Nassim Taleb: Ask Me Anything

[dumpdapump]

They are in the link I posted earlier. Happy?

too vague. if you have numbers with links present them. if not you are like marketsurfer who never presented figures for the advisor he was shilling for.

whatever happened to marketsurfer. was he banned again?

 

[dumpdapump]

Taleb's skill set does not only encompass a black swan strategy approach. He ran for many years exotic and vanilla options books. He most definitely understands more about options than anyone on this entire site. It's mind boggling how so many give a career liar like Trump a free pass but shoot down highly intelligent and honest individuals just because of a single failed strategy approach when they have given back so much to the public in terms of knowledge and experience.

Well, I'm not a nobel prize winner but the problem with Talebs Black Swan approach is the fact that he doesn't discount for the opportunity cost of low frequency events.

In other words, if you look at a distribution with zero alpha and add a single outlier which is the entire alpha, missing to trade this outlier kills your return.

Even if the powerball had positive expectancy you can play it twice a week...and with odds of 1 to 6 billion, you simply don't live long enough to take advantage of the law large numbers. So, you just don't open a HF get long tails and wait for the big bang once in a couple of years, even though you are correct that the outliers aren't priced in.
Inconsistent returns don't scale. There is political, regulatory and overall economic risk to be considered. What do you do when you hit a homerun and cannot cash in because your counterparty defaulted?

Look at the guys who do it the other way around. They have 70 IQ and sell OTM puts every month for 2/20 and when they inevitably blow up, they open shop under a different name.

So from a scientific perspective, Taleb is correct...but the idiots have success and he doesn't.

 

[zdreg]

They are in the link I posted earlier. Happy?

vague. typical.
snake oils salesmen use your language. if you have the numbers copy and paste it to your reply. marketsurfer was a master in this deceptive technique.

 

[zdreg]

He most definitely understands more about options than anyone on this entire site.

maybe. anyway knowing a subject and making money off it are two different skill sets.
hemmingway got it right: "those who can do and those who can't teach."

 

[ironchef]

no, it's the split. 2% management fee and 20% profit split. Selling OTM premium works like a charm...untill it doesn't. Create a website with lots of word shells like "quantitative models" put some lipstick on a monkey and put it behind your trading station...just in case investors come to visit while you are playing golf or enjoy a day at the beach.
Sell OTM premium, roll down and out and add size when the market goes against you.

Collect AUM by posting steady returns and enjoy the fees as long as they last.

When the crash comes, blame others and start all over again. This sells much better than "Gimme your moneys, I hope we get a homerun in the next 5 years...or not"

Taleb's strategy is 180 degree opposite to what you said.

 

[ironchef]

vague. typical.
snake oils salesmen use your language. if you have the numbers copy and paste it to your reply. marketsurfer was a master in this deceptive technique.

His paper:

Geman, D., Geman, H. and Taleb, N.N., 2015. "Tail risk constraints and maximum entropy". Entropy, 17, pp.1-14.

Provided a mathematical proof that his barbell strategy is optimum risk management (as oppose to stress tests and stop losses) for tail risks. I can only understand his logic but not smart enough to follow his math.

I am not defending him or his math, it is certainly not vague and I post it hopping you can explain the math to me?

Best to you.

 

[zdreg]

His paper:

Geman, D., Geman, H. and Taleb, N.N., 2015. "Tail risk constraints and maximum entropy". Entropy, 17, pp.1-14.

Provided a mathematical proof that his barbell strategy is optimum risk management (as oppose to stress tests and stop losses) for tail risks. I can only understand his logic but not smart enough to follow his math.

I am not defending him or his math, it is certainly not vague and I post it hopping you can explain the math to me?

Best to you.

thank you for what can be deemed a model reply. unfortunately the math is beyond my pay scale.

best to you,also.

 

[zdreg]

Taleb's skill set does not only encompass a black swan strategy approach. He ran for many years exotic and vanilla options books. He most definitely understands more about options than anyone on this entire site. It's mind boggling how so many give a career liar like Trump a free pass but shoot down highly intelligent and honest individuals just because of a single failed strategy approach when they have given back so much to the public in terms of knowledge and experience.

it sounds like the victor neiderhoffer defense. once people like taleb etc. take your money you kiss it goodbye,
you and nyt readers bring up the name Trump even if irrelevant to the discussion. your obsession makes you look pathetic.

 

[dumpdapump]

Is this you, @Robert Morse? Same word choices. I came across posts by both of you now multiple times that seemed to have typed by the same fingers...

thank you for what can be deemed a model reply. unfortunately the math is beyond my pay scale.

best to you,also.

 

[ironchef]

Anyhow, here is a free book from him:

http://www.fooledbyrandomness.com/FatTails.html

The link to his book Silent Risk is within this link. I opened the link and tried to read his book. Well, it is readable only for someone who is studying for his PhD in mathematical finance. I gave up after about page 100. As an options traders I really don't know how it could help me except perhaps this:

I certainly like to take advantage of a situation where payoff swamps probability.