Effect of Fat Tails and Skewness

• What are the results from stress tests using fat tailed and skewed distributions?

• What can I expect year by year from my portfolios when interest rates change?

Stress Testing

• How do the efficient portfolios perform if the risk premiums and starting interest rate change?

• What can I expect year by year from my portfolios under stress?

• Are the results of my scenario generation sensitive to the number of scenarios, the horizon, or the random number seed?

• What is the worst and best scenario for any portfolio?

• What are the values of the tail returns?