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Long / Close Rollouts

Posted By: Neil Robins
Date: Thursday, 4 June 2009, at 11:05 a.m.

In Response To: Long / Close Rollouts (David Rockwell)

I think the assumption that the residual error term is probably decreasing will only hold for positions approaching the bearoff database. I see no a priori reason for thinking that third roll errors will give away any less equity than second roll errors.

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