Handling Extreme Events

Extreme Events and Portfolio Construction [3]

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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

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

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