Explain modern methodology to calculate tail risk
Explain the modern methodology for calculating tail risk by using Extreme Value Theory.
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Modern method for estimating tail risk use Extreme Value Theory. The concept is to more accurately represent the outer limits of returns distributions from this is where the most significant risk is. Throw normal distributions away that their tails are far too thin to confine the frequent market crashes and rallies.
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How is a Sharpe ratio maximized? Answer: Choosing the portfolio which maximizes the Sharpe ratio, will provide you the Market Portfolio.
How is a Sharpe ratio maximized?
Answer: Choosing the portfolio which maximizes the Sharpe ratio, will provide you the Market Portfolio.
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