Extreme events: Robust portfolio
construction in the presence of fat tails
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resource pages on the Nematrian website relating to this book, including
charts, specimen questions and answers (for students and lecturers) and
links to other material on the Nematrian website referred to in this book
This book, published by Wileys in November 2010, combines a
comprehensive treatment of modern risk budgeting and portfolio construction
techniques with the specific refinements needed for them to handle extreme
It explains in a logical sequence what constitutes
fat-tailed behaviour and why it arises, how we can analyse such behaviour, at
aggregate, sector or instrument level, and how we can then take advantage of
Along the way, it provides a rigorous, comprehensive and
clear development of traditional portfolio construction methodologies
applicable if fat tails are absent. It then explains how to refine these
methodologies to accommodate real world behaviour, i.e. behaviour that includes
extreme events from time to time.
Most of the references contained in Extreme Events
can be viewed here.
Those referring back to the Nematrian website are listed here.
In the writing, editing and printing process, a few errors
appear to have crept into the book, see Extreme Events Errata.
Please advise the author if you spot any others. Endorsements of the book
include the following: Extreme Events –