{"id":2132753,"date":"2020-08-03T13:01:41","date_gmt":"2020-08-03T07:31:41","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?p=2132753"},"modified":"2020-08-03T13:02:07","modified_gmt":"2020-08-03T07:32:07","slug":"fat-tails","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2020\/08\/03\/fat-tails\/","title":{"rendered":"Fat Tails"},"content":{"rendered":"\n<h3 class=\"wp-block-heading\">Introduction<\/h3>\n\n\n\n<p>Years of returns can get wiped out in a month in the markets. While investors mostly focus on the\u00a0<em>average<\/em>, the tails end up dictating their actual returns. (<a href=\"https:\/\/stockviz.biz\/index.php\/2020\/07\/15\/fat-tails-an-introduction\/\">Introduction<\/a>)<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">Sampling and Measurement<\/h3>\n\n\n\n<p>Typically, a\u00a0<em>uniform sample<\/em>\u00a0is taken. The problem with this is it under-represents the tails. This leads to models that work on average but blow up on occasion. One way to overcome this problem is through\u00a0<em>stratified sampling<\/em>. (<a href=\"https:\/\/stockviz.biz\/index.php\/2020\/07\/20\/fat-tails-sampling\/\">Sampling<\/a>)<\/p>\n\n\n\n<p>Expected shortfall\u00a0(ES) is a risk measure that can be used to estimate the loss during tail-events. (<a href=\"https:\/\/stockviz.biz\/index.php\/2020\/07\/28\/fat-tails-expected-shortfall\/\">Measuring<\/a>)<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">Acceptance<\/h3>\n\n\n\n<p>All assets have fat tails. It is a feature, not a bug. (<a href=\"https:\/\/stockviz.biz\/index.php\/2020\/08\/03\/fat-tails-everywhere\/\">Historical<\/a>)<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Introduction Years of returns can get wiped out in a month in the markets. While investors mostly focus on the\u00a0average, the tails end up dictating their actual returns. (Introduction) Sampling and Measurement Typically, a\u00a0uniform sample\u00a0is taken. The problem with this is it under-represents the tails. This leads to models that work on average but blow &hellip; <\/p>\n","protected":false},"author":2,"featured_media":2091813,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3933],"tags":[2761,4033],"class_list":["post-2132753","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-collections","tag-quant","tag-risk","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2132753","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=2132753"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2132753\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2091813"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=2132753"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=2132753"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=2132753"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}