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Non-normal distribution

Capturing the Black Swan: Scenario-Based Asset Allocation with Fat Tails and Non-Linear Correlations

Vsevolod I Gorlach
This paper highlights the shortfalls of Modern Portfolio Theory (MPT). Amongst other flaws, MPT assumes that returns are normally distributed; that correlations are linear; and that risks are symmetrical. We propose a dynamic and flexible scenario-based approach to portfolio selection that...
Aug 2017
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