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Fat-Tailed and Skewed Asset Return Distributions: - download pdf or read online

By Svetlozar T. Rachev,Christian Menn,Frank J. Fabozzi

ISBN-10: 0471718866

ISBN-13: 9780471718864

whereas mainstream monetary theories and purposes suppose that asset returns are commonly disbursed, overwhelming empirical proof exhibits differently. but many execs don’t take pleasure in the hugely statistical types that take this empirical facts under consideration. Fat-Tailed and Skewed Asset go back Distributions examines this challenge and provides readers a much less technical examine how portfolio choice, probability administration, and choice pricing modeling should still and will be undertaken whilst the belief of a non-normal distribution for asset returns is violated. themes coated during this accomplished booklet contain an in depth dialogue of chance distributions, estimating chance distributions, portfolio choice, replacement hazard measures, and lots more and plenty extra. Fat-Tailed and Skewed Asset go back Distributions offers a bridge among the hugely technical concept of statistical distributional research, stochastic methods, and econometrics of monetary returns and real-world threat administration and investments.

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Fat-Tailed and Skewed Asset Return Distributions: Implications for Risk Management, Portfolio Selection, and Option Pricing (Frank J. Fabozzi Series) by Svetlozar T. Rachev,Christian Menn,Frank J. Fabozzi


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