Long-Term Capital Management var en hedgefond som grundades år 1994 av en elit på finansmarknaden, bland annat av Nobelprisvinnarna Myron Scholes och Robert C. Merton samt Myron Scholes. Det var en nyskapande fond som var kvantdriven. Inledningsvis gick det väldigt bra, men verkligheten låter sig inte alltid fångas av en modell och fondens fall hotade att skapa problem för hela finansmarknaden och ekonomin. I nedanstående poddavsnitt av Planet Money berättas historien på en halvtimme. Vill man gräva sig djupare så finns boken When Genius Failed.
”There’s this cautionary tale, in the finance world, that nearly any trader can tell you. It’s about placing too much confidence in math and models. It’s the story of Long Term Capital Management.
The story begins back in the 90s. A group of math nerds figured out how to use a mathematical model to identify opportunities in the market, tiny price discrepancies, that they could bet big on. Those bets turned into big profits, for them and their clients. They were the toast of Wall Street; it looked like they’d solved the puzzle of risk-taking. But their overconfidence in their strategy led to one of the biggest financial implosions in U.S. history, and destabilized the entire market.
On today’s show, what happens when perfect math meets the mess of human nature? And what did we learn (and what did we not learn) from the legendary tale of Long Term Capital Management?”
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