Extreme Events – Specimen Questions and Answers

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An Appendix to the book Extreme Events: Robust Portfolio Construction in the Presence of Fat Tails contains some specimen questions for students and lecturers on material covered in the book, reproduced courtesy of Nematrian. In the following pages we provide some solution hints/model answers to these questions. Analytical tools available on the Nematrian website that can help with these solutions are referred to in the relevant model solution.


We suggest that you work through these questions and answers approximately sequentially. Techniques and hints given for earlier questions may also be relevant to later ones.


-          Chapter 2: Fat Tails – In Single (i.e. Univariate) Return Series

-          Chapter 3: Fat Tails – In Joint (i.e. Multivariate) Return Series

-          Chapter 4: Identifying Factors That Significantly Influence Markets

-          Chapter 5: Traditional Portfolio Construction Techniques

-          Chapter 6: Robust Mean-Variance Portfolio Construction

-          Chapter 7: Regime Switching and Time-Varying Risk and Return Parameters

-          Chapter 8: Stress Testing

-          Chapter 9: Really Extreme Events


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