Natalia Nolde

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Recent computational advances allow investment managers to search for profitable investment strategies. In many instances, that search involves a pseudo-mathematical argument, which is spuriously validated through a simulation of its historical performance (also called backtest). We prove that high performance is easily achievable after backtesting a(More)
Multivariate risk analysis is concerned with extreme observations. If the underlying distribution has a unimodal density then both the decay rate of the tails and the asymptotic shape of the level sets of the density are of importance for the dependence structure of extreme observations. For heavy-tailed densities, the sample clouds converge in distribution(More)
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