In an interview for Legg Mason Capital Management, SFI Trustee Michael Mauboussin interviews frequent SFI collaborator Ole Peters on the science of risk and reward, the limitations of traditional economic theory, and building optimal portfolios.
The interview covers the distinction between ergodic and non-ergodic systems, the misapplication by economists of the "ergodic hypothesis" to non-ergodic systems such as the stock market, and optimal leverage.
Read the interview (March 23, 2012)