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malcolm kemp extreme events robust portfolio construction in the presence of fat tails isbn 9780470976791

Malcolm Kemp Extreme Events. Robust Portfolio Construction in the Presence of Fat Tails malcolm kemp extreme events robust portfolio construction in the presence of fat tails isbn 9780470976791

Malcolm Kemp Extreme...

Taking due account of extreme events when constructing portfolios of a...

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Armin Bunde Extreme Events and Natural Hazards. The Complexity Perspective malcolm kemp extreme events robust portfolio construction in the presence of fat tails isbn 9780470976791

Armin Bunde Extreme...

Published by the American Geophysical Union as part of the Geophysical...

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Frank Fabozzi J. Robust Equity Portfolio Management. Formulations, Implementations, and Properties using MATLAB malcolm kemp extreme events robust portfolio construction in the presence of fat tails isbn 9780470976791

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A comprehensive portfolio optimization guide, with provided MATLAB cod...

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Francois Longin Extreme Events in Finance. A Handbook of Extreme Value Theory and its Applications malcolm kemp extreme events robust portfolio construction in the presence of fat tails isbn 9780470976791

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A guide to the growing importance of extreme value risk theory, method...

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Mario Chavez Extreme Events. Observations, Modeling, and Economics malcolm kemp extreme events robust portfolio construction in the presence of fat tails isbn 9780470976791

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The monograph covers the fundamentals and the consequences of extreme...

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Frank Fabozzi J. Portfolio Construction and Analytics malcolm kemp extreme events robust portfolio construction in the presence of fat tails isbn 9780470976791

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A detailed, multi-disciplinary approach to investment analytics Portfo...

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Lukasz Snopek The Complete Guide to Portfolio Construction and Management malcolm kemp extreme events robust portfolio construction in the presence of fat tails isbn 9780470976791

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In the wake of the recent financial crisis, many will agree that it is...

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Philippe Quevauviller Hydrometeorological Hazards. Interfacing Science and Policy malcolm kemp extreme events robust portfolio construction in the presence of fat tails isbn 9780470976791

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Recent hydrometeorological extreme events have highlighted the increas...

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Malcolm Kemp Market Consistency. Model Calibration in Imperfect Markets malcolm kemp extreme events robust portfolio construction in the presence of fat tails isbn 9780470976791

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Achieving market consistency can be challenging, even for the most est...

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Overwriting the human consciousness in the processor, UFOs and the pre...

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Georges Voyiadjis Materials under Extreme Loadings. Application to Penetration and Impact malcolm kemp extreme events robust portfolio construction in the presence of fat tails isbn 9780470976791

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This book presents recent and cutting edge advances in our understandi...

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The modern financial industry has been required to deal with large and...

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"The six essays in this book are based on meetings or other events whi...

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Для информации:

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 combines a comprehensive treatment of modern risk budgeting and portfolio construction techniques with the specific refinements needed for them to handle extreme events. It explains in a logical sequence what constitutes fat-tailed behaviour and why it arises, how we can analyse such behaviour, at aggregate, sector or instrument level, and how we can then take advantage of this analysis. Along the way, it provides a rigorous, comprehensive and clear development of traditional portfolio construction methodologies applicable if fat-tails are absent. It then explains how to refine these methodologies to accommodate real world behaviour. Throughout, the book highlights the importance of expert opinion, showing that even the most data-centric portfolio construction approaches ultimately depend on practitioner assumptions about how the world might behave. The book includes: Key concepts and methods involved in analysing extreme events A comprehensive treatment of mean-variance investing, Bayesian methods, market consistent approaches, risk budgeting, and their application to manager and instrument selection A systematic development of the refinements needed to traditional portfolio construction methodologies to cater for fat-tailed behaviour Latest developments in stress testing and back testing methodologies A strong focus on the practical implementation challenges that can arise at each step in the process and on how to overcome these challenges “Understanding how to model and analyse the risk of extreme events is a crucial part of the risk management process. This book provides a set of techniques that allow practitioners to do this comprehensively.” Paul Sweeting, Professor of Actuarial Science, University of Kent “How can the likeliness of crises affect the construction of portfolios? This question is highly topical in times where we still have to digest the last financial collapse. Malcolm Kemp gives the answer. His book is highly recommended to experts as well as to students in the financial field.” Christoph Krischanitz, President Actuarial Association of Austria, Chairman WG “Market Consistency” of Groupe Consultatif