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.

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"