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“the frequency of very large, unpleasant losses is minimized for a certain level of return.”
Peters of PanAgora, reported in 1994 what appeared to be a complete, logical system of variation of H by asset type. High-tech stocks had high dependence and H values; stable utility shares had H values closer to those of a random walk. That meant the high-tech stocks were more volatile, as conventional analysis tells us. Peters went on to argue that, for an investor, that made them a better bet because their price trends could be
A bank that weathers one crisis may not survive a second or a third. I thus urge the regulators, now drafting a New Basel Capital Accord to regulate global bank reserves, to encourage the study and adoption of yet more-realistic risk models.
