Category Archives: Papers

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 12

It 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

via SSRN Author Page for Taleb, Nassim Nicholas.

SSRN Author Page for Nassim Nicholas Taleb

Just to remind you that NNT’s professional papers are also hosted at SSRN and are frequently revised.

 
   
How to Prevent Other Financial Crises | Show Abstract | Download |
School of Advanced International Studies Review, Forthcoming
Accepted Paper Series
 
Nassim Nicholas Taleb

NYU-Poly

George A. Martin

affiliation not provided to SSRN
Posted:
27 Mar 12
22
(275,423)
   

   
 
Nassim Nicholas Taleb

NYU-Poly

George A. Martin

affiliation not provided to SSRN
Posted:
19 Jan 12
1,308
(4,700)
   

   
The Problem is Beyond Psychology: The Real World is More Random than Regression Analyses | Show Abstract | Download |
International Journal of Forecasting, Forthcoming
Accepted Paper Series
 
Nassim Nicholas Taleb

NYU-Poly

Daniel G. Goldstein

London Business School
Posted:
10 Oct 11
1,725
(2,803)

via SSRN Author Page for Nassim Nicholas Taleb.