If you keep you index always up to date it will appear Gaussian. This is because a Gaussian curve allows you to keep up to date on balancing the index. It means that you assume we all make completely independent trips to the store, then you minimize cross correlations and can make independent updates to your index.
It is a bit like being a pit boss in the trading pit. It is a lot like being a store clerk and managing deliveries. And a lot like optimum portfolio management. It really is PSST, sorry Kling, it is a math, not a philosophy.
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