The essayist Nassim Nicholas Taleb has frequently warned of a dangerous disregard for fat tails in quantitative finance. I see the same danger here, but with regard to deepfakes. The premise of ...

In reality, stock market risk exhibits "fat tails." Allowing for "fat tails" can add considerable computational complexity to standard optimization framework, which is already quite complicated. This ...

Learn how to identify goals and build a resilient portfolio that can achieve them. Paul D. Kaplan was director of research at Morningstar, responsible for the quantitative methodologies behind ...

There are good reasons to think that those probability distributions are fat-tailed, which implies that if social welfare is based on the expectation of a CRRA utility function, we should be willing ...

When funds use leverage, price fluctuations become heavy tailed and display clustered volatility, similar to what is observed in real markets. Previous explanations of fat tails and clustered ...