n Investment Analysts Journal - Extreme value theory - an application to the South African equity market

Volume 2007, Issue 66
  • ISSN : 1029-3523
  • E-ISSN: 2077-0227
This article is unavailable for purchase outside of Africa



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.

Loading full text...

Full text loading...


Article metrics loading...


This is a required field
Please enter a valid email address
Approval was a Success
Invalid data
An Error Occurred
Approval was partially successful, following selected items could not be processed due to error