Fat-Tailed and Skewed Asset Return Distributions: Implications for Risk Management, Portfolio Selection, and Option Pricing

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

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.

• Language: English
• Publisher: Wiley
• Release date: Sep 15, 2005
• ISBN: 9780471758907

Frank J. Fabozzi

Frank J. Fabozzi is a professor of finance at EDHEC Business School (Nice, France) and a senior scientific adviser at the EDHEC-Risk Institute. He taught at Yale's School of Management for 17 years and served as a visiting professor at MIT's Sloan School of Management and Princeton University's Department of Operations Research and Financial Engineering. Professor Fabozzi is the editor of The Journal of Portfolio Management and an associate editor of several journals, including Quantitative Finance. The author of numerous numerous books and articles on quantitative finance, he holds a doctorate in economics from The Graduate Center of the City University of New York.

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