EVT and alternatives [2]

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Bullet points include: Why are return series often ‘fat tailed’? Strengths and weaknesses of Extreme Value Theory (EVT). Interaction with portfolio construction. See also: Kemp, M.H.D. (2010). Extreme Events: Robust Portfolio Construction in the Presence of Fat Tails. John Wiley & Sons. Toolkit, charts etc. on www.nematrian.com/extremeevents.aspx

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