This is a summary of links featured on Quantocracy on Wednesday, 06/20/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Curse of dimensionality part 3: Higher-Order Comoments [Eran Raviv]Higher moments such as Skewness and Kurtosis are not as explored as they should be. These moments are crucial for managing portfolio risk. At least as important as volatility, if not more. Skewness relates to asymmetry risk and Kurtosis relates to tail risk. Despite their great importance, those higher moments enjoy only a small portion of attention compared with their lower more friendly moments: