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Fat-Tailed and Skewed Asset Return Distributions

Fat-Tailed and Skewed Asset Return Distributions

Implications for Risk Management, Portfolio Selection, and Option Pricing

Frank J. Fabozzi, Christian Menn, Svetlozar T. Rachev

Wiley
Collection: Frank J. Fabozzi Series
Publication date : 2005-09-15

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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.

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About the book

Author

Frank J. Fabozzi , Christian Menn , Svetlozar T. Rachev

Imprint

Wiley

Collection

Frank J. Fabozzi Series

Publication date

2005-09-15

Pages

384 pages

Print ISBN

9780471718864

Language

English

Ebook informations

EAN PDF

9780471758907

Price

£84.40

Copy count 0

Print count 384

File size 10732 Ko

Informations accessibility

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About author(s)

Frank J. Fabozzi

Christian Menn

Svetlozar T. Rachev

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