85,951 research outputs found
Transcendental Aspects, Ontological Commitments and Naturalistic Elements in Nietzsche's Thought
Nietzsche's views on knowledge have been interpreted in at least three incompatible ways - as transcendental, naturalistic or proto-deconstructionist. While the first two share a commitment to the possibility of objective truth, the third reading denies this by highlighting Nietzsche's claims about the necessarily falsifying character of human knowledge (his so-called error theory). This paper examines the ways in which his work can be construed as seeking ways of overcoming the strict opposition between naturalism and transcendental philosophy whilst fully taking into account the error theory (interpreted non-literally, as a hyperbolic warning against uncritical forms of realism). In doing so, it clarifies the nature of Nietzsche's ontological commitments, both in the early and the later work, and shows that his relation to transcendental idealism is more subtle than is allowed by naturalistic interpreters while conversely accounting for the impossibility of conceiving the conditions of the possibility of knowledge as genuinely a priori
On Inefficiency of Markowitz-Style Investment Strategies When Drawdown is Important
The focal point of this paper is the issue of "drawdown" which arises in
recursive betting scenarios and related applications in the stock market.
Roughly speaking, drawdown is understood to mean drops in wealth over time from
peaks to subsequent lows. Motivated by the fact that this issue is of paramount
concern to conservative investors, we dispense with the classical variance as
the risk metric and work with drawdown and mean return as the risk-reward pair.
In this setting, the main results in this paper address the so-called
"efficiency" of linear time-invariant (LTI) investment feedback strategies
which correspond to Markowitz-style schemes in the finance literature. Our
analysis begins with the following principle which is widely used in finance:
Given two investment opportunities, if one of them has higher risk and lower
return, it will be deemed to be inefficient or strictly dominated and generally
rejected in the marketplace. In this framework, with risk-reward pair as
described above, our main result is that classical Markowitz-style strategies
are inefficient. To establish this, we use a new investment strategy which
involves a time-varying linear feedback block K(k), called the drawdown
modulator. Using this instead of the original LTI feedback block K in the
Markowitz scheme, the desired domination is obtained. As a bonus, it is also
seen that the modulator assures a worst-case level of drawdown protection with
probability one.Comment: This paper has been published in Proceedings of 56th IEEE Conference
on Decision and Control (CDC) 201
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