The Resource Extreme events : robust portfolio construction in the presence of fat tails, Malcolm H.D. Kemp, (electronic resource)
Extreme events : robust portfolio construction in the presence of fat tails, Malcolm H.D. Kemp, (electronic resource)
Resource Information
The item Extreme events : robust portfolio construction in the presence of fat tails, Malcolm H.D. Kemp, (electronic resource) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of San Diego Libraries.This item is available to borrow from 1 library branch.
Resource Information
The item Extreme events : robust portfolio construction in the presence of fat tails, Malcolm H.D. Kemp, (electronic resource) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of San Diego Libraries.
This item is available to borrow from 1 library branch.
 Summary

 "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 fattailed; 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 timevarying nature of the world in which we live Backstop 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"
 Language
 eng
 Extent
 xxii, 312 p.
 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 fattailed behaviour in return series
 2.4 Characterising fattailed distributions by their moments
 2.5 What causes fat tails?
 2.6 Lack of diversification
 2.7 A timevarying 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
 3.2 Visualisation of fat tails in multiple return series
 3.3 Copulas and marginals  Sklar's theorem
 3.4 Example analytical copulas
 3.5 Empirical estimation of fat tails in joint return series
 3.6 Causal dependency models
 3.7 The practitioner perspective
 3.8 Implementation challenges
 4. Identifying Factors That Significantly Influence Markets
 4.1 Introduction
 4.2 Portfolio risk models
 4.3 Signal extraction and principal components analysis
 4.4 Independent Components Analysis
 4.5 Blending together PCA and ICA
 4.6 The potential importance of selection effects
 4.7 Market dynamics
 4.8 Distributional mixtures
 4.9 The practitioner perspective
 4.10 Implementation challenges
 5. Traditional Portfolio Construction Techniques
 5.1 Introduction
 5.2 Quantitative versus qualitative approaches?
 5.3 Riskreturn optimisation
 5.4 More general features of meanvariance optimisation
 5.5 Manager Selection
 5.6 Dynamic optimisation
 5.7 Portfolio construction in the presence of transaction costs
 5.8 Risk budgeting
 5.9 Backtesting portfolio construction techniques
 5.10 Reverse optimisation and implied view analysis
 5.11 Portfolio optimisation with options
 5.12 The practitioner perspective
 5.13 Implementation challenges
 6. Robust MeanVariance Portfolio Construction
 6.1 Introduction
 6.2 Sensitivity to the input assumptions
 6.3 Certainty equivalence, credibility weighting and Bayesian statistics
 6.4 Traditional robust portfolio construction approaches
 6.5 Shrinkage
 6.6 Bayesian approaches applied to position sizes
 6.7 The 'universality' of Bayesian approaches
 6.8 Market consistent portfolio construction
 6.9 Resampled meanvariance portfolio optimisation
 6.10 The practitioner perspective
 6.11 Implementation challenges
 7. Regime Switching and TimeVarying Risk and Return Parameters
 7.1 Introduction
 7.2 Regime switching
 7.3 Investor utilities
 7.4 Optimal portfolio allocations for regime switching models
 7.5 Links with derivative pricing theory
 7.6 Transaction costs
 7.7 Incorporating more complex autoregressive behaviour
 7.8 Incorporating more intrinsically fattailed behaviour
 7.9 More heuristic ways of handling fat tails
 7.10 The practitioner perspective
 7.11 Implementation challenges
 8. Stress Testing
 8.1 Introduction
 8.2 Limitations of current stress testing methodologies
 8.3 Traditional stress testing approaches
 8.4 Reverse stress testing
 8.5 Taking due account of stress tests in portfolio construction
 8.6 Designing stress tests statistically
 8.7 The practitioner perspective
 8.8 Implementation challenges
 9. Really Extreme Events
 9.1 Introduction
 9.2 Thinking outside the box
 9.3 Portfolio purpose
 9.4 Uncertainty as a fact of life
 9.5 Market implied data
 9.6 The importance of good governance and operational management
 9.7 The practitioner perspective
 9.8 Implementation challenges
 10. The Final Word
 10.1 Conclusions
 10.2 Portfolio construction principles in the presence of fat tails
 Appendix: Exercises
 A.1 Introduction
 A.2 Fat Tails  In Single (i.e. Univariate) Return Series
 A.3 Fat Tails  In Joint (i.e. Multivariate) Return Series
 A.4 Identifying Factors That Significantly Influence Markets
 A.5 Traditional Portfolio Construction Techniques
 A.6 Robust MeanVariance Portfolio Construction
 A.7 Regime Switching and TimeVarying Risk and Return Parameters
 A.8 Stress Testing
 A.9 Really Extreme Events
 Label
 Extreme events : robust portfolio construction in the presence of fat tails
 Title
 Extreme events
 Title remainder
 robust portfolio construction in the presence of fat tails
 Statement of responsibility
 Malcolm H.D. Kemp
 Language
 eng
 Summary

 "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 fattailed; 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 timevarying nature of the world in which we live Backstop 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"
 Assigning source

 Provided by publisher
 Provided by publisher
 Cataloging source
 CaPaEBR
 http://library.link/vocab/creatorName
 Kemp, Malcolm H. D
 Illustrations
 illustrations
 Index
 index present
 Literary form
 non fiction
 Nature of contents

 standards specifications
 bibliography
 http://library.link/vocab/relatedWorkOrContributorName
 ebrary, Inc
 Series statement
 Wiley finance
 http://library.link/vocab/subjectName

 Exchange traded funds
 Portfolio management
 Label
 Extreme events : robust portfolio construction in the presence of fat tails, Malcolm H.D. Kemp, (electronic resource)
 Bibliography note
 Includes bibliographical references and index
 Color
 multicolored
 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 fattailed behaviour in return series  2.4 Characterising fattailed distributions by their moments  2.5 What causes fat tails?  2.6 Lack of diversification  2.7 A timevarying 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  3.2 Visualisation of fat tails in multiple return series  3.3 Copulas and marginals  Sklar's theorem  3.4 Example analytical copulas  3.5 Empirical estimation of fat tails in joint return series  3.6 Causal dependency models  3.7 The practitioner perspective  3.8 Implementation challenges  4. Identifying Factors That Significantly Influence Markets  4.1 Introduction  4.2 Portfolio risk models  4.3 Signal extraction and principal components analysis  4.4 Independent Components Analysis  4.5 Blending together PCA and ICA  4.6 The potential importance of selection effects  4.7 Market dynamics  4.8 Distributional mixtures  4.9 The practitioner perspective  4.10 Implementation challenges  5. Traditional Portfolio Construction Techniques  5.1 Introduction  5.2 Quantitative versus qualitative approaches?  5.3 Riskreturn optimisation  5.4 More general features of meanvariance optimisation  5.5 Manager Selection  5.6 Dynamic optimisation  5.7 Portfolio construction in the presence of transaction costs  5.8 Risk budgeting  5.9 Backtesting portfolio construction techniques  5.10 Reverse optimisation and implied view analysis  5.11 Portfolio optimisation with options  5.12 The practitioner perspective  5.13 Implementation challenges  6. Robust MeanVariance Portfolio Construction  6.1 Introduction  6.2 Sensitivity to the input assumptions  6.3 Certainty equivalence, credibility weighting and Bayesian statistics  6.4 Traditional robust portfolio construction approaches  6.5 Shrinkage  6.6 Bayesian approaches applied to position sizes  6.7 The 'universality' of Bayesian approaches  6.8 Market consistent portfolio construction  6.9 Resampled meanvariance portfolio optimisation  6.10 The practitioner perspective  6.11 Implementation challenges  7. Regime Switching and TimeVarying Risk and Return Parameters  7.1 Introduction  7.2 Regime switching  7.3 Investor utilities  7.4 Optimal portfolio allocations for regime switching models  7.5 Links with derivative pricing theory  7.6 Transaction costs  7.7 Incorporating more complex autoregressive behaviour  7.8 Incorporating more intrinsically fattailed behaviour  7.9 More heuristic ways of handling fat tails  7.10 The practitioner perspective  7.11 Implementation challenges  8. Stress Testing  8.1 Introduction  8.2 Limitations of current stress testing methodologies  8.3 Traditional stress testing approaches  8.4 Reverse stress testing  8.5 Taking due account of stress tests in portfolio construction  8.6 Designing stress tests statistically  8.7 The practitioner perspective  8.8 Implementation challenges  9. Really Extreme Events  9.1 Introduction  9.2 Thinking outside the box  9.3 Portfolio purpose  9.4 Uncertainty as a fact of life  9.5 Market implied data  9.6 The importance of good governance and operational management  9.7 The practitioner perspective  9.8 Implementation challenges  10. The Final Word  10.1 Conclusions  10.2 Portfolio construction principles in the presence of fat tails  Appendix: Exercises  A.1 Introduction  A.2 Fat Tails  In Single (i.e. Univariate) Return Series  A.3 Fat Tails  In Joint (i.e. Multivariate) Return Series  A.4 Identifying Factors That Significantly Influence Markets  A.5 Traditional Portfolio Construction Techniques  A.6 Robust MeanVariance Portfolio Construction  A.7 Regime Switching and TimeVarying Risk and Return Parameters  A.8 Stress Testing  A.9 Really Extreme Events
 Control code
 ebr10494528
 Dimensions
 unknown
 Extent
 xxii, 312 p.
 Form of item
 electronic
 Other physical details
 ill
 Reproduction note
 Electronic reproduction.
 Specific material designation
 remote
 System control number
 (OCoLC)748937814
 Label
 Extreme events : robust portfolio construction in the presence of fat tails, Malcolm H.D. Kemp, (electronic resource)
 Bibliography note
 Includes bibliographical references and index
 Color
 multicolored
 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 fattailed behaviour in return series  2.4 Characterising fattailed distributions by their moments  2.5 What causes fat tails?  2.6 Lack of diversification  2.7 A timevarying 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  3.2 Visualisation of fat tails in multiple return series  3.3 Copulas and marginals  Sklar's theorem  3.4 Example analytical copulas  3.5 Empirical estimation of fat tails in joint return series  3.6 Causal dependency models  3.7 The practitioner perspective  3.8 Implementation challenges  4. Identifying Factors That Significantly Influence Markets  4.1 Introduction  4.2 Portfolio risk models  4.3 Signal extraction and principal components analysis  4.4 Independent Components Analysis  4.5 Blending together PCA and ICA  4.6 The potential importance of selection effects  4.7 Market dynamics  4.8 Distributional mixtures  4.9 The practitioner perspective  4.10 Implementation challenges  5. Traditional Portfolio Construction Techniques  5.1 Introduction  5.2 Quantitative versus qualitative approaches?  5.3 Riskreturn optimisation  5.4 More general features of meanvariance optimisation  5.5 Manager Selection  5.6 Dynamic optimisation  5.7 Portfolio construction in the presence of transaction costs  5.8 Risk budgeting  5.9 Backtesting portfolio construction techniques  5.10 Reverse optimisation and implied view analysis  5.11 Portfolio optimisation with options  5.12 The practitioner perspective  5.13 Implementation challenges  6. Robust MeanVariance Portfolio Construction  6.1 Introduction  6.2 Sensitivity to the input assumptions  6.3 Certainty equivalence, credibility weighting and Bayesian statistics  6.4 Traditional robust portfolio construction approaches  6.5 Shrinkage  6.6 Bayesian approaches applied to position sizes  6.7 The 'universality' of Bayesian approaches  6.8 Market consistent portfolio construction  6.9 Resampled meanvariance portfolio optimisation  6.10 The practitioner perspective  6.11 Implementation challenges  7. Regime Switching and TimeVarying Risk and Return Parameters  7.1 Introduction  7.2 Regime switching  7.3 Investor utilities  7.4 Optimal portfolio allocations for regime switching models  7.5 Links with derivative pricing theory  7.6 Transaction costs  7.7 Incorporating more complex autoregressive behaviour  7.8 Incorporating more intrinsically fattailed behaviour  7.9 More heuristic ways of handling fat tails  7.10 The practitioner perspective  7.11 Implementation challenges  8. Stress Testing  8.1 Introduction  8.2 Limitations of current stress testing methodologies  8.3 Traditional stress testing approaches  8.4 Reverse stress testing  8.5 Taking due account of stress tests in portfolio construction  8.6 Designing stress tests statistically  8.7 The practitioner perspective  8.8 Implementation challenges  9. Really Extreme Events  9.1 Introduction  9.2 Thinking outside the box  9.3 Portfolio purpose  9.4 Uncertainty as a fact of life  9.5 Market implied data  9.6 The importance of good governance and operational management  9.7 The practitioner perspective  9.8 Implementation challenges  10. The Final Word  10.1 Conclusions  10.2 Portfolio construction principles in the presence of fat tails  Appendix: Exercises  A.1 Introduction  A.2 Fat Tails  In Single (i.e. Univariate) Return Series  A.3 Fat Tails  In Joint (i.e. Multivariate) Return Series  A.4 Identifying Factors That Significantly Influence Markets  A.5 Traditional Portfolio Construction Techniques  A.6 Robust MeanVariance Portfolio Construction  A.7 Regime Switching and TimeVarying Risk and Return Parameters  A.8 Stress Testing  A.9 Really Extreme Events
 Control code
 ebr10494528
 Dimensions
 unknown
 Extent
 xxii, 312 p.
 Form of item
 electronic
 Other physical details
 ill
 Reproduction note
 Electronic reproduction.
 Specific material designation
 remote
 System control number
 (OCoLC)748937814
Subject
Genre
Member of
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