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

By Malcolm Kemp
eBook
$87.00
By Malcolm Kemp
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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 export Malcolm Kemp shows readers how to analyse market data to uncover fat-tailed behavior, how to incorporate expert judgement in the handling of such information, and how to refine portfolio construction methodo...

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