Hu, Wenbo; Kercheval, Alec - In: Quantitative Finance 10 (2010) 1, pp. 91-105
It is well-established that equity returns are not Normally distributed, but what should the portfolio manager do about this, and is it worth the effort? It is now feasible to employ better multivariate distribution families that capture heavy tails and skewness in the data; we argue that among...