Bloomberg: Black Swan Author Spars With Quant Legend Over Tail Risk Hedges

On By In Statements, Twitter

“Black Swan” author Nassim Nicholas Taleb and quant investing pioneer Cliff Asness have engaged in a vitriolic Twitter dispute over the esoteric world of tail-risk hedging that descended into personal insults.

The spat began when Taleb sent a pair of tweets accusing the $143 billion AQR Capital Management LLC of issuing flawed reports that say tail-risk hedging doesn’t work.

Link to Bloomberg article: Black Swan Author Spars With Quant Legend Over Tail Risk Hedges

Never use Single-point Estimates for Pandemics

On By In Statements, Videos

ERRORS 101
Never produce a point estimate for risk management, esp. in a fat-tailed domain, rather show statistical properties. Never judge a risk management stance from point forecasts.

Informational Rescaling of PCA Maps with Application to Genetics

On By In Academic, Writing

Nassim Nicholas Taleb∗, Pierre Zalloua, and Dan Platt
∗Corresponding author, [email protected] Dec 2019

We discuss the inadequacy of covariances/correlations and other measures in L-2 as relative distance metrics. We propose a computationally simple heuristic to transform a map based on standard principal component analysis (PCA) (when the variables are asymptotically Gaussian) into an entropy-based map where distances are based on mutual information.

PDF Download Link: academia.edu/41442347/Informational…

[YouTube] On Warnings over Systemic Risks from Global Pandemics

On By In Videos

Nassim Taleb, Universa Investment’s scientific advisor and distinguished professor of risk engineering at NYU, warned of an acute virus spreading throughout the planet in his 2007 book “The Black Swan.” In January, he also warned of the systemic risks of the coronavirus pandemic. He joins “Squawk Box” to discuss.

Note: If viewing this as an email please click through to the post to view content.

[YouTube] Tutorial: Simple Trick to see the effect of Power Laws

On By In MOOCs

A simple tutorial explaining how in the presence of power laws (with low exponent) most of the body of the distribution becomes noise. Once you establish that a variable is in the power-law class, some necessary consequences come out. To debunk that history is dominated by tail events, you must show it does not follow a power law.

Note: If viewing this as an email please click through to the post to view content.

The only man who has a clue about the Coronavirus Pandemic

On By In Statements, Twitter

Link to original article – Taleb: The Only Man Who Has A Clue

Note: If viewing this as an email please click through to the post to view content.

Bloomberg: Nassim-Advised Universa Tail Fund Returned 3,600% in March

On By In Videos

A tail-risk hedge fund advised by Nassim Taleb, author of “The Black Swan,” returned 3,612% in March, paying off massively for clients who invested in it as protection against a plunge in stock prices

The fund, managed by Universa Investments of Miami, had a year-to-date return of 4,144% through the end of last month, according to an investor letter from President and Chief Investment Officer Mark Spitznagel that was obtained by Bloomberg. He said Universa was able to cash in many of its positions, locking in the gains, while also keeping in place protection against more equity sell-offs, “one of the tricks of the trade.”.

Link to Bloomberg article: Nassim Taleb-Advised Universa Tail Fund Returned 3,600% in March

Note: If viewing this as an email please click through to the post to view content.