smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2012SMQ / 168002192963104
Do Financial Markets Reward Buying or Selling Insurance and Lottery Tickets?
Antti Ilmanen
asset pricing / insuranceResource overview

Do Financial Markets Reward Buying or Selling Insurance and Lottery Tickets?

Paper2012

by Antti Ilmanen

Tags
asset pricinginsurance

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for asset pricing and factor research and risk measurement and stress. Specialist prerequisites vary by paper.

Before you read

  1. Linear Regression

    Interpret exposures, residuals and uncertainty in fitted coefficients.

  2. Financial Return Characteristics

    Work with returns and recognise their empirical limitations.

  3. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  4. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

Go further

  1. Factor construction

    Connect factor definitions to portfolio construction.

  2. Time-series and cross-sectional tests

    Distinguish exposure estimation from tests of expected returns.

  3. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Empirical Asset Pricing and Factor Investing Explore Quantitative Risk Management

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Antti Ilmanen

6