Extreme Value Theory (EVT)

EVT and alternatives [17]

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Bullet points include: Traditional (quantitative) approach involves portfolio optimisation. Typically mean-variance optimisation. Identify expected return (‘alpha’) from each position. Maximise expected return for a given level of risk (subject to constraints, e.g. weights sum to unity). Maximise a.r – lambda.aTVa. Intrinsically multivariate

Bullet points include: Traditional (quantitative) approach involves portfolio optimisation. Typically mean-variance optimisation. Identify expected return (‘alpha’) from each position. Maximise expected return for a given level of risk (subject to constraints, e.g. weights sum to unity). Maximise a.r – lambda.aTVa. Intrinsically multivariate

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