My Last Regular Blog Post

I started writing this blog because I just wanted a place to get things off my chest. To me, heaven isn't flow or sensual pleasure, but rather, like what Plato described at going on at his symposiums, discussions about ideas (with beer!). It's fun to figure things out.  Blogging was a good way to relieve that need while not burdening my family, neighbors, or coworkers with discussions on big issues.  I found I liked articulating my thoughts because writing a blog post forced me to clarify my thoughts the way having guests makes one clean one's house: what's acceptable for your own ego isn't acceptable for others.  That has made me a better man.  You write 1600 posts, get two million visitors, and it's a real opportunity to grow.

Yet, as an avocation, it's a costly hobby. I have work and family that creates a large opportunity cost.  Further, it can lead to distrust by colleagues, wary of having their ideas broadcast to everyone.

Only in the past couple of years, I've had an epiphany about my purpose in the world, that what I know is 'enough.'  For decades I was just like this 9-year-old wondering what's important, why do people act like we do, what's my purpose.  Asking why is a big part of wisdom, the difference between simply knowing how and what to do.  Yet, at some point you have to stop asking why because we can't know the ultimate why, and suffice with the motive that something you love appreciates you being a better person (God, family, friends, a dog); perhaps after we shuffle off this mortal coil it will all be explained, which would be nice, but in the meantime if I try to make my dog, daughter, and creator happy by adopting the Nicomachean ethics, I'm probably pretty close to the ultimate truth.  I wish I appreciated more as a young man that ignorance is eternal, and your only duty is to lessen it every day, just as you work on all your virtues (empathy, tolerance, discipline, etc.). I can't figure it all out, but there's a point when you know enough to think your life has a purpose merely being a good mensch, and I'm glad to have figured that out. [editor note: I became a Christian in 2015, so I was clearly understating my existential doubts]

Just like where the Bible has a section on proverbs, I have been collecting favorite quotations, and at first, I tried to keep the list under 100 because I hate those really long lists ("Top 435 movies of all time"). Alas, I found it impossible to keep that list under 100 and so I'm now at 627 or so (see here).  For example, moderation in all things, or the idea that patterns usually don't scale, so communism works in a family but not society, etc. Perhaps most importantly, every argument has a premise, but no premise underlies all arguments, which is why we need lots of aphorisms.

Then there are ideas which often can't be reduced to a simple quote, like statistics, so my list of Essential Life Axioms is somewhere in the thousands.  When did this knowledge achieve critical mass and give me peace? Perhaps a couple of years ago when things finally came together and I thought, I really am comfortable with the stoic guide to life. Things seem to make sense, I should try to empathize with others, do my best at what I do best, and try to be a little better person every day.

My best idea pertains to the risk premium, and I argue this point rather tersely in my book The Missing Risk Premium. A big idea hits the triumvirate of truth, novelty, and importance. It's new (I documented the fact in my 1994 dissertation--which was soundly rejected by all the big minds back then, highlighting it's always a combination of what you know and who you know--I wrote out a novel explanation in 2006, which was pulled into my legal fight, and so it's rather ironic that much of that was predicated on the idea that low vol investing was verboten to me, as if I didn't have prior use and it wasn't public knowledge. The idea is important (much of finance revolves around risk premium, economics is based on a conception of utility maximization I contrast with), and it's true, it explains more of the data:

• Most asset's don't show a higher average return for higher volatility assets
• Any plausible risk factor will be correlated with total volatility in general
• Those few assets that do show a seemingly textbook risk premium never generalize, it's not the covariance that is key (eg, lots of things correlate with the AAA-BBB spread without a return premium).
• Unlike other explanations, my theory is an equilibrium one, it does not imply it's easy to sell people on higher Sharpe strategies
• It's more consistent with primate culture and human Universals
• It's more evolutionarily robust
• It's got neurological correlates that the standard theory does not
• Consistent with data on happiness 

 Like most humans, I have lots of decent little ideas too, some better than others, and I think I should focus these more at work. The other big ideas I prefer I cribbed from others, and while I like spreading the gospel sometimes, it's not something that gives me extended satisfaction.

Going forward I might blog once every couple weeks, just out of habit.

I want to say an especially fond farewell to those I've come to know via my blogging, even if it's just a cantankerous pseudonym.  Happiness is multiplied when shared with friends, and a shared worldview that reminds you aren't insane.

Gunga Galunga and thanks for reading.