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Fat Tails and Extreme Events [3]

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Bullet points include: Chapters: Introduction. Fat tails – in single (i.e. univariate) return series. Fat tails – in joint (i.e. multivariate) return series. Identifying factors that significantly influence markets. Traditional portfolio construction techniques. Robust mean-variance portfolio construction. Regime switching and time-varying risk and return parameters. Stress testing. Really extreme events. Plus Principles (Chapter 10) and Exercises (Appendix). Each chapter also includes specific sections covering practitioner perspectives and implementation challenges. Book provides practitioners and students with all main recipes (plus author views on them) with a toolkit provided through www.nematrian.com

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