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Extreme Events. Robust Portfolio Construction in the Presence of Fat Tails

author
malcolm kemp
Read only on LitRes

The book cannot be downloaded as a file, but can be read in our app or online on the website.

$104.40

About the book

Taking due account of extreme events when constructing portfolios of assets or liabilities is a key discipline for market professionals. Extreme events are a fact of life in how markets operate. In Extreme Events: Robust Portfolio Construction in the Presence of Fat Tails, leading expert Malcolm Kemp shows readers how to analyse market data to uncover fat-tailed behaviour, how to incorporate expert judgement in the handling of such information, and how to refine portfolio construction methodologies to make portfolios less vulnerable to extreme events or to benefit more from them. This is the only text that... 

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Age restriction:
0+
Release date on Litres:
09 June 2018
Volume:
336 p.
ISBN:
9780470976791
Total size:
8.9 МБ
Total number of pages:
336
Copyright holder:
John Wiley & Sons Limited
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