Universa's Bernoulli for Portfolio Simulation: Correcting the Empirical Distribution (2024)

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N N Taleb's Probability Questions (UNOFFICIAL)

Nassim Nicholas Taleb (Unofficial) (Uploaded by Juan Suero)

13 episodes

1 day ago

Reuploads from Nassim Nicholas Taleb's YouTube channel (www.youtube.com/@nntalebproba). This is NOT an official channel of his, just a "fan" who wanted to have the conferences and conversations available in this format. If there is any issue with this, I will take down the content. Just reach out to @thejuansuero on X or thejuansuero@gmail.com Hopefully some of you find this useful!

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Universa's Bernoulli for Portfolio Simulation: Correcting the Empirical Distribution (2024)

N N Taleb's Probability Questions (UNOFFICIAL)

30 minutes 55 seconds

1 week ago

Universa's Bernoulli for Portfolio Simulation: Correcting the Empirical Distribution (2024)

The empirical distribution is not empirical, full of Turkey problems. "Real tails" do not show in past samples because of their property under fat tails. Empirical distributions are, by design, interpolating; we fix by extrapolating and extending the tails.Note the dispute: In French, Bernoulli is pronounced "Ber-noo-yi" not "Ber-noo-li", much like consigliere is pronounced "consiyyere".

Original video: https://www.youtube.com/watch?v=TMvQeH9oo2w