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From: Colin Murray
Affiliation:
Address: cmurray@tinet.ie
Date: 17 Aug 1998
Time: 14:27:05
Thanks for your help Glyn.
I have looked up the article in Risk Magazine. This shows that it is possible to run the sequence with greater than 6 dimensions (although sadly not how to do it!). I will try to get my hands on the Journal of Portfolio Management.
Interestingly enough there was general mystification among the investment banks I contacted about this ("Snowball sequences?"). So it appears that the technique is not widely used. One bank even told me that if I cracked it it would be worth millions to them. I'll send you a share if I ever crack it. In the meantime I will soldier on.
Many thanks again.
CM
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