| http://dbpedia.org/ontology/abstract
|
Talebovo rozdělení označuje situaci, ve kt … Talebovo rozdělení označuje situaci, ve které je vysoká pravděpodobnost malého zisku a malá pravděpodobnost velmi vysoké ztráty. V této situaci je očekávaná hodnota záporná, což však nemusí být vzhledem k zdánlivě nízkému riziku a stálým výnosům vždy patrné. Talebovo rozdělení je pojmenováno po N. N. Talebovi, který ve své knize Fooled by Randomness kriticky rozebral investiční strategii účastníků finančních trhů. Ekonom John Kay použil termín Talebovo rozdělení v článku srovnávajícím riskující řidiče s manažery hedgeových fondů: Podobně jako řidič automobilu může riskantní jízdou opakovaně dosáhnout malých zisků v podobě kratší doby jízdy, i investiční manažer může díky spekulacím opakovaně zvyšovat svůj výnos. Avšak podobně jako hazardující řidič riskuje svůj život, tak i investiční manažer riskuje ztrátu větší než součet předchozích zisků.ztrátu větší než součet předchozích zisků.
, In economics and finance, a Taleb distribu … In economics and finance, a Taleb distribution is the statistical profile of an investment which normally provides a payoff of small positive returns, while carrying a small but significant risk of catastrophic losses. The term was coined by journalist Martin Wolf and economist John Kay to describe investments with a "high probability of a modest gain and a low probability of huge losses in any period." The concept is named after Nassim Nicholas Taleb, based on ideas outlined in his book Fooled by Randomness. According to Taleb in Silent Risk, the term should be called "payoff" to reflect the importance of the payoff function of the underlying probability distribution, rather than the distribution itself. The term is meant to refer to an investment returns profile 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 very much 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 (kurtosis), which are to the downside (skew). Such kind of distributions have been studied in economic time series related to business cycles. More detailed and formal discussion of the bets on small probability events is in the academic essay by Taleb, called "Why Did the Crisis of 2008 Happen?" and in the 2004 paper in the Journal of Behavioral Finance called "Why Do We Prefer Asymmetric Payoffs?" in which he writes "agents risking other people’s capital would have the incentive to camouflage the properties by showing a steady income. Intuitively, hedge funds are paid on an annual basis while disasters happen every four or five years, for example. The fund manager does not repay his incentive fee."manager does not repay his incentive fee."
|
| http://dbpedia.org/ontology/thumbnail
|
http://commons.wikimedia.org/wiki/Special:FilePath/Taleb_and_Holy_Grail_Distributions.png?width=300 +
|
| http://dbpedia.org/ontology/wikiPageID
|
16658636
|
| http://dbpedia.org/ontology/wikiPageLength
|
10744
|
| http://dbpedia.org/ontology/wikiPageRevisionID
|
1100854254
|
| http://dbpedia.org/ontology/wikiPageWikiLink
|
http://dbpedia.org/resource/Holy_grail_distribution +
, http://dbpedia.org/resource/Economics +
, http://dbpedia.org/resource/Skewness_risk +
, http://dbpedia.org/resource/Investment_return +
, http://dbpedia.org/resource/Financial_leverage +
, http://dbpedia.org/resource/Probability +
, http://dbpedia.org/resource/Journal_of_Behavioral_Finance +
, http://dbpedia.org/resource/Minimax_regret +
, http://dbpedia.org/resource/Sensitivity_analysis +
, http://dbpedia.org/resource/Moral_hazard +
, http://dbpedia.org/resource/Finance +
, http://dbpedia.org/resource/Stress_testing +
, http://dbpedia.org/resource/The_Black_Swan:_The_Impact_of_the_Highly_Improbable +
, http://dbpedia.org/resource/Risk_of_ruin +
, http://dbpedia.org/resource/Robust_decision +
, http://dbpedia.org/resource/John_Kay_%28economist%29 +
, http://dbpedia.org/resource/Expected_utility +
, http://dbpedia.org/resource/Risk +
, http://dbpedia.org/resource/Hedge_funds +
, http://dbpedia.org/resource/Barbell_strategy +
, http://dbpedia.org/resource/Business_cycles +
, http://dbpedia.org/resource/Martin_Wolf +
, http://dbpedia.org/resource/Gambler%27s_ruin +
, http://dbpedia.org/resource/Info-gap_decision_theory +
, http://dbpedia.org/resource/Uncertainty +
, http://dbpedia.org/resource/Expected_value +
, http://dbpedia.org/resource/Category:Financial_risk +
, http://dbpedia.org/resource/Investment_strategy +
, http://dbpedia.org/resource/Hedge_fund +
, http://dbpedia.org/resource/Tailgating +
, http://dbpedia.org/resource/Traffic_accident +
, http://dbpedia.org/resource/Minimax +
, http://dbpedia.org/resource/File:Taleb_and_Holy_Grail_Distributions.png +
, http://dbpedia.org/resource/Decision_theory +
, http://dbpedia.org/resource/Kurtosis_risk +
, http://dbpedia.org/resource/Category:Mathematical_finance +
, http://dbpedia.org/resource/John_Kenneth_Galbraith +
, http://dbpedia.org/resource/Category:Types_of_probability_distributions +
, http://dbpedia.org/resource/Knightian_uncertainty +
, http://dbpedia.org/resource/Carry_trade +
, http://dbpedia.org/resource/Security_%28finance%29 +
, http://dbpedia.org/resource/Scenario_analysis +
, http://dbpedia.org/resource/Mark-to-market_accounting +
, http://dbpedia.org/resource/Speculative_bubble +
, http://dbpedia.org/resource/Option_%28finance%29 +
, http://dbpedia.org/resource/Fooled_by_Randomness +
, http://dbpedia.org/resource/Fat-tailed_distribution +
, http://dbpedia.org/resource/Probability_distribution +
, http://dbpedia.org/resource/Return_%28finance%29 +
, http://dbpedia.org/resource/Black_swan_theory +
, http://dbpedia.org/resource/Stress_test_%28financial%29 +
, http://dbpedia.org/resource/Nassim_Nicholas_Taleb +
|
| http://dbpedia.org/property/wikiPageUsesTemplate
|
http://dbpedia.org/resource/Template:Third-party +
, http://dbpedia.org/resource/Template:Short_description +
, http://dbpedia.org/resource/Template:Citation_needed +
, http://dbpedia.org/resource/Template:Use_American_English +
, http://dbpedia.org/resource/Template:Nassim_Nicholas_Taleb +
|
| http://purl.org/dc/terms/subject
|
http://dbpedia.org/resource/Category:Types_of_probability_distributions +
, http://dbpedia.org/resource/Category:Mathematical_finance +
, http://dbpedia.org/resource/Category:Financial_risk +
|
| http://purl.org/linguistics/gold/hypernym
|
http://dbpedia.org/resource/Profile +
|
| http://www.w3.org/ns/prov#wasDerivedFrom
|
http://en.wikipedia.org/wiki/Taleb_distribution?oldid=1100854254&ns=0 +
|
| http://xmlns.com/foaf/0.1/depiction
|
http://commons.wikimedia.org/wiki/Special:FilePath/Taleb_and_Holy_Grail_Distributions.png +
|
| http://xmlns.com/foaf/0.1/isPrimaryTopicOf
|
http://en.wikipedia.org/wiki/Taleb_distribution +
|
| owl:sameAs |
https://global.dbpedia.org/id/4vQ1d +
, http://rdf.freebase.com/ns/m.03yk8ss +
, http://dbpedia.org/resource/Taleb_distribution +
, http://cs.dbpedia.org/resource/Talebovo_rozd%C4%9Blen%C3%AD +
, http://www.wikidata.org/entity/Q7679128 +
|
| rdf:type |
http://dbpedia.org/ontology/Film +
|
| rdfs:comment |
In economics and finance, a Taleb distribu … In economics and finance, a Taleb distribution is the statistical profile of an investment which normally provides a payoff of small positive returns, while carrying a small but significant risk of catastrophic losses. The term was coined by journalist Martin Wolf and economist John Kay to describe investments with a "high probability of a modest gain and a low probability of huge losses in any period." The concept is named after Nassim Nicholas Taleb, based on ideas outlined in his book Fooled by Randomness.outlined in his book Fooled by Randomness.
, Talebovo rozdělení označuje situaci, ve kt … Talebovo rozdělení označuje situaci, ve které je vysoká pravděpodobnost malého zisku a malá pravděpodobnost velmi vysoké ztráty. V této situaci je očekávaná hodnota záporná, což však nemusí být vzhledem k zdánlivě nízkému riziku a stálým výnosům vždy patrné. Talebovo rozdělení je pojmenováno po N. N. Talebovi, který ve své knize Fooled by Randomness kriticky rozebral investiční strategii účastníků finančních trhů.tiční strategii účastníků finančních trhů.
|
| rdfs:label |
Taleb distribution
, Talebovo rozdělení
|
