Fat-Tailed and Skewed Asset Return Distributions

Fat-Tailed and Skewed Asset Return Distributions pdf epub mobi txt 电子书 下载 2025

出版者:Wiley
作者:Svetlozar T. Rachev
出品人:
页数:369
译者:
出版时间:2005-8-5
价格:USD 105.00
装帧:Hardcover
isbn号码:9780471718864
丛书系列:
图书标签:
  • 金融 
  • Finance 
  • 数学和计算机 
  • 投资 
  • quantitative 
  • analysis 
  • Statistics 
  • Mathematics 
  •  
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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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