Fat-Tailed and Skewed Asset Return Distributions: Implications for Risk Management, Portfolio Selection, and Option Pricing

by Christian Menn, Svetlozar T. Rachev, Frank J. Fabozzi, et al.

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Book Overview

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...

Format:Hardcover

Language:English

ISBN:0471718866

ISBN13:9780471718864

Release Date:August 2005

Publisher:Wiley

Length:384 Pages

Weight:1.60 lbs.

Dimensions:1.1" x 6.4" x 9.5"

Related Subjects

Business Business & Investing Economics Finance Investing Management & Leadership Popular Economics Pricing

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Fat-Tailed and Skewed Asset Return Distributions: Implications for Risk Management, Portfolio Selection, and Option Pricing

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