Here is Merkel’s review of Mandlebrot’s Misbehaviour of Markets, a book I’ve read:
Most serious investors and academics could benefit from the book. It will challenge your preconceptions. That doesn’t mean that everything Mandelbrot writes is correct, but most of his criticisms of MPT are correct. .
Here is the key conclusion, which struck me as well:
The question becomes what to replace MPT with?
From memory there are a lot of neato descriptions of how price movements can be described by power laws. But what they cannot do is predict future price movements, which makes this book a fun but ultimately useless intellectual exercise, like a crossword puzzle.
Sure, the normal distribution is the ‘wrong’ way to think of all kinds of economic and natural processes. But it’s a friggen useful heuristic and better than nothing.
And better than nothing is usually as good it you get.
Not Unreasonable 