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Tail Risk: About 5x Worse Than You May Think (paper)

“We examined 50-years of historical S&P 500 Index data and compared the actual tail risk frequency and magnitude to the expectations of a typical investor operating under modern portfolio theory. The difference between the two is surprising, and it suggests that investors have significantly underestimated tail risk frequency and severity”

 

Related posts:

  1. A Study of Fat-Tail Risk (paper)
  2. A Constant Volatility Framework for Managing Tail Risk (paper)
  3. High-Frequency Trading (paper)
  4. The Microstructure of the Flash Crash (paper)
  5. James Rickards on the Huge Threats to the Financial Markets
March 20, 2012 Papers Short URL