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- Taleb_distribution abstract "In economics and finance, a Taleb distribution is a term coined by U.K. economists/journalists Martin Wolf and John Kay to describe a returns profile that appears at times deceptively low-risk with steady returns, but experiences periodically catastrophic drawdowns. It does not describe a statistical probability distribution, and does not have an associated mathematical formula. The term is meant to refer to an investment returns profile in which there is a high probability of a small gain, and a small probability of a very large loss, which more than outweighs the gains. In these situations the expected value is (very much) less than zero, but this fact is camouflaged by the appearance of low risk and steady returns. It is a combination of kurtosis risk and skewness risk: overall returns are dominated by extreme events (kurtosis), which are to the downside (skew).The term describes dangerous or flawed trading strategies. The Taleb distribution is named after Nassim Taleb, based on ideas outlined in his Fooled by Randomness. More detailed and formal discussion of the bets on small probability events is in the academic essay by Taleb, called "Why Did the Crisis of 2008 Happen?" and in the 2004 paper in the Journal of Behavioral Finance called "Why Do We Prefer Asymmetric Payoffs?" in which he writes "agents risking other people’s capital would have the incentive to camouflage the properties by showing a steady income. Intuitively, hedge funds are paid on an annual basis while disasters happen every four or five years, for example. The fund manager does not repay his incentive fee."".
- Taleb_distribution wikiPageID "16658636".
- Taleb_distribution wikiPageRevisionID "601250640".
- Taleb_distribution hasPhotoCollection Taleb_distribution.
- Taleb_distribution subject Category:Decision_theory.
- Taleb_distribution subject Category:Econometrics.
- Taleb_distribution subject Category:Financial_risk.
- Taleb_distribution subject Category:Types_of_probability_distributions.
- Taleb_distribution comment "In economics and finance, a Taleb distribution is a term coined by U.K. economists/journalists Martin Wolf and John Kay to describe a returns profile that appears at times deceptively low-risk with steady returns, but experiences periodically catastrophic drawdowns. It does not describe a statistical probability distribution, and does not have an associated mathematical formula.".
- Taleb_distribution label "Taleb distribution".
- Taleb_distribution sameAs Talebovo_rozdělení.
- Taleb_distribution sameAs m.03yk8ss.
- Taleb_distribution sameAs Q7679128.
- Taleb_distribution sameAs Q7679128.
- Taleb_distribution wasDerivedFrom Taleb_distribution?oldid=601250640.
- Taleb_distribution isPrimaryTopicOf Taleb_distribution.