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Publication Name: Falkenblog

Publication URL: http://falkenblog.blogspot.com/

RSS Feed: link

Owner Email: http://falkenblog.blogspot.com

Joined: November 27th, 2011

Activity

Falkenblog wrote a new blog post titled Centralized vs. Decentralized Social Welfare Maximizers

Faith in a select group of public servants to maximize social welfare is no better founded than the belief in the supernatural gifts of kings or noblemen. Just as misguided is the idea that good things, as decided by a majority, should be mandated. It should be remembered that our current prosperity and freedom have resulted from unwanted gradual changes in mores related to property rights, which when firmly established sparked the Industrial Revolution. Nobody planned that. Property rights were not created to win wars or eliminate poverty, though they did that as well as many other good...
(8 days ago)

Falkenblog wrote a new blog post titled The History of Individual Property Rights

John LockeIt is important to understand that property rights are not grounded on logic, but no right is.The liberal ideas that gave rise to the Enlightenment are generally thought (eg, Steven Pinker) to be a break from a religious thinking. Yet the key liberal idea, individual rights, especially property rights, are an axiom with little justification outside Christian theology. As Feynman noted with regards to scientific laws, the process of finding new ones is not deriving them via logic, but rather, guessing, and then looking at the consequences. History has shown that individual property...
(16 days ago)

Falkenblog wrote a new blog post titled Why My 1994 Low-Vol Dissertation Didn't Make Impact

Pim van Vliet posted a link to my 1994 dissertation, noting it was an early documentation of the low-vol effect. One may wonder, why did this early evidence fall flat? Clearly, lots of things, but I'll try to highlight the keys.Here's my lead paragraph, which makes clear I saw the low vol effect before most everyone:This paper documents two new facts. First, over the past 30 years variance has been negatively correlated with expected return for NYSE&AMEX stocks and this relationship is not accounted for by several well-known prespecified factors (e.g., the price-to-book ratio or...
(40 days ago)

About:

I'm 46, and have three cute little kids and a beautiful wife. I'm a quant for a financial firm that does many things, mainly equity options market making, and I try to avoid things related to day-to-day activities. I blog for fun, and to champion some of my pet ideas.