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Maybe the problem is that efficiency and robustness are orthogonal?
by MadSudaca 6y ago
Maybe the problem is that efficiency and robustness are orthogonal?
- maxerickson 6y agoThey at least aren't in direct tension.
- mcguire 6y agoUp to a point, being inefficient conflicts with robustness. If you're profligately wasting a resource, you are in for a hard time if that resource dries up. On the other hand, past a point, efficiency conflicts with robustness. To maximize efficiency, you become tightly coupled to some resource and again have a hard time if that resource dries up.
- aaron-santos 6y agoIf you think about the two-dimensional efficiency/robustness space you can pretty easily see how it's isomorphic to the return/volatility space by way of simple transformations. If yourself to be convinced that such a bridge exists you can also bring tools in the return/volatility space back into the efficiency/robustness space by applying the appropriate inverse transformations. Maybe the conclusions are common sense, but I'd still read a blog framing that process by way of analogy.
- aaron-santos 6y agoEDIT: If you allow yourself.. :/
- MadSudaca 6y agoInteresting idea, thanks for sharing.
- Double_Cast 6y agoThey're orthogonal for non-trivial decisions. Once you hit the efficient frontier of anything, you need to start making trade-offs.
- marcosdumay 6y agoThat's a much more reasonable statement. Add to that that if you optimize one from a set of orthogonal values, the other ones tend to decrease. And so you get to all the people claiming there's an intrinsic relation between them, on the face of a world of evidence.