Monday, December 22, 2008

My Book


I see my book that is in the process of being published is listed at Amazon. The description is sufficiently vague that it really doesn't explain why anyone other than my mother should buy the book, but that makes sense because currently a wily editor (actually, a Wiley editor) is doing what editors do. It's my first book, so I'm not sure how this will go exactly, that is, how detailed or substantive the suggestions will be.

It's scheduled for a June release, because I guess the monks who transcribe books are very busy this time of year, and I'm trying to get blurbs from a subset of David Smick's 50 or so admirers (I wasted no time reading it!--Lawrence Summers). I'm obviously excited about it, but given it has several months to release and I don't want to get ahead of myself, I'm not going to say too much about it now, other than it discusses why current models of risk and return are wrong as an approximation, working only for a few special cases. Basically, you see a positive risk-return trade-off from 0 to epsilon riskiness for alpha-less investments (eg, Baa-Aaa spread, short end of yield curve), then a generally flat relationship, and then the lowest returns for the most violently risky assets. Supposedly a spooky risk factor reconciles this with the standard model, but I highlight how absurd this would be even if this wraith were ever identified consistently for more than a business cycle, and how the evidence has been tendentiously presented to support the framework (akin to the Flying Spaghetti Monster's 'noodley appendage' at work). There are some general implications (eg, buy low risk assets), but also more subtle ones. It outlines ways for finding alpha taking into account the petty incentives and information biases of the parties inevitably involved (eg, investors and bosses), with various examples. It was fun to write.

8 comments:

Anonymous said...

this is unbelievable! how many hours of sleep do you get a night? can't believe you found the time to write a book too. i barely can keep up with the blogosphere and reading maybe a book every 3 weeks or so. i must have the IQ of a mollusk.

Eric Falkenstein said...

Step 1: have ex-employer file vague intellectual property lawsuit against you so that you can not assure any potential employer or partner you are not a huge legal liability.
Step 2: write book while unemployed.

Anonymous said...

Congratulations!

I enjoy your blog tremendously-- you always have something original and thoughtful to say, even when you are completely wrong.

I look forward to reading your book. If it is half as interesting as your finance related blog posts it will be well worth the time.

Anonymous said...

Your blog is one of the most funny around in the finance district. I hope your book will be a succes!

Plamen said...

Congratulations, and best of luck!

Dan in Euroland said...

Congrats dude. I found your paper on the subject fascinating, so I can't wait to read the book.

Anonymous said...

Though I am a Taleb groupie, I look forward to your book. The cover image has got me hooked.

Anonymous said...

Congratulations, looking forward to it. Your blog is great.