Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 35

 Investors typically evaluate exposure to loss based on a portfolio's full- sample distribution of returns at the end of their investment horizon.

 However, investors care about what happens throughout their investment horizon and not just at its conclusion.

 They also recognize that losses are more common when markets are turbulent than when they are calm.

 First passage time probabilities enable investors to estimate probability of loss and value at risk throughout their investment horizon.

 The Mahalanobis distance allows investors to distinguish between calm and turbulent markets.

 Investors can assess risk more realistically by applying first passage time probabilities to the returns that prevailed during turbulent subsamples.