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Subject:  Re: MPT and Efficient Frontier Date:  7/18/2000  12:26 PM
Author:  solasis Number:  41 of 297

peter xyz,

have you read chris may's book Non-linear Pricing ?

expensive but definitely worth the price imho.

regarding super-cat, i agree with your general assumptions. past history indicates that large super-cat events improve pricing in the subsequent years. the problem with super-cat as an investor (fyi i am an owner of BRK class b shares) is that even with a longer term horizon, say 10, 20 years or even 30 years, there is a not insignificant probability that super-cat events can cluster within those time frames.


as far as normalizing price structure volatility, in risk arbitrage i have been adpating some techniques developed in the currency markets by the folks at Olsen in Zurich -

their focus of course is very short term, but i think that some of this stuff is very scaleable.


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