The Markowitz Bullet – A Guided Tour
The Markowitz Bullet underlies the best-known and most widely-used portfolio optimization approach. We provide a guided tour using a 3-asset portfolio.
Taleb: Statistics and Risk Two Different Businesses
In the risk business one is not so much concerned with the probability of loss as the expected size of the loss. We explore this idea for various probability distributions by looking at the expected loss given that the loss exceeds a certain threshold. We see for fat tails that the expected loss exceeds the threshold itself.
Taleb: Problems and Inverse Problems Follow-Up
Resolving a discrepancy between my results and Taleb’s in Taleb’s favor, naturally! I had made an assumption that was not implied in his narrative.
Taleb: Silent Risk Section 3.2 Problems and Inverse Problems
In the real world we generally have only the data and no information about what generated the data. We can go far astray if we make the wrong assumptions.
Nassim Nicholas Taleb: Silent Risk Review (I)
I have read most everything Nassim Nicholas Taleb has published. He is working on a new, more technical exposition to go along with his latest “Antifragile”. The draft of the book is called “Silent Risk” and is available on Taleb’s...Ian Rayner
Hedge fund advisor: Make smarter allocations. Build better portfolios.