Thanks for your reply. Your point about diversification among asset
classes is well taken - the neglect of that was a fatal flaw in LTCM's
blow up.
Augustine (on this thread) brought up a couple of good point that I
think apply to the "derivatives" models. He refers to what have been
called "fat tails" of the standard bell curve (the 's**** oil':-).
Have you (or has anyone here) read anything about the specifics of any
"derivatives risk model" that would give specific insight into their
construction?
On Mar 20, 11:50 am, Don <dwz...@[EMAIL PROTECTED]
> wrote:
[trim]
> The same principle applies not only to detailed mathematical models,
> but also to a lot of generally accepted wisdom such as "stocks return
> more in the long run than real estate," or "banks are secure," or
> "government bonds are safe," and so on. That is a reason I would argue
> that diversification among asset classes is just as im****tant, if not
> more im****tant, as diversification among stocks.
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