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Four Points Beginner Risk Managers Should Learn from Jeff Holman's Mistakes in the Discussion of Antifragile

Quantitative Finance, Forthcoming

5 Pages Posted: 18 Dec 2013 Last revised: 15 Feb 2014

Nassim Nicholas Taleb

NYU-Tandon School of Engineering

Date Written: December 16, 2013

Abstract

Using Jeff Holman's comments in Quantitative Finance to illustrate 4 critical errors students should learn to avoid: 1) Mistaking tails (4th moment) for volatility (2nd moment), 2) Missing Jensen's Inequality, 3) Analyzing the hedging wihout the underlying, 4) The necessity of a numeraire in finance.

Keywords: Risk Management

Suggested Citation

Taleb, Nassim Nicholas, Four Points Beginner Risk Managers Should Learn from Jeff Holman's Mistakes in the Discussion of Antifragile (December 16, 2013). Quantitative Finance, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2368561 or http://dx.doi.org/10.2139/ssrn.2368561

Nassim Nicholas Taleb (Contact Author)

NYU-Tandon School of Engineering ( email )

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