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
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 ...
Wealth, War and Wisdom - Google Books Result
books.google.com/books?i*****n=1118039440...Barton Biggs - 2010 - Business & Economics - 358 pages
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 ...
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 ...
Non-Normality Facts and Fallacies Presented to the Society of ...
Market crashes are often characterized as twenty standard deviation black swan events, which are cited as examples of the failure of the normal model and ...
2009 December « New Dow Theory
Dec 15, 2009 – That 3 standard deviation black swan wasn't supposed to happen according to the Nobel Prize winning economist who wrote about these things ...
The Impact of Aging on Retirement Income Decision Making
The proposal summary explanation should avoid jargon (“time value of money,” “ real return,” “standard deviation,” “black swan,” etc.) and encourage visual ...
TopStocks > GOLDEN STATE RESOURCES LIMITED > Stalemate!
11 posts - 4 authors - Last post: Oct 7, 2010
The options getting home would require a seven standard deviation, black swan event. I can't think of a single company with $1m cash, ...Get more discussion results
prudent investor newsletters: EZ Money Addicts and Pavlov's ...
Jul 3, 2006 – However, unlike the archetype 'addicts', adopting contingent plans over the possibility of a sigma-4 standard deviation, black swan or low ...
Technical Papers for Blackswam
Jul 15, 2011 – ... v= 1/2 fattens the tails up to 1 standard deviation Black Swan Technical Notes & Academic Papers 69 2 Lectures on Probability.nb ...
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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 ...
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proxy.bookfi.org/.../%5BBiggs_B.%5D_Wealth,_War_and_Wisdom... - Russia
File Format: PDF/Adobe Acrobat10 % or 15 % decline, but a 25 - standard - deviation, Black Swan fall of. 20 % to 25 % . Furthermore, he presumed that the collapse would be in ...
