Fat-Tailed and return distributions : Implications for risk management, portfolio selection, and option pricing

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...

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Chi tiết về thư mục
Tác giả chính: Rachev, S. T.
Định dạng: Sách
Ngôn ngữ:Undetermined
Được phát hành: Hoboken, N.J. John Wiley & Sons 2005
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Thư viện lưu trữ: Trung tâm Học liệu Trường Đại học Cần Thơ
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082 |b R119 
100 |a Rachev, S. T. 
245 0 |a Fat-Tailed and return distributions : 
245 0 |b Implications for risk management, portfolio selection, and option pricing 
245 0 |c Sveltozar T. Rachev, Christian Menn, Frank J. Fabozzi 
260 |a Hoboken, N.J. 
260 |b John Wiley & Sons 
260 |c 2005 
520 |a 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. 
650 |a Portfolio management,Risk management,Quản lý danh mục đầu tư,Quản lý rủi ro 
904 |i QHieu 
980 |a Trung tâm Học liệu Trường Đại học Cần Thơ