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Taleb distribution
In economics and finance, a Taleb distribution is a returns profile that appears at times deceptively low-risk with steady returns, but experiences periodically catastrophic drawdowns. The term was coined by journalist Martin Wolf and economist John Kay, and is named after Nassim Taleb, based on ideas outlined in his ''Fooled by Randomness''.〔Martin Wolf,
''(Why today’s hedge fund industry may not survive )'', Financial Times, 18 March 2008〕According to Taleb in ''Silent Risk'', it should be called "payoff" not a "distribution".〔http://www.fooledbyrandomness.com/FatTails.html〕 It does not describe a statistical probability distribution, and does not have an associated mathematical formula. The term is meant to refer to an investment returns profile in which there is a high probability of a small gain, and a small probability of a very large loss, which more than outweighs the gains. In these situations the expected value is very much less than zero, but this fact is camouflaged by the appearance of low risk and steady returns. It is a combination of kurtosis risk and skewness risk: overall returns are dominated by extreme events (kurtosis), which are to the downside (skew).
More detailed and formal discussion of the bets on small probability events is in the academic essay by Taleb, called "Why Did the Crisis of 2008 Happen?" and in the 2004 paper in the Journal of Behavioral Finance called "Why Do We Prefer Asymmetric Payoffs?" in which he writes "agents risking other people’s capital would have the incentive to camouflage the properties by showing a steady income. Intuitively, hedge funds are paid on an annual basis while disasters happen every four or five years, for example. The fund manager does not repay his incentive fee."〔http://www.fooledbyrandomness.com/Technicalpapers.pdf,〕
== Criticism of trading strategies ==
Pursuing a trading strategy with a Taleb distribution yields a high probability of steady returns for a time, but with a near certainty of eventual ruin. This is done consciously by some as a risky trading strategy, while some critics argue that it is done either unconsciously by some, unaware of the hazards ("innocent fraud"), or consciously by others, particularly in hedge funds.
抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』
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