Monthly Archives: October 2012

A Simple Solution for Tail Risk

Posted on October 16, 2012 by Nupur Bang

FFTW’s Thomas Philips on an enhancement to mean-variance optimization The interview was first published by the Global Association for Risk Professionals on October 16th 2012 http://www.garp.org/risk-news-and-resources/2012/october/a-simple-solution-for-tail-risk.aspx?altTemplate=PrintStory In scenarios that are simply not accounted for in classical theories of finance, how … Continue reading →

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