Views on Non-normal markets

Views on non-Normal markets [49]

Go to: Summary | Previous | Next
Bullet points include: PCA, only StdDev (c = 0), Blended (c = 0.39), Only Kurtosis, Component, StdDev, Kurt, Criterion, StdDev, Kurt, Criterion, StdDev, Kurt, Av (top 6), Av (all 23). Sizes of ‘1 in 200’ events potentially underestimated several-fold by PCA. If portfolio built on the basis of ‘meaning’ (e.g. if actively managed)

Bullet points include: PCA, only StdDev (c = 0), Blended (c = 0.39), Only Kurtosis, Component, StdDev, Kurt, Criterion, StdDev, Kurt, Criterion, StdDev, Kurt, Av (top 6), Av (all 23). Sizes of ‘1 in 200’ events potentially underestimated several-fold by PCA. If portfolio built on the basis of ‘meaning’ (e.g. if actively managed)

NAVIGATION LINKS
Contents | Prev | Next | Library

Desktop view | Switch to Mobile