Results 261 to 270 of about 18,252 (293)
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PORTFOLIO THEORY FOR "FAT TAILS"
International Journal of Theoretical and Applied Finance, 2000We introduce a faithful representation of the heavy tail multivariate distribution of asset returns, as parsimonious as the Gaussian framework. Using calculation techniques of functional integration and Feynman diagrams borrowed from particle physics, we characterize precisely, through its cumulants of high order, the distribution of wealth variations
Sornette, D. +2 more
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SSRN Electronic Journal, 2020
Understanding of fat tail and its importance was very less known when it comes to the economic field. This paper makes notes from other papers and describes what all are done in the field of fat-tail.
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Understanding of fat tail and its importance was very less known when it comes to the economic field. This paper makes notes from other papers and describes what all are done in the field of fat-tail.
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2009
Abstract Civil wars, acts of terror, seizures of private industries--the world is a dangerous place for investors. Indeed, it is more dangerous today than ten or twenty years ago, because of the growing importance of emerging and frontier markets.
Ian Bremmer, Preston Keat
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Abstract Civil wars, acts of terror, seizures of private industries--the world is a dangerous place for investors. Indeed, it is more dangerous today than ten or twenty years ago, because of the growing importance of emerging and frontier markets.
Ian Bremmer, Preston Keat
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, 2014 We confirm that standard time-series models for US output growth, inflation, interest rates and stock market returns feature non-Gaussian error structure. We build a 4-variable VAR model where the orthogonolised shocks have a Student t-distribution with a time-varying variance.
Ching-Wai (Jeremy) Chiu +2 more
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Risk and Decision Analysis, 2009
A behavioral representative investor who evaluates a single risky asset based on cumulative prospect theory will often induce high kurtosis, negative skewness, and persistent autocorrelation into the distribution of market returns even if the asset payoffs are merely a sequence of independent coin tosses.
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A behavioral representative investor who evaluates a single risky asset based on cumulative prospect theory will often induce high kurtosis, negative skewness, and persistent autocorrelation into the distribution of market returns even if the asset payoffs are merely a sequence of independent coin tosses.
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SSRN Electronic Journal, 2020
We calculate the probability of returns exceeding a multiple of Expected Shortfall for fat-tailed portfolios. Our results show that, taken in isolation, the Basel 3 FRTB Market Risk capital requirements are insufficient to prevent a large number of insolvencies. The impact of applying a cutoff to the tail distribution is also examined.
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We calculate the probability of returns exceeding a multiple of Expected Shortfall for fat-tailed portfolios. Our results show that, taken in isolation, the Basel 3 FRTB Market Risk capital requirements are insufficient to prevent a large number of insolvencies. The impact of applying a cutoff to the tail distribution is also examined.
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2002
When we talk about the price fluctuation, whether it is in an academy or in the actual financial market, following three factors are taken for granted.
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When we talk about the price fluctuation, whether it is in an academy or in the actual financial market, following three factors are taken for granted.
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The Power Principle and Tail-fatness Uncertainty [PDF]
, 2004 When insurance claims are governed by fat-tailed distributions, gross uncertainty about the value of the tail-fatness index is virtually inescapable. In this paper a new premium principle (the power principle) analogous to the exponential principle for thin-tailed claims, is discussed.
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Fat tails, serial dependence, and implied volatility index connections
European Journal of Operational Research, 2022Michael Ellington
exaly