投资革命

• Kevin Lee

  2018-09-24
  As a result, the portfolio that conforms to Markowitz’s rule and that he “commends” to the investor is an efficient portfolio. It is a portfolio that offers the highest expected return for any given degree of risk, or that has the lowest degree of risk for any given expected return.
• Kevin Lee

  2018-09-24
  Diversification depends more on the way individual assets perform relative to one another than it does on how many assets the investor owns. In Markowitz’s terminology, “It is necessary to avoid investing in securities with high covariances among themselves.”
• Kevin Lee

  2018-09-24
  Williams’s model for valuing a security calls for the investor to make a long-run projection of a company’s future dividend payments and then to test that projection against his own confidence in its accuracy. Forecasting future dividends for a public utility, for example, is easier than forecasting dividends for General Motors, and forecasting the long-run outlook for General Motors is easier than forecasting the outlook for a start-up company in a highly competitive business. Williams then shows how to combine the long-run projection of dividends with the expected degree of accuracy of that forecast to estimate the intrinsic value of the stock. Williams called his model the Dividend Discount Model.
• Kevin Lee

  2018-09-24
  Despite its formidable appearance, the true meaning of Markowitz’s article is also homey. It boils down to nothing more than a formal confirmation of two old rules for investing: Nothing ventured, nothing gained. Don’t put all your eggs in one basket.
• Kevin Lee

  2018-09-22
  Hamilton repeatedly stressed a central idea of Dow Theory that prices on the New York Stock Exchange are “sufficient in themselves” to reveal everything worth knowing about business conditions. Here Hamilton was anticipating a radical concept that was to appear long after his death. In the 1960s, a group of college professors would develop the Efficient Market Hypothesis, based on the notion that stock prices reflect all available information about individual companies and about the economy as a whole. The Efficient Market Hypothesis, however, also looks back to Bachelier, for it assumes that information is so rapidly reflected in stock prices that no single investor can consistently know more than the market as a whole knows. Hamilton, on the contrary, believed that the market itself reve...
• Kevin Lee

  2018-09-22
  Dow theorists boast that they can identify the very moment when what appears to be only a slight fluctuation is actually the first sign of the reversal of a major trend. They do not always agree among themselves, however. Disputes often arise over whether a slight fluctuation away from a trend is just a temporary setback—a “correction,” in market patois—or the onset of a new trend. Sometimes the signal appears so late that the main trend has almost exhausted itself, and stock prices are about ready to turn around and start a new trend headed in the other direction.
• Kevin Lee

  2018-09-22
  Underlying the so-called Dow Theory is the assumption that trends in stock prices, once under way, will tend to persist until the market itself sends out a signal that these trends are about to lose their momentum and go into reverse.
• Kevin Lee

  2018-09-22
  This conclusion led Bachelier to another important insight. The size of a market fluctuation tends to grow larger as the time horizon stretches out. In the course of a minute, fluctuations will be small—less than a point in most instances. During a full day’s trading, moves of a full point are not unusual. As the time horizon moves from a day to a week to a month to a year and then to a series of years, the range within which prices swing back and forth will grow ever wider.
• Kevin Lee

  2018-09-22
  The key to Bachelier’s insight is his observation, expressed in a notably modern manner, that “contradictory opinions concerning [market] changes diverge so much that at the same instant buyers believe in a price increase and sellers believe in a price decrease.” Convinced that there is no basis for believing that—on the average—either sellers or buyers consistently know any more about the future than the other, he arrived at an astonishing conjecture: “It seems that the market, the aggregate of speculators, at a given instant can believe in neither a market rise nor a market fall, since, for each quoted price, there are as many buyers as sellers.” Now comes the real punch, in Bachelier’s words and with his own emphasis: “The mathematical expectation of the speculator is zero.” 法预测的 In a...
• Kevin Lee

  2018-09-22
  Past, present, and even discounted future events are reflected in market price, but often show no apparent relation to price changes. . . . [A]rtificial causes also intervene: the Exchange reacts on itself, and the current fluctuation is a function, not only of the previous fluctuations, but also of the current state. The determination of these fluctuations depends on an infinite number of factors; it is, therefore, impossible to aspire to mathematical predictions of it. . . . [T]he dynamics of the Exchange will never be an exact science.
• Kevin Lee

  2018-09-18
  Another major player in the revolution was the computer itself. None of the theories we shall be describing here could have had any practical applications, or could even have been tested for its real-world relevance, had this revolutionary device not been available. Its extraordinary capabilities opened the way to theoretical frontiers that might otherwise have remained hidden. By transforming the sheer mechanics of financial transactions, the computer shaped their outcomes as well.
• Kevin Lee

  2018-09-18
  Because stocks and bonds are liquid, decisions to buy or sell them can be easily reversed. They change hands anonymously as their prices march across the computer screen. Because they move in response to information of all types, the player who gets the information first has an enormous advantage.
• Kevin Lee

  2018-09-18
  Such volume would be impossible without the computer. Many complex securities could not even be priced without the computer’s speed and mathematical capabilities. The whole world, it seems, is becoming computerized.
• 无痕

  2015-02-02
  对于金融业来说，从来都是信息比知识更重要。
• 无痕

  2015-01-29
  巴恰塔亚等人认为，社会的创造性源于个人认识和社会网络的结构。互联度太高导致社会成员的相似性太高，会降低一个社会的创造性；互联度太低则丧失了合作创新机制。
• Kevin Lee

  2018-09-24
  The convenient fact that has just been proved is that the proportionate composition of the non-cash [i.e., risky] assets is independent of their aggregate share of the investment balance.This concept has come to be known as the Separation Theorem, because it argues that the Markowitzian process of selecting securities for the most efficient risky portfolio is completely separate from the decision of how to divide up the total portfolio between risky and risk-free assets. Two levels of decisions are required.The investor’s first and most important decision is how much overall exposure to risk is appropriate—how much to hold in risky securities like stocks and how much to hold in more stable assets like bonds and cash.Having determined the appropriate exposure to risk, the investor’s ne...
• Kevin Lee

  2018-09-24
  Tobin points out that Keynes built two bizarre features into his theory of Liquidity Preference. For one thing, Keynes assumed that investors’ expectations of interest rates in the future are extremely slow to change: “. . . the rate of interest is a highly conventional, rather than a highly psychological phenomenon. . . . Any level of interest which is accepted with sufficient conviction as likely to be durable will be durable. . . . [I]t may fluctuate for decades about a level which is chronically too high for full employment.”Keynes’s second unrealistic assumption was that each investor would choose between cash and risky assets in an either-or manner, holding only one asset at a time. Investors who expected interest rates to rise would want to hold all their capital in cash; investors...
• Kevin Lee

  2018-09-24
  Keynes uses the expression “Liquidity Preference” to describe the idea that investors will not part with their cash unless they perceive the reward for doing so as adequate. Interest, in other words, is not only a reward for saving; it is a reward for taking the risk of owning assets that fluctuate in value and are costly to buy and sell.Money, the basic liquid asset, cannot fluctuate in price, because it itself defines price. Moreover the cost of using money to pay for things is minimal, most often zero. If other assets shared these unique attributes, stocks and bonds and even real estate could circulate as money. Other assets do not share these attributes, however. Their future prices are uncertain, and buying and selling them is costly. All other things being equal, therefore, people p...
• 无痕

  2015-01-29
  遗憾的是，在互联网电商领域，长尾现象有消失的趋势。来自淘宝的统计数据发现，畅销品构成的短头越来越粗，而其他产品构成的长尾越来越短，甚至消失了。对于整个平台系统而言，长尾效应的消失是致命的。它将导致整个平台不再外延扩张，而是向内收缩，导致平台被锁住，整个生态系统遭到破坏。而同时，还有很多案例显示马太效应对于经济、文化等系统的破坏力量。破坏的根源在于马太效应遏制多样性、创新的产生。