Miscellaneous Arcane Notes




Occasionally I'll get interested in some little mathematical problem, often arising from something in finance. Scribbled notes may result, and if I'm bored enough, sometimes I'll try to write it up into a very introductory note, mostly to distill the scribblings into something more coherent, which can easily be looked up should the "need" arise. Perhaps some of these notes may be of interest to others. Although, I doubt the audience is large, as the math and finance aspects may each be at the wrong level for most people.

Each note is available in PostScript (.ps) and PDF (.pdf) format. Pick whichever works best for you.

Looks at the definition of, and formulae related to, bond duration. (Preliminary version.)

dura.ps , dura.pdf .

Proves (twice) that the geometric average is less than or equal to the arithmetic average even for weighted averages.

avgs.ps , avgs.pdf .

Spells out the details of Sharpe's Arithmetic, which condemns active management to aggregate relative mediocrity. Oh joy!

index.ps , index.pdf .

A pedantic look at the assumptions behind, and corrections to, the Gordon Equation, which is used to estimate financial returns.

gordon.ps , gordon.pdf .

This isn't a math note; rather, it summarizes my attempted viewpoint of stock valuation.

value.ps , value.pdf .

Comments, corrections, questions and suggestions are welcome.
idop [AT] titanica.dynalias.org