http://allaboutalpha.com/blog/2006/12/05/alpha-as-a-net-zero-sum-game-how-serious-a-constraint/ A finance blog about hedge funds, portable alpha and alternative investing. Mon, 13 Feb 2012 11:26:54 +0000 http://wordpress.org/?v=abc hourly 1 http://allaboutalpha.com/blog/2006/12/05/alpha-as-a-net-zero-sum-game-how-serious-a-constraint/comment-page-1/#comment-327 All About Alpha » Blog Archives » The Best Business Model - Ever Tue, 16 Jan 2007 00:25:05 +0000 http://allaboutalpha.com/blog/2006/12/05/alpha-as-a-net-zero-sum-game-how-serious-a-constraint/#comment-327 [...] Ineichen goes on to explain that the “fools” to which he refers are really just players behaving uneconomically. Â  Calling casinos the “second best business model ever”, he raises a point that is central to the argument that alpha actually exists.  He says casino gambling losers aren’t really losers after all since they benefit from a “form of entertainment and sensation”. Regular readers will recognize this as being similar to the arguments put forth by Max Darnell and others to explain why alpha might be somewhat immortal.  [...] [...] Ineichen goes on to explain that the “fools” to which he refers are really just players behaving uneconomically. Â  Calling casinos the “second best business model ever”, he raises a point that is central to the argument that alpha actually exists.  He says casino gambling losers aren’t really losers after all since they benefit from a “form of entertainment and sensation”. Regular readers will recognize this as being similar to the arguments put forth by Max Darnell and others to explain why alpha might be somewhat immortal.  [...]

]]> http://allaboutalpha.com/blog/2006/12/05/alpha-as-a-net-zero-sum-game-how-serious-a-constraint/comment-page-1/#comment-210 All About Alpha » Blog Archives » Net Inflows and Time-Varying Alphas: The Case of Hedge Funds Tue, 09 Jan 2007 00:32:53 +0000 http://allaboutalpha.com/blog/2006/12/05/alpha-as-a-net-zero-sum-game-how-serious-a-constraint/#comment-210 [...] But how can this be? Â  Intuition suggests that more assets chasing the same inefficiency will eventually arbitrage- (”iron”) out that inefficiency.  As Alexander Ineichen says in his new book, the market “learns” or “becomes immune” to the arbitrageur (although he does say that markets cannot be perfectly efficient).  But according to Beltratti and Morana, market participants have heterogeneous utility functions (a notion also argued by Max Darnell, Joanne Hill, and William Sharpe): “The wide variety of real world investors, including noise traders and investors with heterogeneous time horizons and objectives, seems to provide plenty of opportunities for hedge funds managers to exploit: the limits of arbitrage do not seem to have been met yet.” [...] [...] But how can this be? Â  Intuition suggests that more assets chasing the same inefficiency will eventually arbitrage- (”iron”) out that inefficiency.  As Alexander Ineichen says in his new book, the market “learns” or “becomes immune” to the arbitrageur (although he does say that markets cannot be perfectly efficient).  But according to Beltratti and Morana, market participants have heterogeneous utility functions (a notion also argued by Max Darnell, Joanne Hill, and William Sharpe): “The wide variety of real world investors, including noise traders and investors with heterogeneous time horizons and objectives, seems to provide plenty of opportunities for hedge funds managers to exploit: the limits of arbitrage do not seem to have been met yet.” [...]

]]> http://allaboutalpha.com/blog/2006/12/05/alpha-as-a-net-zero-sum-game-how-serious-a-constraint/comment-page-1/#comment-124 All About Alpha » Blog Archives » Attack of the Clones (Again) Fri, 08 Dec 2006 03:57:33 +0000 http://allaboutalpha.com/blog/2006/12/05/alpha-as-a-net-zero-sum-game-how-serious-a-constraint/#comment-124 [...] Alpha as a Net Zero Sum Game: How Serious a Constraint? [...] [...] Alpha as a Net Zero Sum Game: How Serious a Constraint? [...]

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