by IanRayner | Feb 27, 2011 |
I found it helpful to look at a variety of covariance ellipses for tame distributions so that I would have a better feel for those I come across in the wild. Following is a quick tour that I hope will show the effect of changing the parameters of the distributions of... by IanRayner | Feb 2, 2011 |
Prompted by some thoughts from Nassim Taleb, David Einhorn (who compared VaR to “an airbag that works all the time, except when you have a car accident.”) and Ralph Vince (“The Leverage Space Trading Model”, pp 61-65), I decided to take a look at asset...