Téléchargez le livre : Fat-Tailed and Skewed Asset Return Distributions

Fat-Tailed and Skewed Asset Return Distributions

Implications for Risk Management, Portfolio Selection, and Option Pricing de

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Éditeur :

Wiley


Collection :

Frank J. Fabozzi Series

Paru le : 2005-09-15

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Description
While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don’t appreciate the highly statistical models that take this empirical evidence into consideration. Fat-Tailed and Skewed Asset Return Distributions examines this dilemma and offers readers a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non-normal distribution for asset returns is violated. Topics covered in this comprehensive book include an extensive discussion of probability distributions, estimating probability distributions, portfolio selection, alternative risk measures, and much more. Fat-Tailed and Skewed Asset Return Distributions provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real-world risk management and investments.
Pages
384 pages
Collection
Frank J. Fabozzi Series
Parution
2005-09-15
Marque
Wiley
EAN papier
9780471718864
EAN PDF
9780471758907
Informations sur l'ebook
Nombre pages copiables
0
Nombre pages imprimables
384
Taille du fichier
10732 Ko
Prix
94,74 €

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