Autor:	Taleb, Nassim Nicholas, Richman, Ron, Carreira, Marcos, Sharpe, James
Rok vydání:	2023
Předmět:	Quantitative Finance - Risk Management Statistics - Applications
Druh dokumentu:	Working Paper
Popis:	We respond to Tetlock et al. (2022) showing 1) how expert judgment fails to reflect tail risk, 2) the lack of compatibility between forecasting tournaments and tail risk assessment methods (such as extreme value theory). More importantly, we communicate a new result showing a greater gap between the properties of tail expectation and those of the corresponding probability. Comment: Accepted, International Journal of Forecasting
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2301.10985 Zobrazit plný text záznamu View this record from Arxiv