n Investment Analysts Journal - Extreme value theory - an application to the South African equity market
|Article Title||Extreme value theory - an application to the South African equity market|
|© Publisher:||Taylor & Francis|
|Journal||Investment Analysts Journal|
|Author||D.C. Wentzel and E. Mare|
|Publication Date||Jan 2007|
|Pages||73 - 77|
ISI Social Science
The assumption of normal returns remains ubiquitous in much of modern finance. In the pricing of conditional liabilities, for example, we frequently assume that logarithmic returns are normally distributed. Many risk management metrics, such as Value at Risk (VaR), and performance metrics such as Sharpe ratios also assume normally distributed movements.
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