Nematrian
/

Extreme events - A Summary [2]

Go to: Summary | Previous | Next   
Bullet points include: Analysing fat-tailed behaviour. What causes fat-tailed behaviour? Time-variation, crowded trades, selection effects. Portfolio construction in the presence of fat tails. Talk based on: Kemp, M.H.D. (2010). Extreme Events: Robust Portfolio Construction in the Presence of Fat Tails. John Wiley & Sons. Toolkit, charts, model questions and answers etc. available through www.nematrian.com/extremeevents.aspx

NAVIGATION LINKS
Contents | Prev | Next | Library

Desktop view | Switch to Mobile