||12 of 14 people found the following review helpful.| Too superficial to be of any value.|By Allan D. Bennett|I purchased this book because I was told that it "treated" important topics in the statistical analysis of fat-tailed distributions of price movements--namely, copulas, modeling of VaR under non-normal stable distributions, etc. Unfortunately, these topics are given little substantive coverage. The book is basically a||"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
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 modelin...
[PDF.on14] Fat-Tailed and Skewed Asset Return Distributions: Implications for Risk Management, Portfolio Selection, and Option Pricing (Frank J. Fabozzi Series) Rating: 3.74 (682 Votes)
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