I spent six days in Stockholm at the Nasdaq OMX Derivatives Week. It was a phenomenally well-organized conference, with only 4 or 5 speakers each giving two or three talks, no parallel sessions, relatively relaxed. It’s a good if luxurious way to run things, like taking the QE 2 to London rather than British Air. No one does that anymore.

Though I’d been to Oslo and Reykjavik and Bergen before, I’d never been to Sweden. And though I feel like a southerner, someone who likes hot summer climes, there’s nothing to beat long summer nights, where, while the western sky still has the afterglow of dusk, the eastern sky is already beginning to lighten. It’s astonishing. I wonder if winter is as bad as summer is good.

One of the people speaking at the conference was Bill Sharpe, whom I’d neither seen nor heard in person before. He gave a very impressive talk on utility functions and asset allocation. But somehow, in my heart and maybe my brain too, I can’t overcome my kernel of residual skepticism about applying optimization to future scenarios that will not turn out to be what you assumed when you started. Is there any other reasonable quantitative way to proceed in the non-risk-neutral measure?