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Author: solasis Big red star, 1000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 297  
Subject: Re: MPT and Efficient Frontier Date: 7/18/2000 12:26 PM
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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.

interesting.

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 - http://www.olsen.ch/library/research/oa_working.html

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

tr
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