BlackSwan01: 3, 4, 7, 20, 25 standard deviation event; The “othe

来源: 于 2011-09-06 12:04:21 [博客] [旧帖] [给我悄悄话] 本文已被阅读：次

Problem #2 – standard deviation is a bad measure of risk. It doesn’t measure direction. Has anyone ever complained to you about a 30% gain? No. However a security with a 30% gain in a short period has a “high” standard deviation and is said to be risky. I don’t know about you but I want all the positive risky assets I can get my hands on. The other problem is that standard deviation only “right” to a 67% confidence level and 2 standard deviations is only “right” to a 95% confidence level. What about the other 5%! Those who bet their financial futures on a 95% confidence level found out in 2000 and 2008. The “other” 5% or 3 standard deviation event, is called a fat tail – or as Nassim Taleb wrote about – a “Black Swan”

 

Capital Ideas Online > Black Swans and turning points

www.capitalideasonline.com/articles/index.php?id=2537 - Cached 
Not a 10% or 15% decline, but a 25-standard-deviation, Black Swan fall of 20% to 25%. Furthermore, he presumed that the collapse would be in the form of an ...

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    10 % or 15 % decline, but a 25 - standard - deviation, Black Swan fall of. 20 % to 25 % . Furthermore, he presumed that the collapse would be in ...