Description |
xxiv, 233 pages : illustrations ; 25 cm |
Series |
Wiley finance series |
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Wiley finance series.
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Contents |
About the contributors -- Preface -- Theoretical foundations of asset allocations and pricing models with higher-order moments / Emmanuel Jurczenko and Bertrand Maillet -- On certain geometric aspects of portfolio optimisation with higher moments -- / Gustavo Athayde and Renato Flores Jr -- Hedge funds portfolio selection with higher-order moments: a non-parametric mean-variance-skewness-Kurtosis efficient frontier / Emmanuel Jurczenko, Bertrand Maillet and Paul Merlin -- Higher order moments and beyond / Luisa Tibiletti -- Gram-Charlier expansions and portfolio selection in non Gaussian universes / Franois Desmoulins-Lebeault -- The four-moment capital asset pricing model: between asset pricing and asset allocation / Emmanuel Jurczenko and Bertrand Maillet -- Multi-moments method for portfolio management: generalized capital asset pricing model in homogeneous and heterogeneous markets / Yannick Malevergne and Didier Sornette -- Modeling the dynamics of conditional dependency between financial series / Eric Jondeau and Michael Rockinger -- A test of the homogeneity of asset pricing models / Giovanni Barone-Adesi, Patrick Gagliardini and Giovanni Urga |
Summary |
"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 theoretical results and applications previously scattered throughout the financial literature. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research."--BOOK JACKET |
Bibliography |
Includes bibliographical references and index |
Subject |
Investments -- Mathematical models.
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Asset allocation -- Mathematical models.
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Capital assets pricing model.
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Author |
Jurczenko, Emmanuel.
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Maillet, Bertrand.
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LC no. |
2006017994 |
ISBN |
9780470034156 (cloth : alk. paper) |
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0470034157 (cloth : alk. paper) |
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