The Distribution of Returns
40 Pages Posted: 27 Aug 2016 Last revised: 15 Aug 2017
Date Written: July 28, 2017
The distribution of the returns on investment depends on the rules in the economic system. The article reviews various return distributions, ranging from equity securities in equilibrium, to antiques bought at auction, to debt instruments with uncertain payouts. A general methodology is provided to construct distributions of returns.
Keywords: statistical distributions, returns, Cauchy distribution, heavy tails, heavy tailed distributions
JEL Classification: C01, D44, D80, G00
Suggested Citation: Suggested Citation