Didier Darcet
15 March 2019

The Formal Measure of Fragility

Our last publication on “Antifragility” proposed a method to verify the fragile or antifragile nature of financial assets. This week’s publication goes one step further and challenges Professor Taleb’s description of fragility. The suggested transgression opens doors for a formal and quantitative measure of fragility, with very high statistical significance, as opposed to a simple verification of the fragile or antifragile nature of any asset; A necessary step to introduce fragility as a new variable in portfolio construction processes.