Handbook Of Heavy Tailed Distributions In Asset Management And Risk Management PDF Download
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| Author | : Michele Leonardo Bianchi |
| Publisher | : World Scientific |
| Total Pages | : 598 |
| Release | : 2019-03-08 |
| Genre | : Business & Economics |
| ISBN | : 9813276215 |
Download Handbook Of Heavy-tailed Distributions In Asset Management And Risk Management Book in PDF, ePub and Kindle
The study of heavy-tailed distributions allows researchers to represent phenomena that occasionally exhibit very large deviations from the mean. The dynamics underlying these phenomena is an interesting theoretical subject, but the study of their statistical properties is in itself a very useful endeavor from the point of view of managing assets and controlling risk. In this book, the authors are primarily concerned with the statistical properties of heavy-tailed distributions and with the processes that exhibit jumps. A detailed overview with a Matlab implementation of heavy-tailed models applied in asset management and risk managements is presented. The book is not intended as a theoretical treatise on probability or statistics, but as a tool to understand the main concepts regarding heavy-tailed random variables and processes as applied to real-world applications in finance. Accordingly, the authors review approaches and methodologies whose realization will be useful for developing new methods for forecasting of financial variables where extreme events are not treated as anomalies, but as intrinsic parts of the economic process.
| Author | : Michele Leonardo Bianchi |
| Publisher | : |
| Total Pages | : 573 |
| Release | : 2019 |
| Genre | : Asset management accounts |
| ISBN | : 9789813276208 |
Download Handbook of Heavy-tailed Distributions in Asset Management and Risk Management Book in PDF, ePub and Kindle
| Author | : S.T Rachev |
| Publisher | : Elsevier |
| Total Pages | : 707 |
| Release | : 2003-03-05 |
| Genre | : Business & Economics |
| ISBN | : 0080557732 |
Download Handbook of Heavy Tailed Distributions in Finance Book in PDF, ePub and Kindle
The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. The goal is to have a broad group of outstanding volumes in various areas of finance. The Handbook of Heavy Tailed Distributions in Finance is the first handbook to be published in this series. This volume presents current research focusing on heavy tailed distributions in finance. The contributions cover methodological issues, i.e., probabilistic, statistical and econometric modelling under non- Gaussian assumptions, as well as the applications of the stable and other non -Gaussian models in finance and risk management.
| Author | : John B. Guerard, Jr. |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 796 |
| Release | : 2009-12-12 |
| Genre | : Business & Economics |
| ISBN | : 0387774394 |
Download Handbook of Portfolio Construction Book in PDF, ePub and Kindle
Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification by formulating a mathematical program for generating the "efficient frontier" to summarize optimal trade-offs between expected return and risk. The Markowitz framework continues to be used as a basis for both practical portfolio construction and emerging research in financial economics. Such concepts as the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), for example, provide the foundation for setting benchmarks, for predicting returns and risk, and for performance measurement. This volume showcases original essays by some of today’s most prominent academics and practitioners in the field on the contemporary application of Markowitz techniques. Covering a wide spectrum of topics, including portfolio selection, data mining tests, and multi-factor risk models, the book presents a comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.
| Author | : Svetlozar T. Rachev |
| Publisher | : John Wiley & Sons |
| Total Pages | : 385 |
| Release | : 2005-09-15 |
| Genre | : Business & Economics |
| ISBN | : 0471758906 |
Download Fat-Tailed and Skewed Asset Return Distributions Book in PDF, ePub and Kindle
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.
| Author | : John B Guerard Jr |
| Publisher | : World Scientific |
| Total Pages | : 817 |
| Release | : 2020-10-02 |
| Genre | : Business & Economics |
| ISBN | : 9811222649 |
Download Handbook Of Applied Investment Research Book in PDF, ePub and Kindle
This book introduces the readers to the rapidly growing literature and latest results on financial, fundamental and seasonal anomalies, stock selection modeling and portfolio management. Fifty years ago, finance professors taught the Efficient Markets Hypothesis which states that the average investor could not outperform the stock market based on technical, seasonal and fundamental data. Many, if not most faculty and investors, no longer share that opinion. In this book, the authors report original empirical evidence that applied investment research can produce statistically significant stock selection and excess portfolio returns in the US, and larger excess returns in international and emerging markets.
| Author | : Bernd Scherer |
| Publisher | : Oxford University Press |
| Total Pages | : 530 |
| Release | : 2012 |
| Genre | : Business & Economics |
| ISBN | : 0199553432 |
Download The Oxford Handbook of Quantitative Asset Management Book in PDF, ePub and Kindle
This book explores the current state of the art in quantitative investment management across seven key areas. Chapters by academics and practitioners working in leading investment management organizations bring together major theoretical and practical aspects of the field.
| Author | : Dongming Zhu |
| Publisher | : |
| Total Pages | : 157 |
| Release | : 2007 |
| Genre | : Finance |
| ISBN | : |
Download Asymmetric Heavy-tailed Distributions Book in PDF, ePub and Kindle
"This thesis focuses on construction, properties and estimation of asymmetric heavy-tailed distributions, as well as on their applications to financial modeling and risk measurement. First of all, we suggest a general procedure to construct a fully asymmetric distribution based on a symmetrically parametric distribution, and establish some natural relationships between the symmetric and asymmetric distributions. Then, three new classes of asymmetric distributions are proposed by using the procedure: the Asymmetric Exponential Power Distributions (AEPD), the Asymmetric Student-t Distributions (ASTD) and the Asymmetric Generalized t Distribution (AGTD). For the first two distributions, we give an interpretation of their parameters and explore basic properties of them, including moments, expected shortfall, characterization by the maximum entropy property, and the stochastic representation. Although neither distribution satisfies the regularity conditions under which the ML estimators have the usual asymptotics, due to a non-differentiable likelihood function, we nonetheless establish asymptotics for the full MLE of the parameters. A closed-form expression for the Fisher information matrix is derived, and Monte Carlo studies are provided. We also illustrate the usefulness of the GARCH-type models with the AEPD and ASTD innovations in the context of predicting downside market risk of financial assets and demonstrate their superiority over skew-normal and skew-Student's t GARCH models. Finally, two new classes of generalized extreme value distributions, which include Jenkinson's GEV (Generalized Extreme Value) distribution (Jenkinson, 1955) as special cases, are proposed by using the maximum entropy principle, and their properties are investigated in detail." --
| Author | : Jayakrishnan Nair |
| Publisher | : Cambridge University Press |
| Total Pages | : 266 |
| Release | : 2022-06-09 |
| Genre | : Mathematics |
| ISBN | : 1009062964 |
Download The Fundamentals of Heavy Tails Book in PDF, ePub and Kindle
Heavy tails –extreme events or values more common than expected –emerge everywhere: the economy, natural events, and social and information networks are just a few examples. Yet after decades of progress, they are still treated as mysterious, surprising, and even controversial, primarily because the necessary mathematical models and statistical methods are not widely known. This book, for the first time, provides a rigorous introduction to heavy-tailed distributions accessible to anyone who knows elementary probability. It tackles and tames the zoo of terminology for models and properties, demystifying topics such as the generalized central limit theorem and regular variation. It tracks the natural emergence of heavy-tailed distributions from a wide variety of general processes, building intuition. And it reveals the controversy surrounding heavy tails to be the result of flawed statistics, then equips readers to identify and estimate with confidence. Over 100 exercises complete this engaging package.
| Author | : M.A.H. Dempster |
| Publisher | : CRC Press |
| Total Pages | : 488 |
| Release | : 2008-12-22 |
| Genre | : Business & Economics |
| ISBN | : 1420081926 |
Download Quantitative Fund Management Book in PDF, ePub and Kindle
The First Collection That Covers This Field at the Dynamic Strategic and One-Period Tactical Levels. Addressing the imbalance between research and practice, Quantitative Fund Management presents leading-edge theory and methods, along with their application in practical problems encountered in the fund management industry. A Current Snapshot of State-of-the-Art Applications of Dynamic Stochastic Optimization Techniques to Long-Term Financial Planning - The first part of the book initially looks at how the quantitative techniques of the equity industry are shifting from basic Markowitz mean-variance portfolio optimization to risk management and trading applications. This section also explores novel aspects of lifetime individual consumption investment problems, fixed-mix portfolio rebalancing allocation strategies, debt management for funding mortgages and national debt, and guaranteed return fund construction. Up-to-Date Overview of Tactical Financial Planning and Risk Management - The second section covers nontrivial computational approaches to tactical fund management. This part focuses on portfolio construction and risk management at the individual security or fund manager level over the period up to the next portfolio rebalance. It discusses non-Gaussian returns, new risk-return tradeoffs, and the robustness of benchmarks and portfolio decisions. The Future Use of Quantitative Techniques in Fund Management - With contributions from well-known academics and practitioners, this volume will undoubtedly foster the recognition and wider acceptance of stochastic optimization techniques in financial practice.
