Tag Archives: model error

nntaleb: Finished My Central Paper http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1669317

nntaleb: Finished My Central Paper http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1669317


Links to pdf download page for:

Convexity, Robustness, and Model Error
Nassim Nicholas Taleb

August, 31 2010
This discussion makes the distinction inside the Fourth Quadrant “Black Swan Domain” between fragile an robust to model (or representational) error on the basis of convexity.
• The notion of model error as a convex or concave stochastic variable.
• Why deficit forecasting errors are biased in one direction.
• Why large is fragile to errors.
• How economics as a discipline made the monstrously consequential mistake of treating estimated parameters as nonstochastic variables and why this leads to fat-tails even while using Gaussian models.
• The notion of epistemic uncertainty as embedded in model errors.
In addition, it introduces a simple practical heuristic to measure (as an indicator of fragility) the sensitivity of a portfolio (or balance sheet) to model error. Finally, it sets an explicit path to conduct policy based on robustness

Working Paper Series

Videos Posted by NYU-POLY FRE: Interview with Charles Tapiero and Nassim Taleb


NNT enters the conversation around 5:45 NYU-POLY is the school NNT chose to teach at.
iatrogenics http://en.wikipedia.org/wiki/Iatrogenics

Interview with Morton L. Topfer Distinguished Professor and Department Chair Charles S. Tapiero and Distinguished Professor Nassim Nicholas Taleb .
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