这个货币制度设计弄人破产用的.

欧贝亚

谢谢指导。投资的领域的确不该只被单一产品和单一市场所限制的。太多限制（包括基金的限制，不管是自己限定的还是规则限定的）只会形成可以利用的弱点。

欧贝亚

请问hoollly兄对于这位专家的看法认同吗？Modern Portfolio Theory和VaR已经走到了尽头吗？

http://whereiszemoola.blogspot.c ... ked-in-current.html

Interesting commentary from Nassim Nicholas Taleb, author of ‘The Black Swan, published on UK FT.com

    * Bystanders to this financial crime were many
      By Nassim Nicholas Taleb and Pablo Triana

      Published: December 7 2008 19:18 Last updated: December 7 2008 19:18

      On March 13 1964, Catherine Genovese was murdered in the Queens borough of New York City. She was about to enter her apartment building at about 3am when she was stabbed and later raped by Winston Moseley. Moseley stole $50 from Genovese’s wallet and left her to die in the hallway.

      Shocking as these details surely are, the lasting impact of the story may lie elsewhere. For plenty of people reportedly witnessed the attack, yet no one did much about it. Not one of the almost 40 neighbours who were said to have been aware of the incident left their apartments to go to Genovese’s rescue.

      Not surprisingly, the Genovese case earned the interest of social psychologists, who developed the theory of the “bystander effect”. This claimed to show how the apathy of the masses can prevent the salvation of a victim. Psychologists concluded that, for a variety of reasons, the larger the number of observing bystanders, the lower the chances that the crime may be averted.

      We have just witnessed a similar phenomenon in the financial markets. A crime has been committed. Yes, we insist, a crime. There is a victim (the helpless retirees, taxpayers funding losses, perhaps even capitalism and free society). There were plenty of bystanders. And there was a robbery (overcompensated bankers who got fat bonuses hiding risks; overpaid quantitative risk managers selling patently bogus methods).

      Let us start with the bystander. Almost everyone in risk management knew that quantitative methods – like those used to measure and forecast exposures, value complex derivatives and assign credit ratings – did not work and could provide undue comfort by hiding risks. Few people would agree that the illusion of knowledge is a good thing. Almost everyone would accept that the failure in 1998 of Long Term Capital Management discredited the quantitative methods of the Nobel economists involved with it (Robert Merton and Myron Scholes) and their school of thought called “modern finance”. LTCM was just one in hundreds of such episodes.

      Yet a method heavily grounded on those same quantitative and theoretical principles, called Value at Risk, continued to be widely used. It was this that was to blame for the crisis. Listening to us, risk management practitioners would often agree on every point. But they elected to take part in the system and to play bystanders. They tried to explain away their decision to partake in the vast diffusion of responsibility: “Lehman Brothers and Morgan Stanley use the model” or “it is on the CFA exam” or, the most potent argument, “modern finance and portfolio theory got Nobels”. Indeed, the same Nobel economists who helped blow up the system at least once, Professors Scholes and Merton, could be seen lecturing us on risk management, to the ire of one of the authors of this article. Most poignantly, the police itself may have participated in the murder. The regulators were using the same arguments. They, too, were responsible.

      So how can we displace a fraud? Not by preaching nor by rational argument (believe us, we tried). Not by evidence. Risk methods that failed dramatically in the real world continue to be taught to students in business schools, where professors never lose tenure for the misapplications of those methods. As we are writing these lines, close to 100,000 MBAs are still learning portfolio theory – it is uniformly on the programme for next semester. An airline company would ground the aircraft and investigate after the crash – universities would put more aircraft in the skies, crash after crash. The fraud can be displaced only by shaming people, by boycotting the orthodox financial economics establishment and the institutions that allowed this to happen.

      Bystanders are not harmless. They cause others to be bystanders. So when you see a quantitative “expert”, shout for help, call for his disgrace, make him accountable. Do not let him hide behind the diffusion of responsibility. Ask for the drastic overhaul of business schools (and stop giving funding). Ask for the Nobel prize in economics to be withdrawn from the authors of these theories, as the Nobel’s credibility can be extremely harmful. Boycott professional associations that give certificates in financial analysis that promoted these methods. Remove Value-at-Risk books from the shelves – quickly. Do not be afraid for your reputation. Please act now. Do not just walk by. Remember the scriptures: “Thou shalt not follow a multitude to do evil.”

hoollly

VaR的参数从半年前开始,就疯狂被突破.

有没有用,见仁见智.不过明显现在很多用着volatility theory的对冲基金都在结着业.....

linkinwei

不了解你所谓的自力更生的意思．．难道要大家回到物物交换的时代？

hoollly

转贴一个文章:

All debt has to be finally suspended.                                                                                                                        Withthe way unemployment is going all debt should have been suspended longtime ago. If the suspension does not happen we might destroy thesociety.

Let's imagine a situation where the govt is to actually "safe theeconomy". Under this idea people will keep paying off the debt untilthey run out of money. This is super dangerous. It will create riots orwar.

The entire situation is unwinding at a very slow pace for the generalmasses. They are confused and do not know what to do. They keepservicing their debts thinking things will improve soon. They will not.

If the entire scenario was played out in a very short time people wouldknow what to do. They would finally realize there is no chance ofpaying off the loans.

Let's swing to real estate. I will show you that leverage does not havemuch to do with anything at this situation. The issue is much deeperand we have to stop going even deeper. So here it is:

There is a REIT company out there called General Growth Properties(GGP). They are 90% leveraged. Their payment (900 mil) is up anyminute. Example: they have a building with a 90% loan to value ration(LTV). Every investor would say these days they overleveraged. Economywent south, people do not pay rents (they are late) and they can notservice the debt on that building. Now look at me. I have a 3 familybuilding in New Jersey. My down payment was 50% (50 LTV). The propertywent up and now my loan to value ration is 25%. Again, moderneconomists would say I was smart. I invested very safe and my loan issafe. Not true. I am as safe these days us the guys at GGP. Let'simagine two of my tenants stop paying. I will fall behind on thepayments. Single tenant will not support my mortgage + taxes. Maybe Ican support my house with my money for few months, but what will happenin 5 months? What about if I have 5 houses like that? Do you see wherethis is going?

The above examples are not so bad, because I'm representing investors.What about home owners. They do not have tenants to help them paythings off.

The situation is so serious that we should completely take control. Donot get me wrong, I'm as much for free market as anybody, but the gamewas played for too long and we are in deep trouble. I speculate thatpaying off debts now will leave everybody broke including theinvestors, home owners, banks, US govt and everybody.

I know people complain about govt not doing much, but what can they do.We should instead take charge. We should stop servicing debts, until weforce major changes in our systems. This will be cheaper than anything,because if the economy does not improve in 3 years (I dont see a singlecatalyst out there) we will all go broke.

The other solution to the problem is Inflating the crisis away.Creating so much money that we pay everything off. The bottom line isthe solution to the current problem will have to taste bad.

What do you guys think?

P.S. I could also argue that Keynesianism economics is one big fraud.It assumes we will eventually go broke. Falling interest rates have afloor and that floor is called ZERO.