Benjamin Felix

And so you found a way to sort of manufacture tails that are more realistic.

Yeah, that's very cool.

Yeah, I love that.

That was one of our big concerns with starting this project is that we change our expected return assumptions twice a year.

We always restate them based on the way that we calculate them.

And we need to be able to take this return generating process and input what our current mean expected return or current standard deviation are.

And you guys solved that in a really nice way.

Yeah, it's super interesting.

You got very close to the historical distributions with your simulations.

It's also really interesting how different both the simulated and historical returns are from the normal distribution.

For people who are not watching, there's a red dotted line showing the normal distribution, and then there's a shaded area and a green line showing the simulated and historical returns.

They're not the same shapes.

Very cool.

You'll leave these as sort of breadcrumbs for future student groups, and this project will continue with Professor Robbins, and we may be able to implement some of these return distributions in the future.

Awesome.

I've got to read the sentence that you have here on the key model improvement because it really does summarize it well.

The T copula plus empirical EVT framework is a stronger simulation baseline than the Gaussian model because it better reproduces historical shape and downside risk while maintaining comparable co-movement.

Very nice.

Very clean.

Thank you.