Moments of Truth: Tail-Risk Protection for Non-Normal Markets

Securities markets do not follow normal distributions although most optimizer models use Gaussian forecasts. This means that there are fatter tails and larger drawdowns than normal distributions would indicate. This program showcases the four higher moments of distributions, varied types of probability density functions (PDFs), why tails occur and how to protect investor portfolios from tail-risk events in a non-normal world.

Agenda for Moments of Truth: Tail-Risk Protection for Non-Normal Markets includes:

• MPT’s Flawed Assumptions: The House that Bachelier Built
• Four Moments of Distribution/Different Distributions — PDFs
• Fat Tails & Power Laws: Why Swans & Dragons Occur So Often
• Market Microstructure and Model Mayhem
• Need for Tail-Risk Protection to Mitigate Drawdowns
• Quantitative Models designed for a Non-Normal World