Cantab Capital – Fat Tail Events – Does My Tail Look Fat In This? [Part 2]
Fat Tail Events - Does My Tail Look Fat In This? Part 2 by Dr Ewan Kirk, Cantab Capital
Investors and managers are concerned with “fat tails”. In the second part of this post, we look at kurtosis in more detail.
An apology and a warning
This piece is more technical and longer than I had expected. The problem we're looking at here is subtle and not easy to distill down to . . .
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