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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.
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Previews available in: English
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Business, Finance, Nonfiction, Portfolio management, Risk management, Hg4529.5 .r33 2005, 332.6Showing 3 featured editions. View all 3 editions?
Edition | Availability |
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1
Fat-Tailed and Skewed Asset Return Distributions: Implications for Risk Management, Portfolio Selection, and Option Pricing
2008, Wiley & Sons, Incorporated, John
in English
0470361883 9780470361887
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2
Fat-Tailed and Skewed Asset Return Distributions
2005, John Wiley & Sons, Ltd.
Electronic resource
in English
0471758906 9780471758907
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zzzz
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WorldCat
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3
Fat-Tailed and Skewed Asset Return Distributions : Implications for Risk Management, Portfolio Selection, and Option Pricing
August 5, 2005, Wiley
in English
0471718866 9780471718864
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aaaa
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Book Details
First Sentence
"Most of the concepts in theoretical and empirical finance that have been developed over the last 50 years rest upon the assumption that the return or price distribution for financial assets follows a normal distribution."
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- Created April 29, 2008
- 10 revisions
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