John C.

Bogle

1987

10

19

20
2246

1738
13%

25%

1929

10

29

1987

Financial analyst Journal Volume 64 Number 2

2008 CFA institute

2007

2007

2%

Taleb
2(The Black Swan: the Impact of the Highly Improbable)
(rarity)

(extremeness)

(retrospective predictability,

2002

Knight

Frank H. Knight
1885-1972
Knight
Financial analyst Journal Volume 64 Number 2

2008 CFA institute

p.19
Knight

Knight

p.199

Knight

Glyn A. Holton

2004
exposure

Holton
Blaise Pascal
Pascal
Peter Bernstein

(1623-1662)

2007

p.5

Mandelbrot
Popper, Knight
Pascal
fractal geometry
(Mis)Behavior of Markets
2004

Mandelbrot
The
Richard Hudson
A Fractal View Of Risk, Ruin And Reward

determination rule
power laws
Fibonacci
Financial analyst Journal Volume 64 Number 2

2008 CFA institute

1-2-3-5-8-13-21-34-55-89-144
144
1.618

1.6

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1
sigma
0.74%
10
sigma

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0.89

5
28

20

10

1000
111
4

2
139

1915

7
10

83

bell curve
167
6
3
11 56

2
100

50

8
2

12

5
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Carlo

100
3
3

07

1915-2007

3
Mandelbrot

Hudson (2004)
Financial analyst Journal Volume 64 Number 2

2008 CFA institute

1926

1000

2006

500

The Vanguard Group

Financial analyst Journal Volume 64 Number 2

2008 CFA institute

500
11

1950
500
288
550

70

500
14 588

17

1470
40
40

500

1883-1946
1936
12

1951

Financial analyst Journal Volume 64 Number 2

2008 CFA institute

20

80

GDP
95%
2
5

P/E

10
20

9.6%
(4.5

9.5
)

0.1

P/E

Minsky

Financial analyst Journal Volume 64 Number 2

2008 CFA institute

Hyman Minsky 1919-1996

6

Hyman Minsky

1976
Minsky

Minsky
20

80

92%
8%

26%

74%

Minsky
Minsky

Minsky

1988
20

25

2007

5280

4
Financial analyst Journal Volume 64 Number 2

2008 CFA institute

1975

8000
2007

1975
15.7

GDP
GDP

50%

20

13

GDP

120%

GDP
1957
500
1.2

500
1982

2200
500

500
2006

4380
500

12

20
500
4

32

GDP

1945-2006

250%

GDP

GDP
60

600
10

45
5

GDP

10

Minsky
70

Financial analyst Journal Volume 64 Number 2

2008 CFA institute

mortgage-backed debt obligations

Jimmy Stewart

(Its a Wonderful Life)

CDO
CDO
$400,000
5
AAA

CDO
B
C
15%

D
A

5%

CDO
BBB

75%
5%

2007

Bogle

Financial analyst Journal Volume 64 Number 2

2008 CFA institute

800
Oscar Wilde

Charles Prince
(Nakamoto and Wighton 2007)
2007

CDO

221

CDO
107

241

UBS

184

11

2%

60%

HSBC

5%

1
5%

PE

2%
7%

6%
7
03

10%

07

3%

6%

Bogle

Financial analyst Journal Volume 64 Number 2

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Bogle
Alan Greenspan

2005

12

Gokhale and Smetters 2007

1

1/3

20

8 300

230

Financial analyst Journal Volume 64 Number 2

2008 CFA institute

2007

1.
2.

10

1929
17

3. 1926

11

2008
S&P500

381

1932

2006

14

90%

10.4%
9-11%

80
4.

41

2001

John Bogle

2001

5.
Bogle2007

15-18
Frank Martin

6.

Minsky

1974

:
7.
8.

Bogle

9.

McGraw-Hill
2007
6
20
Seides 2007
2008
2
1

10.
11.
12.

Lipper

500

50

Financial analyst Journal Volume 64 Number 2

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Bernstein, Peter L. 2007. In Defense of the Greenspan Put and a Call on Pascals Wager. Economics and Portfolio Strategy
(15 December): www.peterlbernsteininc.com/.
Bogle, John C. 2001. The Economic Role of the Investment Company. Princeton University thesis in John Bogle on Investing:
The First 50 Years. Columbus, OH: McGraw-Hill. . 2007. The Little Book of Common Sense Investing: The Only Way to
Guarantee Your Fair Share of Stock Market Returns.
Hoboken, NJ: John Wiley & Sons.
Gokhale, Jagadeesh, and Kent Smetters. 2007. Do the Markets Care about the $2.4 Trillion U.S. Deficit? Financial Analysts
Journal, vol. 63, no. 2 (March/April):3747.
Gopnik, Adam. 2002. The Porcupine: A Pilgrimage to Popper. New Yorker, vol. 78, no. 7 (1 April):8893.
Holton, Glyn A. 2004. Defining Risk. Financial Analysts Journal, vol. 60, no. 6 (November/December):1925.
Keynes, John Maynard. 1936. The General Theory of Employment, Interest and Money. London: Macmillan, Cambridge
University Press, for the Royal Economic Society. (Currently available from
Prometheus Books and at http://cepa.newschool.edu/het/ texts/keynes/gtcont.htm.)
Knight, Frank H. 1921. Risk, Uncertainty, and Profit. Boston: Houghton Mifflin (www.econlib.org/LIBRARY/Knight/
knRUP.html).
Mandelbrot, Benoit, and Richard L. Hudson. 2004. The (Mis)Behavior of Markets: A Fractal View of Risk, Ruin, and
Reward. Cambridge, MA: Basic Books.
Martin, Frank K. 2006. Martin Capital Management Annual Report (http://mcmadvisors.com/downloads/2006_Annual_Report_
8_5_x_11_copy_for_website.pdf).
Nakamoto, Michiyo, and David Wighton. 2007. Citigroup Chief Stays Bullish on Buy-Outs. Financial Times Limited (9 July):
www.ft.com/cms/s/0/80e2987a-2e50-11dc-821c-0000779fd2ac. html?nclick_check=1.
Seides, Ted. 2007. The Next Dominos: Junk Bond and Counterparty Risk. Economics and Portfolio Strategy (1 December):
www.peterlbernsteininc.com/.
Taleb, Nassim Nicholas. 2007. The Black Swan: The Impact of the Highly Improbable. New York: Random House.

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