Extreme events robust portfolio construction in the presence of fat tails
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| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, N.J.
Wiley
2011
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| Schriftenreihe: | Wiley finance series
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| Schlagworte: | |
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| 020 | |a 9780470750131 |9 978-0-470-75013-1 | ||
| 020 | |a 9780470976791 |c Online |9 978-0-470-97679-1 | ||
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| 082 | 0 | |a 332.6 |2 22 | |
| 100 | 1 | |a Kemp, Malcolm H. D. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Extreme events |b robust portfolio construction in the presence of fat tails |c Malcolm H.D. Kemp |
| 264 | 1 | |a Hoboken, N.J. |b Wiley |c 2011 | |
| 300 | |a xxii, 312 p. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 0 | |a Wiley finance series | |
| 500 | |a Includes bibliographical references and index | ||
| 500 | |a "With slight exaggeration, a case can be made that modern finance has been built, in practice, if not in theory, on implicit tolerance and widespread ignorance of extreme events. Jean Pierre Landau, Deputy Governor, Banque du France Markets are fat-tailed; extreme outcomes occur more often than many might hope, or indeed the statistics or normal distributions might indicate. In this book, the author provides readers with the latest tools and techniques on how best to adapt portfolio construction techniques to cope with extreme events. Beginning with an overview of portfolio construction and market drivers, the book will analyze fat tails, what they are, their behavior, how they can differ and what their underlying causes are. The book will then move on to look at portfolio construction techniques which take into account fat tailed behavior, and how to stress test your portfolio against extreme events. Finally, the book will analyze really extreme events in the context of portfolio choice and problems. The book will offer readers: Ways of understanding and analyzing sources of extreme events Tools for analyzing the key drivers of risk and return, their potential magnitude and how they might interact Methodologies for achieving efficient portfolio construction and risk budgeting Approaches for catering for the time-varying nature of the world in which we live Back-stop approaches for coping with really extreme events Illustrations and real life examples of extreme events across asset classes This will be an indispensible guide for portfolio and risk managers who will need to better protect their portfolios against extreme events which, within the financial markets, occur more frequently than we might expect."-- | ||
| 500 | |a "The book will analyze fat tails, what they are, their behavior, how they can differ and what their underlying causes are"-- | ||
| 505 | 0 | |a Machine generated contents note: Preface -- Acknowledgements -- Abbreviations -- Notation -- 1 Introduction -- 1.1 Extreme events -- 1.2 The portfolio construction problem -- 1.3 Coping with really extreme events -- 1.4 Risk budgeting -- 1.5 Elements designed to maximise benefit to readers -- 1.6 Book structure -- 2. Fat Tails - In Single (i.e. Univariate) Return Series -- 2.1 Introduction -- 2.2 A fat tail relative to what? -- 2.3 Empirical examples of fat-tailed behaviour in return series -- 2.4 Characterising fat-tailed distributions by their moments -- 2.5 What causes fat tails? -- 2.6 Lack of diversification -- 2.7 A time-varying world -- 2.8 Stable distributions -- 2.9 Extreme value theory (EVT) -- 2.10 Parsimony -- 2.11 Combining different possible source mechanisms -- 2.12 The practitioner perspective -- 2.13 Implementation challenges -- 3. Fat Tails - In Joint (i.e. Multivariate) Return Series -- 3.1 Introduction -- | |
| 650 | 4 | |a Exchange traded funds | |
| 650 | 4 | |a Portfolio management | |
| 912 | |a ZDB-30-PAD |a ZDB-30-PBE | ||
| 999 | |a oai:aleph.bib-bvb.de:BVB01-029561649 | ||
Datensatz im Suchindex
| _version_ | 1804177260984401920 |
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| any_adam_object | |
| author | Kemp, Malcolm H. D. |
| author_facet | Kemp, Malcolm H. D. |
| author_role | aut |
| author_sort | Kemp, Malcolm H. D. |
| author_variant | m h d k mhd mhdk |
| building | Verbundindex |
| bvnumber | BV044154804 |
| collection | ZDB-30-PAD ZDB-30-PBE |
| contents | Machine generated contents note: Preface -- Acknowledgements -- Abbreviations -- Notation -- 1 Introduction -- 1.1 Extreme events -- 1.2 The portfolio construction problem -- 1.3 Coping with really extreme events -- 1.4 Risk budgeting -- 1.5 Elements designed to maximise benefit to readers -- 1.6 Book structure -- 2. Fat Tails - In Single (i.e. Univariate) Return Series -- 2.1 Introduction -- 2.2 A fat tail relative to what? -- 2.3 Empirical examples of fat-tailed behaviour in return series -- 2.4 Characterising fat-tailed distributions by their moments -- 2.5 What causes fat tails? -- 2.6 Lack of diversification -- 2.7 A time-varying world -- 2.8 Stable distributions -- 2.9 Extreme value theory (EVT) -- 2.10 Parsimony -- 2.11 Combining different possible source mechanisms -- 2.12 The practitioner perspective -- 2.13 Implementation challenges -- 3. Fat Tails - In Joint (i.e. Multivariate) Return Series -- 3.1 Introduction -- |
| ctrlnum | (ZDB-30-PAD)EBC699408 (ZDB-89-EBL)EBL699408 (OCoLC)760886330 (DE-599)BVBBV044154804 |
| dewey-full | 332.6 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 |
| dewey-search | 332.6 |
| dewey-sort | 3332.6 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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Fat Tails - In Single (i.e. Univariate) Return Series -- 2.1 Introduction -- 2.2 A fat tail relative to what? -- 2.3 Empirical examples of fat-tailed behaviour in return series -- 2.4 Characterising fat-tailed distributions by their moments -- 2.5 What causes fat tails? -- 2.6 Lack of diversification -- 2.7 A time-varying world -- 2.8 Stable distributions -- 2.9 Extreme value theory (EVT) -- 2.10 Parsimony -- 2.11 Combining different possible source mechanisms -- 2.12 The practitioner perspective -- 2.13 Implementation challenges -- 3. 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| id | DE-604.BV044154804 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:45:15Z |
| institution | BVB |
| isbn | 9780470750131 9780470976791 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029561649 |
| oclc_num | 760886330 |
| open_access_boolean | |
| physical | xxii, 312 p. |
| psigel | ZDB-30-PAD ZDB-30-PBE |
| publishDate | 2011 |
| publishDateSearch | 2011 |
| publishDateSort | 2011 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley finance series |
| spelling | Kemp, Malcolm H. D. Verfasser aut Extreme events robust portfolio construction in the presence of fat tails Malcolm H.D. Kemp Hoboken, N.J. Wiley 2011 xxii, 312 p. txt rdacontent c rdamedia cr rdacarrier Wiley finance series Includes bibliographical references and index "With slight exaggeration, a case can be made that modern finance has been built, in practice, if not in theory, on implicit tolerance and widespread ignorance of extreme events. Jean Pierre Landau, Deputy Governor, Banque du France Markets are fat-tailed; extreme outcomes occur more often than many might hope, or indeed the statistics or normal distributions might indicate. In this book, the author provides readers with the latest tools and techniques on how best to adapt portfolio construction techniques to cope with extreme events. Beginning with an overview of portfolio construction and market drivers, the book will analyze fat tails, what they are, their behavior, how they can differ and what their underlying causes are. The book will then move on to look at portfolio construction techniques which take into account fat tailed behavior, and how to stress test your portfolio against extreme events. Finally, the book will analyze really extreme events in the context of portfolio choice and problems. The book will offer readers: Ways of understanding and analyzing sources of extreme events Tools for analyzing the key drivers of risk and return, their potential magnitude and how they might interact Methodologies for achieving efficient portfolio construction and risk budgeting Approaches for catering for the time-varying nature of the world in which we live Back-stop approaches for coping with really extreme events Illustrations and real life examples of extreme events across asset classes This will be an indispensible guide for portfolio and risk managers who will need to better protect their portfolios against extreme events which, within the financial markets, occur more frequently than we might expect."-- "The book will analyze fat tails, what they are, their behavior, how they can differ and what their underlying causes are"-- Machine generated contents note: Preface -- Acknowledgements -- Abbreviations -- Notation -- 1 Introduction -- 1.1 Extreme events -- 1.2 The portfolio construction problem -- 1.3 Coping with really extreme events -- 1.4 Risk budgeting -- 1.5 Elements designed to maximise benefit to readers -- 1.6 Book structure -- 2. Fat Tails - In Single (i.e. Univariate) Return Series -- 2.1 Introduction -- 2.2 A fat tail relative to what? -- 2.3 Empirical examples of fat-tailed behaviour in return series -- 2.4 Characterising fat-tailed distributions by their moments -- 2.5 What causes fat tails? -- 2.6 Lack of diversification -- 2.7 A time-varying world -- 2.8 Stable distributions -- 2.9 Extreme value theory (EVT) -- 2.10 Parsimony -- 2.11 Combining different possible source mechanisms -- 2.12 The practitioner perspective -- 2.13 Implementation challenges -- 3. Fat Tails - In Joint (i.e. Multivariate) Return Series -- 3.1 Introduction -- Exchange traded funds Portfolio management |
| spellingShingle | Kemp, Malcolm H. D. Extreme events robust portfolio construction in the presence of fat tails Machine generated contents note: Preface -- Acknowledgements -- Abbreviations -- Notation -- 1 Introduction -- 1.1 Extreme events -- 1.2 The portfolio construction problem -- 1.3 Coping with really extreme events -- 1.4 Risk budgeting -- 1.5 Elements designed to maximise benefit to readers -- 1.6 Book structure -- 2. Fat Tails - In Single (i.e. Univariate) Return Series -- 2.1 Introduction -- 2.2 A fat tail relative to what? -- 2.3 Empirical examples of fat-tailed behaviour in return series -- 2.4 Characterising fat-tailed distributions by their moments -- 2.5 What causes fat tails? -- 2.6 Lack of diversification -- 2.7 A time-varying world -- 2.8 Stable distributions -- 2.9 Extreme value theory (EVT) -- 2.10 Parsimony -- 2.11 Combining different possible source mechanisms -- 2.12 The practitioner perspective -- 2.13 Implementation challenges -- 3. Fat Tails - In Joint (i.e. Multivariate) Return Series -- 3.1 Introduction -- Exchange traded funds Portfolio management |
| title | Extreme events robust portfolio construction in the presence of fat tails |
| title_auth | Extreme events robust portfolio construction in the presence of fat tails |
| title_exact_search | Extreme events robust portfolio construction in the presence of fat tails |
| title_full | Extreme events robust portfolio construction in the presence of fat tails Malcolm H.D. Kemp |
| title_fullStr | Extreme events robust portfolio construction in the presence of fat tails Malcolm H.D. Kemp |
| title_full_unstemmed | Extreme events robust portfolio construction in the presence of fat tails Malcolm H.D. Kemp |
| title_short | Extreme events |
| title_sort | extreme events robust portfolio construction in the presence of fat tails |
| title_sub | robust portfolio construction in the presence of fat tails |
| topic | Exchange traded funds Portfolio management |
| topic_facet | Exchange traded funds Portfolio management |
| work_keys_str_mv | AT kempmalcolmhd extremeeventsrobustportfolioconstructioninthepresenceoffattails |