Averaging? - page 8
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Can we help with the formulas? To begin with, we need to describe it as formally as possible.
Can we help with the formulas? First of all, we need to be as formal as possible.
What was I doing, trying to formalise it)))
What was I doing, trying to formalise)))
Actually Markowitz did it and got a Nobel - it continues to be done by portfolioists all over the world and most of them, at least for the money.I would, of course, separate the NeWeatheran and the Nobel laureates. But I would also drop the term "averaging" and use the term "smoothing", since averaging is just one of the smoothing variants :)) And by the way - a lot of people probably know. But they lose sight of the fact that such a thing as a function average is defined as
, and in addition there is a broader concept of "average" - wikipedia ( Average) in addition "expectation" is also the average wiki ( Mathematical expectation )
And then there are Kolmogorov averages - wiki ( Kolmogorov Mean )
To understand better why it is not so obvious, I will give an example with dependent tests: We can toss coins one by one or simultaneously and it will be independent tests, but if we for example solder two coins "jointly" so that one will have heads and the other will have tails - and will also throw two coins, but these tests will not be independent. And in this case, no averaging will make any improvement... That is, if you win on one coin, you lose on the other. That's why you have to prove the dependence of the trial. :)
I would, of course, separate the Neutheran and the Nobel laureates.
I would like to remind you of the Nobels. Among the list of assets, the ones with the right correlation were chosen. At least there is some thought. Averaging is not an idea at all, especially considering that correlation is not an idea either, because Markowitz assumed that correlation is a constant, which is not the case.
I tried, but people needed formulas, and you can't describe an idea in formulas. Wait, I will write an advisor, set up experiments, gather statistics, and then I will throw formulas at you, but for now it is too early.
Give me a link, please, to your post, where you formulate the idea. I can't find anything but vague allusions to the future...... - в казино после четвёртого красного весь стол в чёрном.
Wow... cool! I want to go to that casino where ano, get me in there!!!!!!!!!