Perhaps try this one: https://seekingalpha.com/article/1975481-book-review-bhansali-tail-risk-hedging TAIL RISK HEDGING: Creating Robust Portfolios for Volatile Markets (Professional Finance & Investment) 1st Edition by Vineer Bhansali
i don't mind if you got a deep itch. you have proven it worthy of it with your inability to let things go.
Q A Wall Street hedging expert said that adding such a bearish bet to a big holding of stocks could erase as much as 8 percent from the value of the portfolio each year. Mr. Spitznagel, however, contends that Universa’s hedge costs far less than that. Universa, he said, has been able to buy protection against a stock market crash at a price that makes the firm’s overall strategy viable. But doing so has not been easy, Mr. Spitznagel contended. “You’ve got to be buying when other people are selling it — and that’s very hard to do,” he said. UQ As an adviser, Taleb would have to tell the public very little about anything that could be useful, if any. imo
Pekelo, This is your thread and I have a lot of respect for you. So, I propose to bring the discussion back to the merits of his specific strategy. I think many here and in the hedge fund industry argued the wrong thing: Yes, hedging tail risk can be expensive and may not be worthwhile. However, Taleb's strategy is not to hedge a portfolio against tails but rather how one can profit from tails? They are 180 degree apart. The two points he made: 1. Keep most of your assets risk free but use a very small percentage to invest in tail events. 2. The investment in tail events can be profitable because of the convexity of tail events. Perhaps it is extremely difficult to implement successfully because of the rarity of tails and I think most hedge fund cannot afford to not make money for a while waiting for tails or their customers will bolt before they succeed. This reminded me of the "Big Short". My question to all you professional option traders is whether what he said has merit? Yes/no? And what are your rationale, or proofs of your answer. This way an amateur mom and pop retail trader like me can learn something from you professionals. Cheers.