Fat-Tailed and Skewed Asset Return Distributions

Implications for Risk Management, portfolio Selection, and Option Pricing

Svetlozar T. Rachev, Christian Menn, Frank J. Fabozzi - Collection Wiley Finance

370 pages, parution le 14/09/2005

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Résumé

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.

L'auteur - Svetlozar T. Rachev

Svetlozar T. Rachev, PhD, DR. SCI, is currently Chair-Professor at the University of Karlsruhe in the School of Economics and Business Engineering and Professor Emeritus at the University of California. He is also the founder of Bravo Risk Management Group and Chief Scientist of FinAnalytica.

L'auteur - Christian Menn

Christian Menn, DR. RER. POL., is Hochschulassistent at the Chair of Statistics, Econometrics and Mathematical Finance at the University of Karlsruhe. Currently, he is a Visiting Scientist at the School of Operations Research and Industrial Engineering at Cornell University as a postdoctoral fellow.

L'auteur - Frank J. Fabozzi

Frank J. Fabozzi, Ph.D., CFA, CPA, is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management. One of the world's foremost authorities on fixed income securities and derivative instruments, Dr. Fabozzi is editor of the Journal of Portfolio Management and the bestselling author of more than forty books, including the acclaimed The Handbook of Fixed Income Securities. Prior to joining the Yale faculty, he was on the faculty of MIT's Sloan School of Management.

Sommaire

Preface
About the Authors
Introduction
Probability and Statistics
Stochastic Processes
Portfolio Selection
Risk Management
Option Pricing
Index

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	Svetlozar T. Rachev, Christian Menn, Frank J. Fabozzi
Collection	Wiley Finance
Parution	14/09/2005
Nb. de pages	370
Format	15,5 x 23,5
Couverture	Relié
Poids	579g
Intérieur	Noir et Blanc
EAN13	9780471718864
ISBN13	978-0-471-71886-4