5 ms·

> a small change in one of the parameters can lead to a very significant change in the optimal portfolio. Isn't that the definition of chaotic?

• qubex 9y ago
  No. This is high sensitivity to parameters. Chaos is ergodic behaviour.
  • andreareina 9y ago
    From https://en.wikipedia.org/wiki/Chaos_theory https://en.wikipedia.org/wiki/Chaos_theory Chaos theory is a branch of mathematics focused on the behavior of dynamical systems that are highly sensitive to initial conditions. Many of the visualizations of chaotic behavior in the wiki don't exhibit ergodic behavior.
    • qubex 9y ago
      Sensitive dependence on parameters ≠︎ sensitive dependence on initial conditions