196 citations · 544 across the 24 of their papers we have counts for
5 papers · 1 filter
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 Precautionary Principle (with Application to the Genetic Modification of Organisms)
Nassim Nicholas Taleb, Rupert Read, Raphael Douady +2
We present a non-naive version of the Precautionary (PP) that allows us to avoid paranoia and paralysis by confining precaution to specific domains and problems. PP is intended to…
Risk Neutral Option Pricing With Neither Dynamic Hedging nor Complete Markets
Nassim N. Taleb
Proof that under simple assumptions, such as constraints of Put-Call Parity, the probability measure for the valuation of a European option has the mean derived from the forward pr…
On the Super-Additivity and Estimation Biases of Quantile Contributions
Nassim N Taleb, Raphael Douady
Sample measures of top centile contributions to the total (concentration) are downward biased, unstable estimators, extremely sensitive to sample size and concave in accounting for…
Four Points Beginner Risk Managers Should Learn from Jeff Holman's Mistakes in the Discussion of Antifragile
Nassim Nicholas Taleb
Using Jeff Holman's comments in Quantitative Finance to illustrate 4 critical errors students should learn to avoid: 1) Mistaking tails (4th moment) for volatility (2nd moment), 2)…