PRE-ASYMPTOTIC MEASURE OF FAT TAILEDNESS

PRE-ASYMPTOTIC MEASURE OF FAT

TAILEDNESSNassim Nicholas Taleb

Tandon School of Engineering, NYU

Speed of statistical inference (number of

summands) and diversification effects are same.

kappa and Portfolio “Risk”

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Preasymptotics for

Summands

There is no such thing as infinite summands in

the real world

n “large” but not asymptotic is not necessarily in

the perceived distributional class

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Infinity Shminfinity

• For a Lognormal, “X large but not infinity” is even

more ambiguous.

• For a lognormal, “σ low is ambiguous”

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