EFTA00995592.pdf

From: Vincenzo lozzo To: "Jeffrey E." <[email protected]> Subject: Re: Taxes Date: Sun, 17 Aug 2014 14:09:58 +0000 I think also an interesting consideration is the following: Let's say that your portfolio is just 2 bull spread bets on two stocks. At some point this really boils down to: "what's the statistical distribution of people irrationality?" Or as a friend of mine was putting it when we were discussing the acquisition of competitors "asymptotically the question is: what's the multiplier on hate?" Sent from my Iphone On 17/ago/2014, at 09:09, "jeffrey E." leevacation@grrtn> wrote: risk tolerance, can be accomplished by derivatives. , arbitraged for mis pricing, risk is never really reduced without a corresponding reward adjustment, howevr, tax allows certain arbitrage, for ex gains at 20 -losses at 30 Percent . review monte carlo simulations, need resource , bank, friction charges. read fooled by randomness. On Sun, Aug 17, 2014 at 9:02 AM, Vincenzo Iozzo < wrote: Can you let me know if you are? I'd be helpful if we can meet up - I'm trying to look at derivatives through my lens. What is somewhat striking is that it seems like all they are is a programming language whose goal is to minimize risks (with the side effect of creating arbitrage and speculation opportunities). What I am is if you interpret trading as an optimization problem of: given a belief(stock X will outperform the market, etc etc) maximize returns and minimize risks. Then all derivatives are is 'functions' to go from a risky bet to a less risky one - now you can go to riskier ones but that's an 'anomaly' Anyhow if this parallel somehow holds there are interesting questions that come up, for example: what is a Turing machine in this world? Which would be a fancy way to answer the questions: what derivatives are missing? Also since you can stack up multiple 'functions' (eg: combine a forward with an interest float-to- fixed swap to make a riskless arbitrage) that leads to complexity and hence to bugs But I'm not sure if this is me going insane/trying to forcefully fit one thing into the other or if there's actually something there One of the reason why meeting up would be useful :-) Sent from my Iphone On 17/ago/2014, at 08:47, "jeffrey E." <[email protected]> wrote: EFTA00995592 not sure yet On Sun, Aug 17, 2014 at 8:36 AM, Vincenzo Iozzo < > wrote: That makes sense - do you happen to be in town any day from today to Wednesday? Sent from my Iphone On 16/ago/2014, at 16:41, "jeffrey E." <[email protected]> wrote: taxes are variable friciton On Sat, Aug 16, 2014 at 4:36 PM, Vincenzo lozzo wrote: So quick question for you: are taxes a trick? Here's what I mean, I think (gut feeling - no proof) that there are potentially a number of arbitrage/risk-free opportunities that are not tackled by anybody because when you add in taxes you don't actually make money. Is 'hacking' taxes a strategy? It seems like all the academic texts leave that part for the reader which makes me think there's something there. Also I was reading a while ago that rentech was using a weird structure with Credit Suisse (iirc) where they were taxed on their profits as if it was long-term capital gains instead of short-term. Sent from my Iphone please note The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to [email protected], and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved please note EFTA00995593  The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to [email protected], and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved please note The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to [email protected], and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved EFTA00995594