MIT Laboratory for Financial Engineering
MIT Laboratory for Financial Engineering
The MIT Laboratory for Financial Engineering (LFE) is a research center focused on advancing the theory and practice of financial engineering and technology. Drawing on a diverse set of disciplines-finance, computer science, cognitive sciences, biology, medicine, and engineering-LFE researchers are developing new insights into financial market dynamics and how these dynamics can be shaped to improve the efficiency of the financial system and benefit society. LFE projects fall into five broad categories: healthcare finance, foundations of human behavior and financial market dynamics, fintech and AI, asset-market dynamics, and risk management. Here you'll find videos showcasing the research being done at the LFE and its practical implications.
Information about accessibility can be found at accessibility.mit.edu/.
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Undoubtedly one of the best finance interviews of all time. Those who cannot recognize the value of Scholes' insights have never truly understood the nature of markets and/or portfolio management. His findings are mathematically sound, though his proposed application of the knowledge is not. The option market does not reflect future knowledge, but merely today's perception of the future in the form of a best estimate. In mostly efficient markets, building a strategy upon known information is a fool's game as it is already priced into markets. Instead, investors should diversify across any sources of uncorrelated systematic risk and thereby reduce their expected volatility drag/convexity costs.
Great talk Prof. Pan!
200 + yrs of Knowledge here
For the uninitiated, the speakers are the Bronx Bombers of derivatives
Thank you
Most interesting interview, I'm only at 8min
Thanks.
Amazing! Thanks so.much.
this was the most stimulant lecture of this series.
My first time listening to Dr. Seigel. Thank you for sharing, team!
Such an obvious and brilliant critique of target date funds. The problem is that you have to be someone of Myron Scholes's stature to be taken seriously when your critique target date funds in this manner.
One has to distinguish between theory and practice here to my mind. Just because the current implementation of target date funds is not sound does not mean the whole idea is useless.
Yes, fair enough. You make a reasonable point. Overall, though, I think that target date funds should seek to lower risk as time passes and too many of them are hard-wired to the idea that the Bloomberg Barclays Aggregate Bond Index is "low risk" and equities (potentially including real estate equity and, dare I say, Bitcoin) are high risk even though we live in a world that is predisposed to solve every problem through quantitative easing. To draw upon the ideas of Jim Grant, we now live in an inherently inflationary world where "something for nothing," debt forgiveness, government stimulus, and consumption without production are viewed as God-given rights by the young people. It started with Greenspan bailing out LTCM and has snowballed over the decades. It strikes me as very flawed that target date funds axiomatically push money into bonds as time passes. Perhaps more adoption of insurance company-backed stable value funds is the answer. --> stablevalue.org Thanks for commenting. @@glorydays1565
@@WhiteCloud746 ultimately, you want to have a stable exposure to sources of systematic risk and their associated risk premia over time (measured as an excess return over the risk-free rate). In the world of non-equilibrium markets, as described by Scholes in the video, the future time-varying distribution of systematic risk across its various sources is unknown. Investors should diversify across any sources of uncorrelated systematic risk to keep their expected exposure to systematic risk more stable over time and thus reduce their expected volatility costs.
wonderful talk with one of my favourite equity experts, at one my my favourite locations with a full view of the Charles and in my favourite university in my favourite american city. Cant ask for more
Bizarre and a waste of time. Bet he cannot beat the S&P 500 consistently or over the longer term. BTW, his version of B-S formula assumed volatility and interest rates as constant, which is ridiculous.
He explained it in the video. You can compress time to the infinitesimal limit by splitting any given period of time infinitely many times. Alternatively, you can start from the infinitesimal limit in the form of a stochastic differential equation as Merton did. Both ways lead to the same result which is why your critique is pointless.
Does Jeremy have $1 billion in net worth from investing ?
Buy low and sell high… Where is my Nobel Prize in Economics?
How many billions has your hedge fund lost?
Relying on the market for information is crazy.
Efficient financial markets are pricing in any currently available information. The "problem" is rather that there is no way of exploiting information that has already been priced in.
Thank you.
This financial old fox is VERY SMART to remind the viewers to READ OR BUY HIS BOOK. LOLOL
So sorry for your loss. Agree with the need for public funding here. Apart from the pharma though there are plenty of cancer charities. There are also the hospitals who should want to get better outcomes for their clients for the least cost possible. Also universities and thesis for doctorates.
Hablando del portfolio perfecto cuando casi arruinas la economía mundial con tus experimentos, descarado. Deberías estar en la cárcel.
I am so happy to have found this video. I have strongly believed for a very long time, that removal surgery could exacerbate the situation. I believe removal allows cells to break off and relocate. Why after ungodly amounts of money donated by generous people, have we not come leaps and bounds? Greed If I, with no medical training, instinctively knew this, where are the best and brightest trained professionals? Too many loved ones lost to this monster, surely our medical experts can do better. Crowdsource eradicating it. Trust the public, we are far more capable then you give us credit for. Thank you for this video.
Fascinating talk, can you share how the trial went in Belgium?
Yes I would like to hear that too.
Clinical trials like this can be very cruel for those that get the placebo.
Cancer surgery without the intervention is already retrospectively cruel.
Wonderful information! I have the greatest respect for Jeremy Siegel.
Why is risk not constant in an index fund? The risk of each company does shift, but on an aggregate scale I doubt it changes very much. Would be interesting to see some data on this though
it changes, there is something called volatility clustering
If the market has just crashed 30% like in march last year the risk in MASSIVELY lower than for example right before that crash or even right at this moment.
The S&p 500 does average a 9% return but that average doesn't include the negative returns the S&P will have in bad years, like 2009, it was a negative reurn for the index so the model of just regressing returns against the S&P leaves out the risk of severe losses. The benchmark(S&P) is thus a risky asset so using that as the benchmark is only a starting point in building a portfolio
Are you talking about realized risk or expected risk? (as there is a huge difference between the two). When it comes to risk expectations, markets can be modeled as non-equilibrium systems, rendering the distribution function explicitly time-dependent. This is Scholes' point in the interview about time-dependent risk/return expectations. From a purely rational point of view, the expected risk/return _ratio_ should be assumed constant over time, i.e. the same return for one unit of systematic risk would be expected for different time periods (allowing for time-dependent expected risk and return). This is refuting the false assertion that expected risk would necessarily decline after a drawdown. Due to the increased uncertainty in such situations either the opposite is true and both expected risk and return should be increasing, both should be decreasing, or there is no change at all. That said, market participants do not need to be rational all the time but we cannot systemically predict occurrences of irrationality.
What do ppl with Gi surgeries do? Cannot take this drug in fear of gi bleed during surgery? What do pts with gi cancers take?
Amazing writter !
Wow, such a good conversation. Just finished his book Stock for the long run and found this. Really nice. Thanks!
1000 times better than watching the trash on regular TV.
It seems criminal that so view people watch these icons and the wisdom they share
what a waste of 30 minutes, what do we need to take and the dosage, get to the point.
These videos are unbelievably good. Having a relatively casual interview with people like Jeremy Siegel (and others) is simply amazing. I feel these videos should be advertised/promoted for public benefit.
In this interview, Scholes tells us that a 60/40 allocation and target funds are not the way to go, but he never discusses what he recommends for the individual investor to do. He can only discuss risk management concepts that only huge institutions can do, but are apparently not doing.
I believe you're correct in your understanding--his statements are academic, are scattered all over the "playing field" and relatively unusable. Perhaps on the day we each come to manage our own multi-billion dollar pension funds which are designed to operate into perpetuity... (blahh, blahh, blahh...).
Robert Root yes, most MIT “perfect portfolio” videos are helpful, but not this one!
I believe in his view there should not be individual investors making their own decisions for retirement. He is a messenger of active investing and the finance industry. You should give your money to the finance experts like him and they will take care of it, because they can strike the market. That is the narrative.
@UC6Eh-S_RDhvI-rZA_GrCZog try to reference the time in this video when he says pick a passive index. He says nothing in this video about any suggestions regarding a passive index.
he says you should target constant volatility which could mean buying and selling options to manage risk or employ other strategies
i feel smarter listening to brillant people. Thank you for posting
No questions about the collapse of Long Term Capital Management?!
20 feet river
All he did was reaffirm my understanding of (and belief in) Bogle's broader recommendations, and Buffet's recommendation to individual investors. Reading through his bio on Wikipedia, almost everything he has been involved in beyond academia are short-term focused trading operations, that exhibit long tails of increasingly lowering successes (e.g., Janus). He really believes in himself, LoL.
Robert Root Bogle has said a 60/40 is a reasonable portfolio and one that he personally uses via his investments in Wellington. In this interview, as Scholes says that a 60/40 allocation and target date funds are NOT the way to go, but he never suggests any specific portfolio allocations or alternatives. Normally, the MIT perfect portfolio series provides helpful suggestions, but this one does not provide any useful guidance even though the interviewer asked him repeatedly.
@@everetteborr The same with the Robert C. Merton interview.
What do you expect? In the Robert C. Merton Interview the collapse is also not mentioned.
Scholes says what happens in the next 3 months is most important. Bogle and buffet say focus on the long horizons. How do we reconcile this?
Because of that people like Scholes say, you need a financial adviser. In the long term you do not need it and you can invest the saved money in ETFs and not financial advisers.
Mr Buffet made a fortune in long term investment. The great Jim Simons made his fortune in trading. Same goal can be achieved in multiple ways.
If you don't know it's best to follow the market, if you know (either by luck or with the right available tools or with a new groundbreaking idea) you can perform better. He says that if the world could refocus on his ideal of perfect portfolio and what its recipes are, people could achieve more. But this is not the case nowadays.
Scholes lost billions, buffet made billions. LOL.
You obviously did not get his point. His reference was meant in the sense that any short term behavior of a portfolio will necessarily translate into a corresponding long term behavior by compounding over time. There is nothing to reconcile about these two statements.
He's so well spoken and intelligent.
No
His hedge fund lost $4.6 billion in it's 2 year existence. LOL. Such "intelligence"
I have stage IV breast cancer that recurred a year after my mastectomy. I didn’t have the information about NSAIDS prior to surgery. I recently had a completion mastectomy but this time I knew that a combo of Etolodac and Propranolol taken pre and postoperatively May reduce they cytokines storm, systemic inflammation, and overall tumor burden. I’ve been taking repurposed meds alongside metronomic chemotherapy with very good results. Repurposed meds are the future of cancer, if you ask me. The cost is minuscule compared to my chemo/targeted meds.
how are you doing now?
It also needs to be known that surgery and anesthesia (both full and partial) can cause brain inflammation resulting in cognitive loss, sometimes even dementia. Drugs given before surgery can minimize this. Amazing how many doctors and surgeons have no clue.
@@SophiaDeVere Yup, docs and surgeons are clueless about this. They think if they bring the patient back to consciousness, their job is done. I feel like I aged 10+ years mentally/cognitively after undergoing (orthopedic) surgery, yet no medical professional or alternative therapies provide any help nearly a dozen years later.
@@StarSeptember Yes, their ignorance is nothing short of criminal. Things I like for improving cognitive function are Glyconutrients (Ambrotose), organic coconut oil, and supplements like Prevagen and others.
No sound on vid
KZread: Video Proof cancer is caused by parasites. Real time under the microscope evidence that's been known about for DECADES and it boils down to common sense. We here in the wicked wicked west have all been brainwashed. That's why we are called the Melting pot. Wake up to what's really going on. Its all about parasites and bacterial infections run a muck inside our bodies. Cut and dry. Not that chemicals won't kill us because we know they will but parasites and bacterial over load is what causes most all disease. This is a fact.
I would tell everyone to take a close look at low dose neltraxone. Watch the documentary LDN & cancer the game changer. Low dose neltraxone balances the immune system so it can do the job it's suppose to do. I would say this drug does the same thing as this drug this Dr. Is talking about. LDNscience.org, ldnresearch trust.com. it balances the T1. -T2 response for one, it upregulates endorohins 200-300% with ONE DOSE. Do your research.
Very instructive!
Excellent!
Hi
Yall are prodigies if you can understand half this stuff
@@prestonchaussee790 i takes to lear about theory of finance... which started during the early 1950ies i guess...
Wow they are all Jews
They r smart humans .
Did you even understand them?
Great interview!
Such a great scholar. Jeremy and robert are 2 of the wisest men on earth. I would love to see them both do a interview together.
I know im asking the wrong place but does anybody know of a method to log back into an instagram account?? I stupidly forgot the account password. I would appreciate any tricks you can give me.
@Devin Justus Instablaster :)
@Jerome Maxim Thanks so much for your reply. I found the site thru google and Im waiting for the hacking stuff atm. I see it takes quite some time so I will get back to you later when my account password hopefully is recovered.
@Jerome Maxim It worked and I now got access to my account again. I'm so happy! Thank you so much, you saved my ass!
@Devin Justus No problem xD
Fine perspective !
Let's support GlobalCures Inc. and help cancer patients by advocating for clinical trials for "Financial orphan drugs" and repurposing of certain drugs that are overlooked for cancer use due to lack of profitability.
Finally! Let's get all these low cost, non-side effect treatments to the patients. Just like the miraculous 3-BP protocol being developed..also being held up by litigation over who is going to get the nobel prize and patent...while thousands of patients die. Patients need to unite in support of advocates like Vikas and Global Cures! Www.global-cures.org