RiXtrema - Global Market Liquidity Model

Factor Models and Risk Forecasting

Traditionally, a multivariate normal distribution has been assumed in a Modern Portfolio Theory framework for the returns of financial securities. This is a direct consequence of measuring risk as a variance of the return, since in absence of the assumption of normality variance would be a non-unique descriptor of the portfolio risk profile. In other words, without the Gaussian distribution (or, to be more precise, an elliptical distribution) assumption

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