Handling Extreme Events

Extreme Events and Portfolio Construction [27]

Go to: Summary | Previous | Next
Bullet points include: Builds on premise that a high proportion of fat-tailed behaviour observed in practice derives from time-varying nature of the world in which we live. Usually developed via use of a mathematical technique called Markov chains. But can develop continuous analogues, e.g. threshold autoregressive models

Bullet points include: Builds on premise that a high proportion of fat-tailed behaviour observed in practice derives from time-varying nature of the world in which we live. Usually developed via use of a mathematical technique called Markov chains. But can develop continuous analogues, e.g. threshold autoregressive models

NAVIGATION LINKS
Contents | Prev | Next | Library

Desktop view | Switch to Mobile