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Old 05-31-2018, 04:03 PM
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fdsafdsa fdsafdsa is offline
Join Date: Mar 2018
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Originally Posted by Colonel Smoothie View Post
I model those trends with general factor model or AR(2) autoregressive process. That way I can incorporate projection risk into my estimates.
I think this was meant as a joke, but I did just build a quasi-stochastic model based on historical returns to get a sense check on my result. An interesting experiment, particularly in building an efficient frontier by asset class based on probability of failure.

Still not willing to use any of it to pull the trigger on that decision though, at least, not, yet.
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