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Taleb – Silent Risk: Mean Deviation vs Standard Deviation

Taleb – Silent Risk: Mean Deviation vs Standard Deviation

by IanRayner | Aug 17, 2016 | 0 comments

We are going to play around with a mixture distribution. A wider distribution is “polluting” a narrower distribution. We will show that mean absolute deviation is a more efficient estimator of dispersion than standard deviation.

R Mixture Distribution Function

R Mixture Distribution Function

by IanRayner | Aug 9, 2016 | 0 comments

Here’s a useful little R mixture distribution function. I give you the code, show how it works, and give some examples.

Ian Rayner

Ian Rayner, Hedge Fund Consultant.

Hedge fund advisor: Make smarter allocations. Build better portfolios.

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