Fat-tailed and skewed asset return distributions: implications for risk management, portfolio selection, and option pricing
Auteur :
Rachev, Svetlozar T. / Menn, Christian / Fabozzi, Frank J.
Éditeur :
John Wiley & Sons Inc
ISBN :
9780471718864
Date de publication :
26 août 2005
Dimensions :
24,2 x 16,2 x 3,2 cm
Poids :
581 g
Langue :
Anglais
Pays d'origine :
USA
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.