Quantcast – a Risk.net Cutting Edge podcast cover image

Jan Rosenzweig – 16/05/23

Quantcast – a Risk.net Cutting Edge podcast

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Kurtosis-Based Portfolio Optimization

Kurtosis-based optimization is based on separation of signals by kurtosis. And that in the finance context kind of leads into portfolio optimization by k Kurtosis. In this limit, we are in essence in the extremal limit. So now, we're interested in extreme fat tails or the extreme return, extremal returns of the underlying.

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