Actually, I recently read something by Scholes where
he admitted the importance of the normal distribution
assumption and admitted that it does not hold.
After initially following Mandelbrot to advocate the
asymptotically infinite variance Pareto-Levy distribution,
Fama later did some
, August 23, 2000 4:43 PM
Subject: [PEN-L:768] Re: Re: Jamie Galbraith on Long Term Capital Management
At 03:56 PM 8/23/00 -0400, you wrote:
Actually, I recently read something by Scholes where
he admitted the importance of the normal distribution
assumption and admitted that it does not hold
At 03:56 PM 8/23/00 -0400, you wrote:
Actually, I recently read something by Scholes where
he admitted the importance of the normal distribution
assumption and admitted that it does not hold.
was this before or after the Long-Term Capital Managment debacle?
Jim Devine [EMAIL PROTECTED]
