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Fat-Tailed and Skewed Asset Return Distributions
Svetlozar T. Rachev
€ 94.73
€ 79.10
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Description for Fat-Tailed and Skewed Asset Return Distributions
Hardcover. A bridge between the highly technical theory of the statistical distribution of asset returns and real-world applications for portfolio and risk management While mainstream theories and concepts assume that asset returns are normally distributed, empirical evidence shows otherwise. Series: Frank J. Fabozzi Series. Num Pages: 369 pages, Illustrations. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 167 x 241 x 29. Weight in Grams: 722.
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 ... Read more
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 ... Read more
Product Details
Format
Hardback
Publication date
2005
Publisher
John Wiley and Sons Ltd United States
Number of pages
369
Condition
New
Series
Frank J. Fabozzi Series
Number of Pages
384
Place of Publication
New York, United States
ISBN
9780471718864
SKU
V9780471718864
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-50
About Svetlozar T. Rachev
SVETLOZAR T. RACHEV, PhD, DR. SCI, is currently Chair-Professor at the University of Karlsruhe in the School of Economics and Business Engineering and Professor Emeritus at the University of California. He is also the founder of Bravo Risk Management Group and Chief Scientist of FinAnalytica. CHRISTIAN MENN, DR. RER. POL., is Hochschulassistent at the Chair of Statistics, Econometrics and ... Read more
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