Location of Repository

Distressed

By Jason Morton and Merger Arb

Abstract

J. Morton (Stanford) Algebraic models for multilinear dependence 2/21/09 NSF Tensor 1 / 37Univariate cumulants Mean, variance, skewness and kurtosis describe the shape of a univariate distribution. J. Morton (Stanford) Algebraic models for multilinear dependence 2/21/09 NSF Tensor 2 / 37Covariance matrices The covariance matrix partly describes the dependence structure of a multivariate distribution. Principal Component Analysis Factor models Risk–bilinear form computes variance h ⊤ Σh of holdings But if the variables are not multivariate Gaussian, not the whole story. This is one point of view on the financial crisis; too much reliance on a quadratic, Gaussian perspective on risk. Exploited by trading skewness and kurtosis risk for apparent reduction in variance. J. Morton (Stanford) Algebraic models for multilinear dependence 2/21/09 NSF Tensor 3 / 37Sharpe Ratio ( µ−µ f σ) vs Skewnes

Year: 2009
OAI identifier: oai:CiteSeerX.psu:10.1.1.187.5878
Provided by: CiteSeerX
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://citeseerx.ist.psu.edu/v... (external link)
  • http://www.cs.cornell.edu/cv/T... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.