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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| Tác giả chính: | |
|---|---|
| Định dạng: | Sách |
| Ngôn ngữ: | Undetermined |
| Được phát hành: |
Hoboken, N.J.
John Wiley & Sons
2005
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| Những chủ đề: | |
| Các nhãn: |
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| Thư viện lưu trữ: | Trung tâm Học liệu Trường Đại học Cần Thơ |
|---|
| LEADER | 01758nam a2200217Ia 4500 | ||
|---|---|---|---|
| 001 | CTU_162389 | ||
| 008 | 210402s9999 xx 000 0 und d | ||
| 020 | |c 51.94 | ||
| 082 | |a 332.6 | ||
| 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 | ||