This is a summary of links featured on Quantocracy on Saturday, 04/16/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Taleb: Silent Risk, Section 1.3 [Blue Event Horizon]Towards the end of this section, Taleb inserts a sidebar as follows: Consider the right tail K^{+}\in \mathbb{R}^{+} and the left tail K^{-}\in \mathbb{R}^{-} . Without specifying the support of the distribution: Definition 1.3 (Probability swamps payoff (thin tails)). \lim_{K^{+ }\rightarrow\infty }E\left [ X\mid_{X> K^{+}} \right ]=K^{+}\textup{and}\lim_{K^{- }\rightarrow-\infty }E\left [