Multi-moment Asset Allocation and Pricing Models (PDF)
(Sprache: Englisch)
While mainstream financial theories and applications assume that
asset returns are normally distributed and individual preferences
are quadratic, the overwhelming empirical evidence shows otherwise.
Indeed, most of the asset returns exhibit...
asset returns are normally distributed and individual preferences
are quadratic, the overwhelming empirical evidence shows otherwise.
Indeed, most of the asset returns exhibit...
sofort als Download lieferbar
eBook (pdf)
90.99 €
- Lastschrift, Kreditkarte, Paypal, Rechnung
- Kostenloser tolino webreader
Produktdetails
Produktinformationen zu „Multi-moment Asset Allocation and Pricing Models (PDF)“
While mainstream financial theories and applications assume that
asset returns are normally distributed and individual preferences
are quadratic, the overwhelming empirical evidence shows otherwise.
Indeed, most of the asset returns exhibit "fat-tails"
distributions and investors exhibit asymmetric preferences. These
empirical findings lead to the development of a new area of
research dedicated to the introduction of higher order moments in
portfolio theory and asset pricing models.
Multi-moment asset pricing is a revolutionary new way of
modeling time series in finance which allows various degrees of
long-term memory to be generated. It allows risk and prices of risk
to vary through time enabling the accurate valuation of long-lived
assets.
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. 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.
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.
asset returns are normally distributed and individual preferences
are quadratic, the overwhelming empirical evidence shows otherwise.
Indeed, most of the asset returns exhibit "fat-tails"
distributions and investors exhibit asymmetric preferences. These
empirical findings lead to the development of a new area of
research dedicated to the introduction of higher order moments in
portfolio theory and asset pricing models.
Multi-moment asset pricing is a revolutionary new way of
modeling time series in finance which allows various degrees of
long-term memory to be generated. It allows risk and prices of risk
to vary through time enabling the accurate valuation of long-lived
assets.
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. 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.
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.
Inhaltsverzeichnis zu „Multi-moment Asset Allocation and Pricing Models (PDF)“
About the Contributors. Preface. 1. Theoretical Foundations of Asset Allocations and Pricing Models with Higher-order Moments (Emmanuel Jurczenko and Bertrand Maillet). 2. On certain Geometric Aspects of Portfolio Optimisation with Higher Moments (Gustavo Athayde and Renato Flores). 3. Hedge Funds portfolio Selection with Higher-order Moments: A Non-parametric Mean-Variance-Skewness-Kurtosis Efficient Frontier (Emmanuel Jurczenko, Bertrand Maillet and Paul Merlin). 4. Higher Order Moments and Beyond (Luisa Tibiletti). 5. Gram-Charlier Expansions and Portfolio Selection in Non Gaussian Universes (François Desmoulins-Lebeault). 6. The Four-moment Capital Asset Pricing Model: between Asset Pricing and Asset Allocation (Emmanuel Jurczenko and Bertrand Maillet). 7. Multi-Moments Method For Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous Markets (Yannick Malevergne and Didier Sornette). 8. Modeling the Dynamics of Conditional Dependency Between Financial Series (Eric Jondeau and Michael Rockinger). 9. A Test of the Homogeneity of Asset Pricing Models (Giovanni Barone-Adesi, Patrick Gagliardini and Giovanni Urga). Index.
Autoren-Porträt
EMMANUEL F. JURCZENKO is an Associate Professor in Financeat the ESCP-EAP and a Head of Quantitative Analysts within
AAAdvisors-QCG (ABN Amro Group) and Variances. He is graduated in
Economics and in Finance, and holds a PhD in Economics
(Multi-moment Asset Pricing Models) from the University of Paris-1
(Panthéon-Sorbonne). He gained market experience for
several years as a Quantitative Analyst within a subsidiary of ABN
Amro dedicated to funds of funds. He is appointed as an Associate
Professor of Finance at the ESCP-EAP European School of Management
since 2000 where he teaches Portfolio Management, Financial
Mathematics, Options and Other Derivatives, and Corporate Finance.
His centre of interests mainly concerns Portfolio Management, Asset
pricing and Applications of Statistics in Finance. He is also
associate researcher at CES/CNRS (Center for National Research) at
the University of Paris-1.
BERTRAND B. MAILLET is CEO and Head of Research within
AAAdvisors-QCG (ABN Amro Group) and Variances, and Lecturer in
Economics at the University of Paris-1. He is graduated in
Economics, in Finance and in Statistics, and holds a PhD in
Economics (Market Efficiency and Performance Measurements) from the
University of Paris-1 (Panthéon-Sorbonne). After being
qualified as a Lecturer in Economics in the same university in 1997
(lectures in Financial Econometrics, International Finance and
Microeconomics), and appointed as Professor of Finance at the
ESCP-EAP European School of Management (lectures in Risk and
Portfolio Management), he developed consulting activities in
various financial institutions, before joining the ABN Amro Group
as a Head of Research in a multi-fund activity. His domain of
expertise covers risk management, performance measurement,
portfolio management and asset pricing. He has published several
articles in academic journals such as Quantitative Finance,
Review of International Economics and The European
Journal of
... mehr
Finance, chapters in books edited by John
Wiley, Springer and Kluwer Academics, and
serves as a referee in several international leading journals. He
is also currently associate researcher at CES/CNRS (Center for
National Research) at the University of Paris-1 and at the
Financial Markets Group of the London School of Economics.
Wiley, Springer and Kluwer Academics, and
serves as a referee in several international leading journals. He
is also currently associate researcher at CES/CNRS (Center for
National Research) at the University of Paris-1 and at the
Financial Markets Group of the London School of Economics.
... weniger
Bibliographische Angaben
- 2006, 1. Auflage, 258 Seiten, Englisch
- Herausgegeben: Emmanuel Jurczenko, Bertrand Maillet
- Verlag: John Wiley & Sons
- ISBN-10: 0470057998
- ISBN-13: 9780470057995
- Erscheinungsdatum: 02.10.2006
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
eBook Informationen
- Dateiformat: PDF
- Größe: 5.31 MB
- Mit Kopierschutz
Sprache:
Englisch
Kopierschutz
Dieses eBook können Sie uneingeschränkt auf allen Geräten der tolino Familie lesen. Zum Lesen auf sonstigen eReadern und am PC benötigen Sie eine Adobe ID.
Kommentar zu "Multi-moment Asset Allocation and Pricing Models"
0 Gebrauchte Artikel zu „Multi-moment Asset Allocation and Pricing Models“
| Zustand | Preis | Porto | Zahlung | Verkäufer | Rating |
|---|
Schreiben Sie einen Kommentar zu "Multi-moment Asset Allocation and Pricing Models".
Kommentar verfassen