Risk and Return Measures for a Non-Gaussian World
We propose new measures of both risk and anticipated return that incorporate the effects of skewness and heavy tails from a financial return’s probability distribution. Our cosine-based analysis, which involves maximizing the marginal Shannon information associated with the Fourier transform of the distribution’s probability density function, also facilitates the use of Lévy-stable distributions for asset prices, as suggested by Mandelbrot (1963). The new measures generalize the concepts of standard deviation and mean in the sense that they simplify to constant multiples of these widely used parameters in the case of Gaussian returns.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): 25 (2009)
Issue (Month): ()
|Contact details of provider:|| Postal: |
Phone: +1 212 284 8600
Web page: http://www.capco.com/
When requesting a correction, please mention this item's handle: RePEc:ris:jofitr:0937. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Springett)
If references are entirely missing, you can add them using this form.