Author Archives: F

Jensen’s Inequality, Estimation Bias, and Innovation Investing January 2022 When computation of a non-linear function relies on an uncertain parameter, then symmetric lower or higher outcomes of the parameter compared to its expected value will generate asymmetric effects on the function’s output. This means that if we restrict ourselves to the probability-weighted average of aContinue reading “The Role of Parameter Uncertainty in Investment Valuation”

Market Elasticity, Liquidity Crises, and the “Fed Put” May 2021 Financial market participants often evaluate risk-reward optimization problems of investment opportunities more or less independently from the market structure setting that makes these investments possible. The underlying assumption is that the market structure industry does a good job when public markets provide a robust, accurate,Continue reading “How Modern Market Structure Enables Asset Price Fragility”

The SMCCF, Noise Trader Risk, and Samuelson’s Dictum May 2020 On May 11th 2020, the New York Fed published a 66-page ‘Investment Management Agreement’ with BlackRock – a document that converts the Fed’s ability to make secondary corporate credit purchases from a signaling device into a contractual reality. The Fed is thus following the ECB andContinue reading “How Fed Intervention Impacts Asset Price Levels”

March 2021 All market data as of 17-03-2021. Sources: Company filings, S&P Capital IQ. MSTR is a Virginia-based, NASDAQ-listed prepackaged enterprise software provider with $480mm in FY’20 sales. The company has also deployed substantial capital in Bitcoin, including the full $1.7bn proceeds of two recent convertible debt offerings in December ‘20 and February ‘21, andContinue reading “Trade Idea: Short Microstrategy, Long Bitcoin, Long IGV Software ETF”