Convexity, Robustness, and Model Error inside the Fourth Quadrant, I. Background on Average Four Feet Deep
نویسندگان
چکیده
This is a second technical companion to the essay On Robustness and Fragility in the second edition of The Black Swan (a follow up the Fourth Quadrant). It makes the distinction between fragile an robust to model (or representational) error on the basis of convexity. It also introduces a simple practical method to measure (as an indicator of fragility) the sensitivity of a portfolio (or balance sheet) to model error.
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