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Titre :
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Multi-moment Asset Allocation and Pricing Models
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Auteurs :
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Jurczenko Emmanuel, Auteur ;
Maillet Bertrand, Auteur
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Type de document :
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texte imprimé
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Editeur :
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[S.l.] : John Wiley & Sons, Ltd, 2006
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ISBN/ISSN/EAN :
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978-0-470-03415-6
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Format :
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233 p. / illustrated in black and write / 24/17,2 cm
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Note générale :
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Contents; About the Contributors; Foreword; Preface; Acknowledgements; References; Index.
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Langues:
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Anglais
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Index. décimale :
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332. Economie Financière
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Catégories :
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4 Sciences sociales et humaines
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Mots-clés:
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Finances
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Models
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Capital
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Geometric
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Data
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Management
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Market Portfolio
;
Empirical results
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Résumé :
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This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretcal results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents.
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Note de contenu :
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1. Theoretical Foundations of Asset Allocation and Pricing Models with Higher-order Moments (1-36); 2. On Certain Geometric Aspects of Portfolio Optimisation with Higher Moments (37-50); 3. Hedge Fund Portfolio Selection with Higher-order Moments: A NonparametricMean-Variance-Skewness-Kurtosis Efficient Frontier (51-66); 4. Higher-order Moments and Beyond (67-78); 5. Gram-Charlier Expansions and Portfolio Selection in Non-Gaussian Universes (79-112); 6. The Four-moment Capital Asset Pricing Model: Between Asset Pricing and Asset Allocation (113-164); 7. Multi-Moment Method for Portfolio Management: Generalised Capital Asset Pricing Model in Homogenous and Heterogenous Markets (165-194); 8. Modelling the Dynamics of Conditional Dependency Between Financial Series (195-222); 9. A Test of the Homogeneity of Asset pricing Models (223-229).
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En ligne :
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www.wiley.com/finance
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