Modelling of size-based portfolios using a mixture of normal distributions
From option pricing using the Black and Scholes model, to determining the signi cance of regression coe cients in a capital asset pricing model (CAPM), the assumption of normality was pervasive throughout the eld of nance. This was despite evidence that nancial returns were non-normal, skewed and he...
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| Format: | Others |
| Language: | English |
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Nelson Mandela Metropolitan University
2009
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| Online Access: | http://hdl.handle.net/10948/985 |