Fat-Tailed Skewed Asset Return
Fat-Tailed and Skewed Asset Return DistributionsWhile mainstream financial theories and applications assume that asset returns are normally distributed, the overwhelming empirical evidence shows otherwise. Yet many professionals fail to appreciate the highly statistical models that take this empirical evidence into consideration.Svetlozar Rachev, Christian Menn, and Frank Fabozzi understand this dilemma, and in Fat-Tailed and Skewed Asset Return Distributions, they offer you 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 distributi…
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Produktdetails
Weitere Autoren: Fabozzi / Menn
- ISBN: 978-0-471-71886-4
- EAN: 9780471718864
- Produktnummer: 1359377
- Verlag: John Wiley & Sons
- Sprache: Englisch
- Erscheinungsjahr: 2005
- Seitenangabe: 384 S.
- Masse: H24.0 cm x B16.1 cm x D2.5 cm 742 g
- Abbildungen: HC gerader Rücken kaschiert
- Gewicht: 742
Über den Autor
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.
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