股票收益率的实际分布具有尖峰厚尾偏倚特性 ,传统的正态分布不能描述这一特性 ,稳定分布能够很好拟合这一特性 ,但是稳定分布没有解析表达的分布函数 ,且含有 4个参数 ,研究起来较为困难。非对称拉普拉斯分布有明确的解析表达分布函数 ,只含有 2个参数 ,能够较好拟合股票收益率分布的尖峰厚尾偏倚特性 ,给进一步的研究证券投资组合和金融风险管理带来了很大的便利

The Application of Asymmetric Laplace Distribution in Stock Returns WANG Jian hua, KE Kai ming,WANG Yu ling (School of Sciences,WUT,Wuhan 430070,China)The actual distribution of stock returns possesses the characteristic of steep peaks,heavy tails and skew, so traditional normal distribution cannot describe this characteristic any longer. Though stable distribution can fit it better, stable distribution is decided by 4 parameters. Moreover, stable distribution function has never analytical form, so it is difficult to study it. However, asymmetric Laplace distribution has only 2 parameters and explicit distribution function form, it can fit the data of stock returns well. Consequently it greatly facilitates the calculation of optimal portfolios and the management of financial risk.asymmetric laplace distribution; stable distribution; stock returns