Fat-Tailed Skewed Asset Return
Implications for Risk Management, Portfolio Selection, and Option Pricing
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.
Afficher plusDisponible, délai de livraison : 1-3 jours
Plus que quelques exemplaires disponibles !
Plus d'infos sur l'état
11,95 €*
Prix TTC plus Frais de livraison
Garantie de satisfaction 14 jours
Commande sans risque
Produits d'occasion contrôlés
Contrôlé individuellement
Informations sur le produit "Fat-Tailed Skewed Asset Return"
Connexion
Auteur
Rachev; Fabozzi; Menn
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. 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. FRANK J. FABOZZI, PhD, CFA, CPA, is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management. He is also a Fellow of the International Center for Finance at Yale University. Prior to joining the Yale faculty, Fabozzi was a visiting professor of finance in the Sloan School at MIT. Fabozzi has authored and edited many acclaimed books in finance and is also the Editor of the Journal of Portfolio Management.
Livraison gratuite à partir de 29 €
Retour gratuit pendant 14 jours - Aucun risque
Livres d'occasion vérifiés