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This presentation summarises material in the author's book 'Extreme Events: Robust Portfolio Construction in the Presence of Fat Tails'. Chapter titles include:
1. Introduction
2. Fat tails – in single (i.e. univariate) return series
3. Fat tails – in joint (i.e. multivariate) return series
4. Identifying factors that significantly influence markets
5. Traditional portfolio construction techniques
6. Robust mean-variance portfolio construction
7. Regime switching and time-varying risk and return parameters
8. Stress testing
9. Really extreme events

[as pdf]

Slides

1	Asset Allocation Workshop
2	Underlying thesis
3	Extreme Events: Robust Portfolio Construction in the Presence of Fat Tails
4	Selected highlights from “Extreme Events”
5	Modelling fat tails for individual risks
6	Many (most?) investment return series are ‘fat-tailed’
7	Why are return series often fat-tailed?
8	Explains some equity index fat fails, particularly upside
9	And over longer time periods
10	Crowded trades and leverage
11	Extreme Value Theory (EVT)
12	Potential weaknesses
13	Selected highlights from “Extreme Events”
14	Joint fat-tailed behaviour
15	Copulas: a well trodden (mathematical) path
16	But extreme behaviour shows up better in QQ plots
17	Selected highlights from “Extreme Events”
18	Factor identification
19	Fundamental data limitations
20	Selection effects
21	PCA vs. ICA
22	Selection effects are potentially very important
23	Selection effects: do they occur in practice?
24	Selected highlights from “Extreme Events”
25	Portfolio construction
26	Portfolio construction: sensitivities
27	Impact of fat tails (1)
28	Impact of fat tails (2)
29	Other approaches
30	Selected highlights from “Extreme Events”
31	Stress testing
32	Observations
33	Really extreme events
34	Extreme Events: Robust Portfolio Construction in the Presence of Fat Tails
35	Important Information

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