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

“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

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

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

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.

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

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.

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