Francisco Guevara

École polytechnique

France

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Scholarly Papers (1)

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Turning Tail Risks into Tailwinds

The Journal of Portfolio Management, 2021 ‘Multi-asset’ Special Edition
Posted: 26 Feb 2021
Jerome Gava, Francisco Guevara and Julien Turc
BNP Paribas, École polytechnique and BNP Paribas

Abstract:

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Risk parity, tail risk, systematic investing, trend following, put underwriting, spectral risk measures, decision theory, cumulative prospect theory, Cornish-Fisher expansion, power-law distributions, copula, vine copula