Using equations that arise in quantum mechanics, this paper describes a way to more accurately and efficiently represent non-Gaussian return distributions than the standard method of invoking skewness and kurtosis. Then, it provides a new single intuitive number, defined here as the “crash...

Three innovative concepts are combined here to create a new and unique framework for optimizing a portfolio of investments or bets. These inventions are:1) The Probability Frontier, a generalization of the Markowitz Efficient Frontier;2) The Positive Probability Estimate, which estimates the...

The inherent assumption with most Monte Carlo techniques is that one may ignore autocorrelations, but doing so compromises the quality of the prediction from the data. Simulations that do not take account of autocorrelation will not properly model reality, as there is significant autocorrelation...