aleph Blog

Helping Institutions and Ordinary People Invest Better by Focusing on Risk Control

Posted on 19 July 2007 by David Merkel

As I mentioned previously, I have a post coming on the relationship of the VIX to the S&P 500.? With apologies to Bill Luby, who handles VIX issues well, this should be a significant piece for those that are willing to bear with a little math.

One aspect of me that is weird, is that I love and hate mathematical finance.? When it is done well, it is a thing of beauty.? I tuck those articles away, and if I can, I implement them.? Most of it is not done well, though, particularly among practitioners, and academics that are slaves to modern portfolio theory.

I am done with all of the calculations, and probably all of the graphs for the article.? I am impressed with the results, which is not a common occurrence. I am my own worst critic on my efforts in mathematical finance.

After this, the next two posts should deal with commentary on my portfolios (tonight), and speculation in the markets, while ignoring subprime lending to the greatest extent possible (tomorrow?).

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