When certain agents in the financial network behave differently or in larger scale than they have in the past, traditional portfolio theory breaks down. It can no longer account for toxic feedback effects within the network. Our feedback-based risk adjustments allow investors to size their positions sensibly in dangerous set ups, where volatility is not providing an accurate barometer of true risk.
The authors have drawn from the fields of statistical physics and game theory to simplify and quantify the impact of very large agents on the distribution of forward returns, and to offer techniques for dealing with situations where markets are structurally risky yet realized volatility is low. The concepts discussed here should be of practical interest to portfolio managers, asset allocators, and risk professionals, as well as of academic interest to scholars and theorists.
When certain agents in the financial network behave differently or in larger scale than they have in the past, traditional portfolio theory breaks down. It can no longer account for toxic feedback effects within the network. Our feedback-based risk adjustments allow investors to size their positions sensibly in dangerous set ups, where volatility is not providing an accurate barometer of true risk.
The authors have drawn from the fields of statistical physics and game theory to simplify and quantify the impact of very large agents on the distribution of forward returns, and to offer techniques for dealing with situations where markets are structurally risky yet realized volatility is low. The concepts discussed here should be of practical interest to portfolio managers, asset allocators, and risk professionals, as well as of academic interest to scholars and theorists.
![Market Tremors: Quantifying Structural Risks in Modern Financial Markets](http://vs-images.bn-web.com/static/redesign/srcs/images/grey-box.png?v11.10.2)
Market Tremors: Quantifying Structural Risks in Modern Financial Markets
248![Market Tremors: Quantifying Structural Risks in Modern Financial Markets](http://vs-images.bn-web.com/static/redesign/srcs/images/grey-box.png?v11.10.2)
Market Tremors: Quantifying Structural Risks in Modern Financial Markets
248Paperback(1st ed. 2021)
Product Details
ISBN-13: | 9783030792527 |
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Publisher: | Springer International Publishing |
Publication date: | 09/15/2021 |
Edition description: | 1st ed. 2021 |
Pages: | 248 |
Sales rank: | 764,820 |
Product dimensions: | 6.10(w) x 9.25(h) x (d) |