Comments on: Heuristics and Robustness in Asset Allocation: The 1/N Rule, “Hard” Constraints and Fractional Kelly Strategies

By: Self-Selection Bias and Self-Reinforcing Feedback Loops « Fractured Returns

Self-Selection Bias and Self-Reinforcing Feedback Loops « Fractured Returns — Thu, 23 Sep 2010 21:52:28 +0000

[...] high the model which seek to optimize its fit with the data will be inherently more unstable, a la Macro-Resilience, and less robust to changes within a dynamic system. Thus a push towards reliance on a model which [...]

By: Evolvability, Robustness and Resilience in Complex Adaptive Systems at Macroeconomic Resilience

Wed, 08 Sep 2010 09:28:33 +0000

[...] microeconomics, irreducible uncertainty implies a world of bounded rationality where many heuristics become not signs of irrationality but a rational and effective tool of decision-making. But it is [...]

By: Simoleon Sense » Blog Archive » Heuristics and Robustness in Asset Allocation: The 1/N Rule, “Hard” Constraints and Fractional Kelly Strategies

Sun, 11 Jul 2010 00:09:16 +0000

[...] Click Here To Read: Heuristics and Robustness in Asset Allocation: The 1/N Rule, “Hard” Constrai… Other Related Posts From Simoleon Sense:Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-Evidence on Individuals’ Asset Allocation [...]

By: admin

admin — Fri, 09 Jul 2010 13:17:55 +0000

Mark – you could make the argument that many macroeconomic paradigms based on Keynesian or Monetarist foundations make the mistake of overemphasizing optimality vs robustness.

By: mark

mark — Thu, 08 Jul 2010 16:04:00 +0000

You know, as I read this (linked from Infectious Greed), I could not help but think it equally well described the choice between fiscal austerity strategies (more robust, i.e., we know it’s going to do one thing right and also especially in light of Rogoff/Reinhart work) and Keynesian stimulus strategies (more optimal if they work as predicted but much greater uncertainy and proponents similarly systematically overestimate probability of success, e.g., failure of Romer/Bernstein multiplier model to predict effect of 09 stimulus).