Wow! 223 pages of Nassim Taleb’s technical papers in one pdf. This was made known to us through NNT”s website.
View or download here.
Category Archives: Papers
The Illusion of Thin-Tails Under Aggregation by Nassim Taleb, George Martin :: SSRN
The Illusion of Thin-Tails Under Aggregation
Nassim Nicholas Taleb
NYU-Poly
George A. Martin
affiliation not provided to SSRN
January, 18 2012
Abstract:
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.
Number of Pages in PDF File: 4
Keywords: Risk, Portfolio Theory, Treynor, Markowitz
via The Illusion of Thin-Tails Under Aggregation by Nassim Taleb, George Martin :: SSRN.
The Ethics Section (Skin in the Game)
The Ethics Section (Skin in the Game)
Genes | Free Full-Text | Antifragility and Tinkering in Biology and in Business Flexibility Provides an Efficient Epigenetic Way to Manage Risk
Abstract: The notion of antifragility, an attribute of systems that makes them thrive under variable conditions, has recently been proposed by Nassim Taleb in a business context. This idea requires the ability of such systems to ‘tinker’, i.e., to creatively respond to changes in their environment. A fairly obvious example of this is natural selection-driven evolution. In this ubiquitous process, an original entity, challenged by an ever-changing environment, creates variants that evolve into novel entities. Analyzing functions that are essential during stationary-state life yield examples of entities that may be antifragile. One such example is proteins with flexible regions that can undergo functional alteration of their side residues or backbone and thus implement the tinkering that leads to antifragility. This in-built property of the cell chassis must be taken into account when considering construction of cell factories driven by engineering principles.
…a simpler, more intuitive explanation
A link from NNT’s homepage.
Chapter 4. Thales’ Secret, or The Intelligence of Antifragility (pdf)
I landed early (once) — A simple heuristic to get an inheritance — Where we discuss the idea of doing instead place of walking the Great Walk — Where the philosophers’ stone was staring at us — ideas matter less than fragility