Nassim Taleb heads international banking’s first Grey/Black Swan Committee

Phillips, Emir

doi:10.1016/j.qref.2018.11.005

Cited by 2 publications

(1 citation statement)

References 16 publications

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“…This turmoil event is called a black swan . They are said to be unpredictable with mathematical models as being not reflected in historical data (Phillips 2019 ; Werther 2017 ). However, for sure monthly expected rate of return for any financial investment in stock is overestimated for a period of data given turbulence will occur (Focard and Fabozzi 2009 ).…”

Section: Introductionmentioning

confidence: 99%

Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis

Uğurlu

Brzęczek

2022

Cent Eur J Oper Res

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A robust optimal control of discrete time Markov chains with finite terminal T and bounded costs or wealth using probability distortion is studied. The time inconsistency of these distortion operators and hence its lack of dynamic programming are discussed. Due to that, dynamic versions of these operators are introduced, and its availability for dynamic programming is demonstrated. Based on dynamic programming algorithm, existence of the optimal policy is justified and an application of the theory to portfolio optimization along with a numerical study is also presented.

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Section: Introductionmentioning

confidence: 99%

Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis

Uğurlu

Brzęczek

2022

Cent Eur J Oper Res

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A Systematic Literature Review of the Impact of Complexity Theory on Applied Economics

Haynes

Alemna

2022

Economies

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A systematic literature review is used to explore the relationship between complexity theory and economics. Broad search terms identify an unmanageable large number of hits. A more focused search strategy follows the PRISMA protocol and screens for Economics branded publications, and with key words for different applications of economics occurring in the abstract. This results in a distinct group of 247 publications. One hundred and twenty-two publications are excluded due to inclusion criteria or a lack of relevance. The remaining 113 are analysed for (1) use of complexity theory concepts, (2) types of methodology and methods, and (3) the applications for macro, meso, and micro issues. The publication with the greatest frequency of resulting articles is Complexity, closely followed by Ecological Economics. The highest annual citation ratio for a single article was 33.88. Complexity theory concepts included: non-linearity, system interactions, adaption, and resilience. Many developed a meso application, rather than solely focusing on macro or micro designs. Agent Based Models (ABMs) were popular, as were general systems models following the practice of the late system theorist, Donella Meadows. Applications were interdisciplinary and diverse, including world system models that linked macroeconomics to climate and sustainability, as contrast with micro and meso models trying to explain the complexity of agent-based behaviour on specific organisations or higher-level processes.

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Nassim Taleb heads international banking’s first Grey/Black Swan Committee

Cited by 2 publications

References 16 publications

Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis

Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis

A Systematic Literature Review of the Impact of Complexity Theory on Applied Economics

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