196 citations · 544 across the 24 of their papers we have counts for
7 papers · 1 filter
The Probability Conflation: A Reply
Nassim Nicholas Taleb, Ron Richman, Marcos Carreira +1
We respond to Tetlock et al. (2022) showing 1) how expert judgment fails to reflect tail risk, 2) the lack of compatibility between forecasting tournaments and tail risk assessment…
Tail Risk Constraints and Maximum Entropy
Donald Geman, Hélyette Geman, Nassim Nicholas Taleb
In the world of modern financial theory, portfolio construction has traditionally operated under at least one of two central assumptions: the constraints are derived from a utility…
The Skin In The Game Heuristic for Protection Against Tail Events
Nassim N. Taleb, Constantine Sandis
Standard economic theory makes an allowance for the agency problem, but not the compounding of moral hazard in the presence of informational opacity, particularly in what concerns…
Where Do Thin Tails Come From?
Nassim Nicholas Taleb
The literature of heavy tails (typically) starts with a random walk and finds mechanisms that lead to fat tails under aggregation. We follow the inverse route and show how starting…
How We Tend To Overestimate Powerlaw Tail Exponents
Nassim N. Taleb
In the presence of a layer of metaprobabilities (from uncertainty concerning the parameters), the asymptotic tail exponent corresponds to the lowest possible tail exponent regardle…
The Future Has Thicker Tails than the Past: Model Error As Branching Counterfactuals
Nassim N. Taleb
Ex ante forecast outcomes should be interpreted as counterfactuals (potential histories), with errors as the spread between outcomes. Reapplying measurements of uncertainty about t…