Taleb Distribution
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High Quality Content by WIKIPEDIA articles! In economics and finance, a Taleb distribution is a probability distribution in which there is a high probability of a small gain, and a small probability of a very large loss, which more than outweighs the gains. In these situations the expected value is less than zero, but this fact is camouflaged by the appearance of low risk and steady returns. It is a combination of kurtosis risk and skewness risk: overall returns are dominated by extreme events, which are to the downside. The corresponding situation is also known as the peso problem. The term…mehr

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High Quality Content by WIKIPEDIA articles! In economics and finance, a Taleb distribution is a probability distribution in which there is a high probability of a small gain, and a small probability of a very large loss, which more than outweighs the gains. In these situations the expected value is less than zero, but this fact is camouflaged by the appearance of low risk and steady returns. It is a combination of kurtosis risk and skewness risk: overall returns are dominated by extreme events, which are to the downside. The corresponding situation is also known as the peso problem. The term is therefore increasingly used in the financial markets to describe dangerous or flawed trading strategies. The Taleb distribution is named for Nassim Taleb, based on ideas outlined in his Fooled by Randomness.