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Protecting Assets Under Non-Parametric Market Conditions
Choffray, Jean-Marie; Pahud de Mortanges, Charles
2016In Longin, François (Ed.) Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications
Peer reviewed
 

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Keywords :
Internet-based investing; Assets protection; Unknown unknowns
Abstract :
[en] Under non-parametric market conditions, investors usually become more concerned about the return of their money than about the return on their money. Protecting assets becomes the surest if not the only path to survival and growth. High frequency trading systems, over leveraged shadow entities, flash crashes, and stealth central bank actions, to name a few, contribute to create a “Rumsfeldian” type of world in which decision makers have to cope not only with “Known knowns” – things they know that they know – but also with “Unknown unknowns” – things they don’t know that they don’t know! The goal of this chapter is to explore such a conceptual model of the “Unknown” and to derive from it a concise and coherent set of battle-tested heuristics aimed at designing effective investment strategies to protect assets.
Disciplines :
Finance
Author, co-author :
Choffray, Jean-Marie ;  Université de Liège - ULiège > HEC-Ecole de gestion : UER > UER Opérations : Informatique décisionnelle
Pahud de Mortanges, Charles  ;  Université de Liège - ULiège > HEC - École de gestion de l'ULiège > HEC-Ecole de gestion
Language :
English
Title :
Protecting Assets Under Non-Parametric Market Conditions
Publication date :
2016
Main work title :
Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications
Editor :
Longin, François
Publisher :
Wiley, New York, United States
ISBN/EAN :
978-1118650196
Pages :
507-523
Peer reviewed :
Peer reviewed
Available on ORBi :
since 28 May 2014

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