arbitrageur

2004 2005
eikichiyu*

Why are you being here?

CEO

by Jim Chen, NCNU IBS


(Investment Banking, IB) (Asset Management, AM) (Reinsurance Group, Re)

sale side (
) buy side
sales and trading division

()

1
(
)
sales and trading division
0.01%
IB
1

 IB AM
AM IB AM IB

2 sales and trading division CEO

1980 2000

sales and trading division (

sales and trading division
) sales and trading division

Research Associate( Research Assistant RA) RA

(Private Banking)

support

sales and trading division

sales trader
pool
2


sales and trader
Sales and Trading Division reputation

Sales and Trading (probabilistic thinking)

()

(Investment Banking Division)

2000
1980
6% 100 100
team
6% case

case

IPO

MBA

MBA()
MBA

MBA
MBA MBA
MBA

(Asset Management)

buy side
Peter Lynch
pay

MBA CFA

40 1600
40000 911 20
911 20 ...

3% 3%
2.5%

3 Insurance Section oat

http://www.berkshirehathaway.com/letters/letters.html

 2003
Insurance Lets start with insurance since thats where the money is.The fountain of funds we enjoy in our insurance operations comes from oat, which is
money that doesnt belong to us but that we temporarily hold. (
)
()

IT

number
crunching people

oat
7

 reserve oat

...

...

IT
underwriter

To insure or not to insure, that is the question

8

... underwriter

underwriter
underwriter

underwriter

-> -> ->

->
MBA MBA
associate

constrained optimization

excel

...

po
9

Table 1:

(3)

(3)

(4)

(4)

(3)

(3)

Table 2:

(3)

(3)

(3)

(3)

(4)

(4)

(3)

(3)

(3)

(3)

2050

IC IC
IC industry India China Industry

10

 IC

2 Constrained Optimization

Professional technical expertise is most important in nance?

optimization Constrain(ed)
constrained optimization

constraint
4

11

 constraint

5 ...
constraint

constraint

constraint
optimization
constraint

constraint

legal expertise constraint

blah blah

12

case

constraint (
)

IMF
(
)

IMF

IMF

()
...

IMF
constraint
NDF

(optimization)
13

(constraint)

1933 Glass-Steagall
1956 Bank Holding Company
1998 citi
travelers 1999 Gramm-LeachBliley Act Glass-Steagall and Bank holding Acts

()

Sarbanes-Oxley
- -
///
...

(
)
/

( equity research /... )

constraint
14

...

6 constraint

1.
2.
3.
4.
5.
6.
7.
8.
9.

(constraint )

15

constraint
constraint

constraint

constraint

NTU course
constraint

16

optimization constraint
optimization

...

...

optimization

...QQ

17

Table 3:

()

(C++ Java)

18

constraint

() > () > (
)

(core curriculum)
approach discipline
http://www.fas.harvard.edu/curriculum-review/key_documents.html

19

(validity)
google

bachelor of art
bachelor of science

20

()

Stanford INSEAD

http://www.gsb.stanford.edu/phd/overview/coursework.html
http://www.insead.edu/phd/program/program_structure.htm

xx
8

21

given /

(
)
or 9

1.
2.
3. /
/
4.

99%

MSN

22

scientic guessing
/

...

constraint

case study

()
vs. vs. ( vs.
)

(constraint)

...
(
optimization )
(constraint)

23

...

...

()

()

24

constraint optimization

constraint ,
optimize

constraint optimization (
)
constraint optimization

(How the Mind Works,

Amazon review) Steven Pinker
MIT

2002

25

2002 Daniel Kahneman The

Psychology of Decision Making and Judgement

()
(

26

 strategy strategy

strategy

strategy
strategy
business strategy()
national defence (a.k.a war) strategy() strategic
planning()

...

bullshit

27

......
shaping your instinct
3I Instinct, Institution, Information Instinct
Instinct

instinct
instinct instinct

soft skill soft skill

constraint

28

(optimization)

...

multi-discipline

...

optimization
research

29


.. 10 optimization

but they have guts ! ?

tech tech (optimization)

MIT MIT
MIT, Stanford, CIT tech
Harvard, Yale, Princeton
constraint tech(optimization)

10

30

Q1:

A1:

Q2:
A2:

(......)

31

PTT

(constraint)

32

33