The empirical distribution is not empirical, full of Turkey problems. “Real tails” do not show in past samples because of their property under fat tails. Empirical distributions are, by design, interpolating; we fix by extrapolating and extending the tails. Note the dispute: In French, Bernoulli is pronounced “Ber-noo-yi” not “Ber-noo-li”, much like consigliere is pronounced “consiyyere”.
This is all fine and well done as a mechanical approach to maximise returns. However, the tool is clearly neutral on the selection of the right stocks that add value to the whole society/economy as against just adding value to the individual investor. Can we have a “Ber-noo-yi”-II application for helping ethical investors to also maximise the value for the whole social system of a country or even the world?
@ Waleed Addas, explain to us what’s your idea of improving the social system. Ethical investor? What a moron.