Fat-Tailed and Skewed Asset Return Distributions: Implications for Risk Manageme

商家名称	信用等级	购买信息	订购本书
		Fat-Tailed and Skewed Asset Return Distributions: Implications for Risk Manageme
		Fat-Tailed and Skewed Asset Return Distributions: Implications for Risk Manageme

基本信息·出版社：John Wiley & Sons
·页码：369 页
·出版日期：2005年08月
·ISBN：0471718866
·条形码：9780471718864
·装帧：精装
·正文语种：英语
·丛书名：Frank J. Fabozzi Series
·外文书名：宽尾与偏斜资产回报分布: 对风险管理、有价证卷选择与期权定价的意义

内容简介 在线阅读本书

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.
作者简介 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.
编辑推荐 Review
"On the whole a valuable attempt to continue the work of Mandlebrot and others, to break the habit of treating the normal distribution curve as. . . normal." -- HedgeWorld News

"This book is well-written by knowledgeable authors and provides readers with an excellent overview of where fat-tailed or skewed distributions may be needed. The book unfolds in a clear and easy-to-read way, and I would definitely recommend this as an excellent introductory text." -- Financial Engineering News, June 30, 2006

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