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- W2503674039 abstract "This chapter focuses on statistical advanced tools, explaining the “80/20 rule” that was invented by Vilfredo Pareto by the end of the 19th century. As an economist and as a landowner, he discovered that 80% of the land belonged to 20% of the population. He decided then to apply this “rule” to economy, showing extreme movements explain 80% of the yields of the portfolios. During the crash of 1987, the Dow Jones index lost 22.6 % and every value of the index was affected. This shows that in extreme market movements, the correlations between assets change radically. Managers introduced indicators to monitor this extreme correlation moves such as the “Spearman rhô” or the rank statistical correlation." @default.
- W2503674039 created "2016-08-23" @default.
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- W2503674039 date "2012-01-02" @default.
- W2503674039 modified "2023-10-14" @default.
- W2503674039 title "Statistical Advanced Tools" @default.
- W2503674039 doi "https://doi.org/10.1002/9781119209133.ch34" @default.
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