BOOK JACKET … Taleb refuses all awards, honors and rankings as debasement of knowledge by turning it into spectator sports.
BOOK JACKET …
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Monthly Archives: August 2012
I find it insulting when…
I find it insulting when someone imposes his narrative on you, categorizes you, instead of letting you do the self-categorizing.
A science starts with a convincing…
A science starts with a convincing logical argument, followed by developments, fluff and procedures turning into institutions. Then we are left with the institutions without the logical argument.
A happier world is…
A happier world is one in which everyone realizes that 1 it is not what you tell people, it is how you say it that makes them feel bad, 2 it is not not what you do to them but how you make them look that gets them angry, 3 they should be the ones putting themselves in a specific category.
SSRN Author Page for Taleb, Nassim Nicholas
Just noticed that some of NNT’s scholarly papers have been updated on the SSRN site. For example…
The Illusion of Thin-Tails Under Aggregation
Journal of Investment Management, Forthcoming
Taleb, Nassim Nicholas
Martin, George A.
Last Revised: 22 Apr 12It is assumed that while portfolio theory fails with daily returns, that it would work with yearly returns, an standard argument recently repeated in Treynor (2011). This paper debunks the confusion that daily returns, when non-Gaussian but with finite variance can aggregate to thin tails. Alas, portfolio theory fails in both the short and the long run. The central limit theorem operates too slowly for economic data for us to use it and take portfolio theory with any degree of seriousness. The point is illustrated with a Monte Carlo simulation.
Risk, Portfolio Theory, Treynor, Markowitz