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

Malcolm Kemp, "Extreme Events: Robust Portfolio Construction in the Presence of Fat Tails"
W...y | 2011-01-25 | ISBN: 0470750138 | 334 pages | PDF | 4 MB

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.