Tag Archives: efficient frontier


DITMo: Red Heifer versus Black Swan

by Peter J. de Marigny Introducing “The Red Heifer” in Capital Markets A “Red Heifer” is a rare event condition, however, it is an event that differs from a “Black Swan” in that it is not a return observation within a sample of chained return measurements.  A “Red Heifer” event is one that creates its own discrete data series.  A […]

DITMo: Death of the Black Swan

by Peter J. de Marigny “I cannot get there from here, baby And I don’t care where I’m goin’ Change, Unchained… Nothing Stays the Same” Lyrics from the Van Halen song, Unchained, may be applied to investors’ skeptical view of how asset returns are “chained” together for attributions.  These “chained” returns are then used to create an attribution of returns […]