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

Book Description

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.

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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.

Customer Reviews:

READ THE BACK PAGE & PREFACE!.......2006-10-17

To all 1* reviewers, moaning about this being a "superficial" book - READ THE BACK PAGE, quote "...they offer you a LESS TECHNICAL look at how portfolio selection, risk management & option pricing modeling should and can be undertaken..."

Now, READ THE PREFACE: page xii "We must admit our intent at the outset was to provide a NON-TECHNICAL treatment of the topic."

If you can't understand who this book is intended for, are you qualified to write a review? To dismiss this as a book for "name droppers" reflects an arrogant misunderstanding. Everyone has to start somewhere on the learning curve.

In terms of its stated aim, this book does an excellent job. There are hundreds of thousands of investment "professionals" who have never heard of stable Paretian distributions or copulas, who would benefit from education. And, yes it is printed on cheap paper. But that makes it very light & easy to carry round! Is it overpriced? Of course - nothing new there. But savvy buyers don't pay full price anyway.

Little Help For the Ordinary Investing Stiff.......2006-09-21

As a reader of Rachev and co's earlier work 'Stable Paretian Models in Finance' this work is admittedly about halfway down from the mathematical stratosphere where the former floated. If anyone knows of a work which can clearly and convincingly explain the implications of this work for the mug punter please let me know at jenpalex@actapple.org.au.

Paul Mason

Too superficial to be of any value........2006-08-16

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 long survey article with little practical instruction for HOW to deal with fat-tailed distributions. The one strong point of the book is the extensive list of references. Mainly though, the book suffers from the general sense of "math anxiety" that is so prevalent throught the population. Bottom line, if you don't know enough math to deal with the technicalities that the authors so studiously avoid, you can't do anything useful with the modeling of fat-tailed distributions. Consequently, I cannot think of any audience for whom this book would be useful, other than someone wishing to do a literature search of the substantive work in this area.

look inside.......2006-06-06

One can read the ToC and the first chapter (introduction) with Amazon's "look inside" feature/service. I think this lets one make good estimate of the book's level and depth of coverage, and to decide if the book meets one's needs.

statistical data miner.......2006-03-22

I unfortunately learned too late that the negative review of Jukka Taskinen was understatement.

The "book" is a series of shallow, disjointed chapters that just touch on the important topics. It superficially skims a wide range of issues so that the reader can be a term-dropping jack-of-all-trades but master of none.

I was partially lulled by its availability as a .pdf, which is convenient, and its title and purported thesis of heavy-tailed modeling, which really is a very important thesis but is just a red herring here: the book provides very superficial treatment of this concept throughout, without really building a solid methodological case for it (even though its true, which is why its clever and deceptive marketing, rather than a scholarly OR useful practitioner work). It provides no new insight generally, and the only new insight to me was that I am beginning to see what passes as a typical of Fabozzi publication. I'm angry I wasted the $$.

Average customer rating:

Portfolio Selection and Asset Pricing
Shouyang Wang , and Yusen Xia
Manufacturer: Springer
ProductGroup: Book
Binding: Paperback

General | Popular Economics | Business & Investing | Subjects | Books

Public Finance | Economics | Business & Investing | Subjects | Books

Corporate Finance | Finance | Business & Investing | Subjects | Books

General | Business & Investing | Subjects | Books

General | Investing | Business & Investing | Subjects | Books

Pricing | Management & Leadership | Business & Investing | Subjects | Books

General | Medicine | Subjects | Books

Book Description

This monograph consists of two parts. One part is portfolio selection theory and the other part is capital asset pricing theory. For each part, a comprehensive review of the original theory, efforts to improve the theory afterwards and future works to be done are presented. Some innovative models and empirical research works are given in subsequent chapters following the review. For example, a model for portfolio selection with order of expected returns is presented in Chapter 2, the model addresses the inaccuracy in the estimation the expected returns of securities by putting the expected returns of securities as variables rather than known constant. Readers will see some new results which are very practical and interesting.

Unternehmensinvestitionen: Grundzüge in Theorie und Management (Physica-Lehrbuch)

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Unternehmensinvestitionen: Grundzüge in Theorie und Management (Physica-Lehrbuch)
Henry Schäfer
Manufacturer: Physica-Verlag Heidelberg
ProductGroup: Book
Binding: Paperback

General | Business & Investing | Subjects | Books

Pricing | Management & Leadership | Business & Investing | Subjects | Books

German | Foreign Language Nonfiction | Nonfiction | Subjects | Books

Nonfiction | German | Foreign Language Books | Specialty Stores | Books

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ASIN: 3790815802

Book Description

Dieses Lehrbuch bietet eine Einführung in die Grundlagen der Investitionstheorie, behandelt aber auch tiefergehende Fragestellungen. Darüber hinaus vermittelt es ein zusammenhängendes Verständnis zentraler Teilgebiete der Investitionstheorie.Verfahren der Investitionsbewertung werden sowohl in ihren Methodiken, als auch durch die jeweiligen kapitalmarkttheoretischen Grundlagen dargestellt. Auf die Integration neuerer kapitalmarkttheoretischer Ansätze, vor allem in Form der Realoptionen, wurde Wert gelegt. Auch die praxisrelevanten statischen Verfahren der Investitionsrechnung werden behandelt. Zusammen mit dem Lehrbuch "Unternehmensfinanzen. Grundzüge in Theorie und Management" des Autors wird die spezielle Betriebswirtschaftslehre „Investition und Finanzierung" in hohem Umfang abgedeckt.

Portfolio optimization under asset pricing anomalies [An article from: Japan & The World Economy]

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Portfolio optimization under asset pricing anomalies [An article from: Japan & The World Economy]
P.H. Chou , W.S. Li , and G. Zhou
Manufacturer: Elsevier
ProductGroup: Book
Binding: Digital
ASIN: B000RR6HRQ

Book Description

This digital document is a journal article from Japan & The World Economy, published by Elsevier in . The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
Fama and French (1993) find that the SMB and the HML factors explain much of the cross-section stock returns that are unexplained by the CAPM, whereas Daniel and Titman (1997) show that it is the characteristics of the stocks that are responsible rather than the factors. But both arguments are largely based only on expected return comparisons, and little is known about how important each of the two explanations matters to an investor's investment decisions in general and portfolio optimization in particular. In this paper, we show that a mean-variance maximizing investor who exploits the asset pricing anomaly of the CAPM can achieve substantial economic gain than simply holding the market index. Indeed, using monthly Japanese data on the first 50 largest stocks over the period 1980-1997, we find the optimized portfolio constructed from characteristics-based model is the best performing one and has monthly returns more than 0.81 percent (10.16 percent annualized) over the Nikkei 225 index with no greater risk.

Asset pricing models: Implications for expected returns and portfolio selection (NBER working paper series)

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Asset pricing models: Implications for expected returns and portfolio selection (NBER working paper series)
Archie Craig MacKinlay
Manufacturer: National Bureau of Economic Research
ProductGroup: Book
Binding: Unknown Binding

Portfolio selection and asset pricing with dynamically incomplete markets and time-varying first and second moments (PaineWebber working paper series in money, economics and finance)

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Portfolio selection and asset pricing with dynamically incomplete markets and time-varying first and second moments (PaineWebber working paper series in money, economics and finance)
Lars Tyge Nielsen
Manufacturer: Columbia Business School, Columbia University
ProductGroup: Book
Binding: Unknown Binding
ASIN: B0006QP8OQ

Book Description

Training and informational programming has always been an important application of video and is one of the most important applications for multimedia. The use of technology in training for industry, government, health care and education has increased dramatically in recent years. Video, text, graphics, animation and sound are combined in various ways to convey concept, attitude and technical skill.

Designing and Producing Media-Based Training examines why, how and when you can use technology for training, and describes successful approaches to creating effective technology-based training. It describes the instructional design process, scriptwriting, multimedia authoring, media production and new, technology-based training delivery systems.

Among the many topics covered are:

training delivery trends;
the training design process;
defining the audience;
reproduction, program design and production design;
scripting and storyboarding;
uses of light and color;

Written by a highly-experienced training consultant, Designing and Producing Media-Based Training will provide training professionals, corporate managers, multimedia designers and producers, and videomakers with tools for designing effective technology-based training programs.

Covers scriptwriting, multimedia authoring, media production and new, technology-based training delivery systems
Accessible to training professionals, corporate managers, multimedia designers
Comprehensive description of the instructional design process

Designing and Producing Media-Based Training

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Designing and Producing Media-Based Training
Steve Cartwright G Phillip Cartwright
Manufacturer: Focal Press
ProductGroup: Book
Binding: Paperback
ASIN: B000OPUIB2

Seeds of Change: The Living Treasure : The Passionate Story of the Growing Movement to Restore Biodiversity and Revolutionize the Way We Think About
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Seeds of Change - the early years of reclaiming biodiversity

Inspiring meditation on food and life.

This book can change your life

Seeds of Change: The Living Treasure : The Passionate Story of the Growing Movement to Restore Biodiversity and Revolutionize the Way We Think About
Ken Ausubel
Manufacturer: HarperCollins
ProductGroup: Book
Binding: Paperback

General | Gardening & Horticulture | Home & Garden | Subjects | Books
Organic | Techniques | Gardening & Horticulture | Home & Garden | Subjects | Books
Propagation & Cultivation | Techniques | Gardening & Horticulture | Home & Garden | Subjects | Books
General | Agricultural Sciences | Science | Subjects | Books
Agronomy | Agricultural Sciences | Science | Subjects | Books
General | Agricultural Sciences | Professional Science | Professional & Technical | Subjects | Books
Reference | Outdoors & Nature | Subjects | Books
Look Inside Home & Garden Books | Trip | Specialty Stores | Books
Look Inside Outdoors & Nature Books | Trip | Specialty Stores | Books
Similar Items:

Ecological Medicine: Healing the Earth, Healing Ourselves (The Bioneers Series)

Nature's Operating Instructions: The True Biotechnologies (The Bioneers Series)

Seed to Seed: Seed Saving and Growing Techniques for Vegetable Gardeners

When Healing Becomes a Crime: The Amazing Story of the Hoxsey Cancer Clinics and the Return of Alternative Therapies

Botany in a Day: The Patterns Method of Plant Identification Botany in a Day: The Patterns Method of Plant Identification

ASIN: 0062500082

Customer Reviews:

Seeds of Change - the early years of reclaiming biodiversity.......2007-05-02

This book was published in 1994, so I'd really like to see an update, as this book chronicles the motivation for founding Seeds of Change (the seed company) and the company's genesis. The company Seeds of Change has been purchased by M&M/Mars, so although their catalog remains similar, I wonder if they are still holding true to their ideals.

This book has good information on the importance of preserving/reclaiming biodiversity through heirloom and open pollinated crops. We have lost diversity in our diets, and we are paying the price with our health. Chemical monoculture negatively affects the food value of our crops, and Seeds of Change was one of the first commercial enterprises to sound the call of alarm in the US.

Inspiring meditation on food and life........2005-05-08

Facinating book describes the author's discovery of heirloom seeds and traditional farming methods. Though the book is about starting a heirloom seed company it is really about food, farming, health, philosophy, big business, bio diversity, environment, nature, history, community, and what makes life worthwhile.

Filled with stories and facts that make the topic come alive. Straightford writing style makes it easy to share the author's passion for a more honest and natural way of life.

Highly recomended for anyone of any age. Especially if you know little about heirloom seeds or traditional farming methods.

This book can change your life.......2003-02-09

I literally stumbled upon this book while "trapped" by a snowstorm. I'm a Master Gardener and I've purchased heirloom seeds from this company many times. I thought the book was going to be about how the company grew, and it is, but it is much more! In the discussions about loss of biodiversity and the dominance of mass production agriculture, I felt like I was being presented with a call to action. I'd considered vegetarianism off and on for some time (for nutritional reasons) and this book gave me the impetus to finally follow through. The information is presented in a straightforward manner, without inflammatory prose, and the authors have created an inspiring and motivational book that I've found to be quite empowering.

Book Description

This is a comprehensive four-part handbook that covers all aspects of non-destructive evaluation with charged-particles, photons and neutrons. The basics of radiation are covered in Part I, which includes: sources, modifying (interaction) physics, detection and safety. Part II discusses the techniques of transmission, scattering, emission and absorption. Part III presents the application of these techniques for probing, gauging, elemental-analysis and imaging. Examples of applications in a wide variety of industrial fields are also given. These are classified by application area in a special index. Part IV addresses design aspects, such as choosing the proper radiation source, detector and technique; addressing experimental and calculation problems; and dealing with licensing and intellectual property issues. This book provides students, engineers, industrial physicists, and experts in the field with an inclusive source of streamlined information. Researchers and instrument developers will find an extensive list of references and helpful suggestions for tackling problems and challenges.

Average customer rating:

Championship Book Review

Championship Team Building: What Every Coach Needs to Know t

Great road map to building a championship team

Want to get the most out of your team? Buy this book!

Championship Team Building: What Every Coach Needs to Know to Build a Motivated, Committed & Cohesive Team
Jeff Janssen
Manufacturer: Winning the Mental Game
ProductGroup: Book
Binding: Paperback

Management | Management & Leadership | Business & Investing | Subjects | Books
General | Training | Sports | Subjects | Books
General | Sports | Subjects | Books
All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books
Business & Investing | Qualifying Textbooks - Fall 2007 | Stores | Books
Similar Items:

The Team Captain's Leadership Manual

The Seven Secrets of Successful Coaches

101 Teambuilding Activities: Ideas Every Coach Can Use to EnhanceTeamwork, Communication and Trust

1001 Motivational Messages and Quotations for Athletes and Coaches: Teaching Character Through Sport

Jeff Janssen's Peak Performance Playbook

ASIN: 1892882108

Book Description

Written specifically for coaches, this groundbreaking book details dozens of proven strategies for building a championship team in any sport at any level.

Customer Reviews:

Championship Book Review.......2004-05-20

This is one of the most beneficial books I have ever read. it is easy to follow, it is fun to read and I was eagerly awaiting the next page. If you are serious about coaching, this is a must have book.

I can assure you that team chemistry is an important part of a team success and this book really addresses the issues around this.

Championship Team Building: What Every Coach Needs to Know t.......2003-10-25

I am both an experienced girls basketball coach as well as a psychiatrist. I HIGHLY recommend this book to coaches of any team. The strategies are effective and important. It can be easy to overlook importance of the mental aspect of athletic performance. Mr. Janssen does an excellent job of clarifying the role coaches have in this aspect of the game and gives practical advice on how to acheive better team performance.

Great road map to building a championship team.......2001-09-15

This book is awesome. It gives you a virtual roadmap that is easy to follow. I am now in the process of using it with my son's team. The evaluation forms are informative and the exercises are easy to do. I would recommend this book to all coaches and players who want to take their teams to the next level. It is also very good for parents to help them understand the role and the need for the role that their child plays on the team. It will be interesting to see how this affects the play of our team that traditionally plays well against really good teams, but then reduces the level of its play to not so great teams.

Want to get the most out of your team? Buy this book!.......1999-01-01

Championship team building is an excellent source of information for coaches, business leaders or anyone who is a team leader. If you are a coach who is looking for that one item to help your team go to the next level in 1999, I would suggest purchasing this book! As a coach, I have always believed that positive team chemistry is the number one reason for the success of my teams. If you are like me, the question was always, "How do you get positive team chemistry?" This book will show you how! I highly recommend Jeff's book!

Book Description

This informative guide steers you along 34 of the best cycling routes in New Zealand. Explore spectacular coastal roads, rugged mountain passes and rich dairy country with rides ranging from leisurely one day trips to challenging extended tours.

103 days of New Zealand's best riding
how to pack and transport your bike
on-the-road maintenance tips and where to find help
where to stay - from camping to cosy B&Bs
where to eat - from bakeries to bistros
what to see and do out of the saddle
selected mountain bike rides

Customer Reviews:

nearly useless.......2005-07-29

I've bicycle toured solo in Ireland, Britain, France, Germany, Austria and New Zealand. I've yet to see a cycling guide to a country that is worth taking along, and this book is worse than most, because of the "loop" configuration of the rides, and the confusing maps (look hard to see which way is north!). In my travel journal, I made a reference to the "nearly useless" LP Cycling Guide.

My recommendation for any country is to take a look at the general information overview in any cycling guide, make notes of any peculiarities of that country (ie, NZ requires all cyclists to wear a helmet. You cannot leave the airport on your bike until you've purchased a helmet at the airport shop), then buy the GENERAL (not cycling-specific) tourist guide that suits your style. I used the Rough Guide New Zealand (best maps and budget accommodation info; I don't camp), after rejecting the Lonely Planet guide. In Europe the best has consistently been Let's Go, with Rick Steves' being an excellent series for inside information (even though his hand-drawn maps are mediocre, his inside info is excellent.)

Buy maps when you get there. You'll find great maps ("Kiwi Maps"(?) spiral-bound booklet) in service stations in the countries you go to. When you can look them over in the country they were made for, you'll find they're cheaper, and you can then assess exactly what suits you. You can generally go to Tourist Information in the airport for good information on where to go first, then buy a map when you're situated.

I had high hopes for this guide when I lugged it along, but after a couple of outdated references to gravel roads (that didn't materialize), and weird warnings about dangerous roads (that weren't) I gave up on it early on. Kiwis are the friendliest ("toot-toot") drivers I've come across, the roads are better than most in the U.S., and get up and go--it's a dream for scenery, and if you've never travelled abroad, there is NO culture shock (It's got a strong Colorado vibe)!

This book needs to be updated!!!.......2005-06-28

I bet if the people who rated this book highly were polled as to what year they utilized its guidance there would be a direct correlation to how close they were to the release of this only edition...hint hint Lonely Planet editors...UPDATE THIS BOOK!

I don't know where to begin but who in the world rides loops when they are bicycle touring. While I admit that the Southern Alps loop was pretty cool I couldn't overlook the out of date information and sometimes inaccurate terrain profiles in this book. I quicky learned not to rely too heavily on this book and transitioned over to the, much lighter, Pedaller's Paradise. That wafer thin book of goodness in conjunction with the NZ AA maps (which are free to anyone who has an Autoclub memmbership) were much more informative and enjoyable. I am not sure if Amazon carries that book but you can easily search for "pedaller's paradise."

Lastly, I took a Lonely Planet New Zealand guide book as well and found that not worth its brick-like weight in my pannier. I found the New Zealand Tourist Information centers and the people who staff them much more informative and much more fun to engage. The first thing I usually did when rolling into towns was to b-line directly for the Tourist Information.

One more thing...if you like to mountain bike as well pick up the Kennett Brother's book, Classic New Zealand Mountain Bike Rides, by searching for "kennett bros classic."

Good information, excellent presentation.......2005-05-16

Just finished a 9-day tour of New Zealand's Northland, using the route recommended by this LP guidebook.

Like the rest of the LP series, this book has a wealth of useful information on both the trips and how to prepare for them.

The best part of the book is the information design:

- Narratives are brief, important items are called out or bolded, and sections are kept small, making things easy to find in a hurry. Contrast this with other guidebooks that present you with a wall of text to hunt through for a phone number.

- Maps are very clear, showing the route, landmarks along the way, optional side trips, and nothing else to clutter the view. Cue sheets make it easy to find the next waypoint or climb. Much better than the handdrawn sketches in Bruce Ringer's book.

- The elevation charts, while not as accurate as those in Pedaller's Paradise, seemed good enough to me, and easier to understand at a glance.

The book, though published in 2000, is still reasonably up to date. A few businesses and prices had changed, but nothing drastic.

I bought both this book and Bruce Ringer's New Zealand By Bike, and after reading both cover to cover, I took the LP book by itself and found it indispensible during the trip.

Dangerously Inaccurate.......2005-04-20

First off, you should by the Pedaller's Paradise instead of Lonely Planet. It can be found for about 12 NZD in New Zealand (but is also available through Amazon for a bit more if you can't wait).

Dangerous - The profiles (ie. graphical descriptions of hills) shown in the Lonely Planet Guide are drastically over-simplified. On a good day, this is only just very annoying. On a bad day, it could mean being out in the cold wondering just how many more hills are before the next stop. It is obvious that the writers did not use bicycles to research the routes. Nor did they use GPS or any other precise means of measuring elevation. They were very lazy about how they threw this guide together, and it will get you into trouble. Avoid it!

Buy the Pedallar's Paradise instead - it is a fraction the size, half the cost, and packed with useful information.

Bicycle At Your Own Risk.......2004-02-23

The book is really good and well worth the money.New Zealand is a wonder to cycle thru, like Yosmite Valley on a nation scale. But be fore warned! Amazingly, the New Zealand roads are anti-cycle,and you put yourself there at your own risk. 99% of the roads are single lane on each side, they are very skinny lanes. Designed for small cars. Full sized transport semis use these roads with a clearance of inches on each side of their lane. .The roads twist and wind like mountain roads do. There are very few straight stretches of road as you may see in the US. There are no bike lanes,few passing lanes, and no emergency lanes,you are in the path with traffic. Kiwis know their roads and consistently drive fast, 100-120kmph. The problem you are going to have over and over is cycling thru all this beauty in the same lane as cars and trucks...they barrel around a blind curve at 65mph only to find you in front of their windshield going 15mph and no safety margin for anyone. On my recent trip there, I can't tell you how many times I saw this scenario played out and how many near misses I witnessed. Local drivers, particularly commercial tdrivers have real contempt for cyclists. Get the book and dream, but I think I'd look into renting a convertible and live to cycle another day.

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