Reference : Protecting Assets Under Non-Parametric Market Conditions
Parts of books : Contribution to collective works
Business & economic sciences : Finance
Protecting Assets Under Non-Parametric Market Conditions
Choffray, Jean-Marie mailto [Université de Liège - ULiège > HEC-Ecole de gestion : UER > UER Opérations : Informatique décisionnelle >]
Pahud de Mortanges, Charles mailto [Université de Liège - ULiège > HEC - École de gestion de l'ULiège > HEC-Ecole de gestion >]
Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications
Longin, François mailto
New York
United States
[en] Internet-based investing ; Assets protection ; Unknown unknowns
[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.
Researchers ; Professionals ; Students

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