Nassim Nicholas Taleb

@nntaleb ↗

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Last Checked Oct. 23, 2020

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Wed May 20 20:45:58 +0000 2020

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Nassim Nicholas Taleb @nntaleb

4/n #AQR Ilmanen the bullshitter (& the AQR team) among other things don't seem to get that tail payoff != probability x payoff under fat tails. You need to include payoffs not part of this, and g(x) is convex (option payoffs by convexity are MUCH MORE FAT TAILED than underlying) https://t.co/7skOHLO6sJ — PolitiTweet.org

Posted May 20, 2020 Hibernated

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Nassim Nicholas Taleb @nntaleb

3/n Antti Ilmanen claims tails must be expensive from lottery tickets (but excludes 1987 crash); doesn't get basics: Stat 102 does't cover when assumptions are violated (Gauss-Markov, etc.) Fails to get Bayes' rule. Note: while RISK PARITY is ~unique, tail hedges vary hugely. https://t.co/8HrZ4QkOnj — PolitiTweet.org

Posted May 20, 2020 Hibernated

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Nassim Nicholas Taleb @nntaleb

PROBABILITY DU JOUR What You See and Don't See: Hidden Moments of a Probability Distribution. The said "empirical" distribution hides stuff! Where is the hidden moment for n observations? Intuition of the results of paper below https://t.co/DQkZmbhE2R https://t.co/PkJ55QdN7I — PolitiTweet.org

Posted May 20, 2020 Hibernated