'Fat tails' diaporamas de présentation

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Tactical Asset Allocation 2 session 6

Tactical Asset Allocation 2 session 6. Andrei Simonov. Agenda. Statistical properties of volatility. Persistence Clustering Fat tails Is covariance matrix constant? Predictive methodologies Macroecon variables Modelling volatility process: GARCH process and related methodologies Volume

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NASA Workshop on Collectives Ames Lab, 6 August 2002 Complex System Management:

NASA Workshop on Collectives Ames Lab, 6 August 2002 Complex System Management: Hoping for the Best by Coping with the Worst Hoping for the best . . . but coping with the worst Neil F. Johnson n.johnson@physics.ox.ac.uk Department of Physics, Oxford University, U.K.

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Statistical Quirks, Subtleties, and Surprises in Financial Data

Statistical Quirks, Subtleties, and Surprises in Financial Data. Martin Goldberg, Ph.D. ValidationQuant.com Presentation Given to Rutgers Masters Program in Financial Statistics and Risk Management January 31, 2014. Preamble. These are my opinions.

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Generating Daily Changes in Market Variables using Multivariate Mixture-of-Normals

Generating Daily Changes in Market Variables using Multivariate Mixture-of-Normals. Jin Wang Valdosta State University Michael R. Taaffe University of Minnesota December 10, 2001 Winter Simulation Conference 2001. Outline. Introduction Fat Tails and Skewness

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Sustainability, Conflicting Interests and Generational Equity

Sustainability, Conflicting Interests and Generational Equity. Professor Anil Markandya April 2008. Sustainability. Probably the biggest sustainability problem is the conflict between interests of present and future generations Comes up most acutely on climate change

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Can we insure these risks?

Fat Tails. Can we insure these risks?. Cooke and Kousky nsf # 0960865. Micro Correlations. Tail Dependence. These risks have big loss years: NFIP example. And even bigger losses can be expected . Insuring Risks is EXPENSIVE. Rates of Return on Net Worth for Homeowners Ins: US vs. Florida.

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