
Jan Rosenzweig – 16/05/23
Quantcast – a Risk.net Cutting Edge podcast
00:00
How to Optimize for Trading
The technique is based on risk measure that you introduced, called extreme deviation. That depends on a specific parameter, k, and actually 2k, that is part of the specification. So in practice, what I found works is you want to see what the portfolio looks like for a range of different values of k. It typically sees some fairly rapid change as you move from the Gaussian end into the fat tail end.
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