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The Black Swans In Your Market Neutral Portfolios (Part I)
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Yves-Laurent Kom Samo
Carl Noble
Carl Noble
Aug 31, 2018 · 1 min read

Is there ANY (real world) phenomenon that the i.i.d Gaussian represents? Folks love it because you only need 2 parameters to specify “everthing” — and if time is involved “everything” means for all time.

Once you get past the “small variations happen a lot more than large ones” you are in deep yoghurt. Read Taleb. He explains it all pretty well.

    Carl Noble

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    Carl Noble

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