Risk 07: modern portfolio theory should be ditched, says Taleb

Speaking at the Risk 2007 conference in London this morning, he warned that "relying on tools that we use in modern finance, such as sigma, covariance or correlations, actually increases your risk."

Taleb argued that models based on bell-curve assumptions, such as the Gaussian distribution model, fail to capture reality. The possibility of unexpected rare events - black swans - is not factored in, while these events occur much more frequently than is thought. "We have to abandon modern portfolio

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.


Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here