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

Vsevolod I. Gorlach

No 695, ERSA Working Paper Series from Economic Research Southern Africa

Keywords: investment; Quantitative Methods; Risk and Uncertainty (search for similar items in EconPapers)
JEL-codes: C14 C58 C61 G11 G17 (search for similar items in EconPapers)
Date: 2017-08-01
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Persistent link: https://EconPapers.repec.org/RePEc:rza:ersawp:695

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