Extreme Events and Portfolio Construction [3]

Go to: Summary | Previous | Next   
Bullet points include: Why are return series often ‘fat tailed’? Extreme Value Theory (EVT) and possible refinements. Modelling joint fat-tailed behaviour. Lessons for portfolio construction. See also Kemp, M.H.D. (2010) Extreme Events: Robust Portfolio Construction in the Presence of Fat Tails. John Wiley & Sons and toolkit etc. at www.nematrian.com

Contents | Prev | Next | Library

Desktop view | Switch to Mobile