From: gts (gts_2000@yahoo.com)
Date: Sun Jun 15 2003 - 06:39:37 MDT
Eliezer S. Yudkowsky wrote:
>> Normal or Pareto?
>
> Hm... on further reflection, shouldn't it be log-normal?
There really is no need here for non-normal distributions.
One can assume a normal distribution when considering the annual returns of
traders who manage diversified portfolios. Evidence for market
inefficiencies would be found in a difference between the mean return for
expert traders vs. the market return. No such evidence exists. In fact the
evidence is that the market return is greater after transaction costs.
-gts
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