Risk of Ruin

Man muss nicht gleich die gaußsche Normalverteilung wegwerfen mit der Standardabweichung inkl. dem Black and Scholes Option Pricing Model,
aber das fat tail lauert um die Ecke :)!

Nassim Taleb and his team at Empirica are quants. 
But they reject the quant orthodoxy, because they don’t believe that things like the stock market behave in the way that physical phenomen alike mortality statistics do. 
Physical events,whether death rates or poker games, are the predictable functionof a limited and stable set of factors, and tend to follow what statisticians call a “normal distribution”—a bell curve. 
But do the ups and downs of the market follow a bell curve? 
The economist Eugene Fama once pointed out that if the movement of stock prices followed a normal distribution you’d expect a really big jump—what he specified as a movement five standard deviations from the mean—once every seven thousand years. 
In fact, jumps of that magnitude happen in the stock market every three or four years, because investors don’t behave with any kind of statistical orderliness. 
They change their mind. They do stupidt hings. They copy each other. They panic. 
Fama concluded that if you charted the market’s fluctuations, the graph would have a “fat tail”—meaning that at the upper and lower ends of the distribution there would be many more outliers than statisticians used to modelling the physical world would have imagined. 

Aus The New Yorker 2002

interessant, wenn auch nicht für Anfänger.

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Köstlich, ich liebe es!