While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows… Plus…
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.; PDF; Business,Finance and Law > Finance & accounting, Wiley<
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No. 9780470057995. Frais d'envoiInstock, Despatched same working day before 3pm, zzgl. Versandkosten., Livraison non-comprise Details...
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While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows… Plus…
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.; PDF; Business,Finance and Law > Finance & accounting, Wiley<
hive.co.uk
No. 9780470057995. Frais d'envoiInstock, Despatched same working day before 3pm, zzgl. Versandkosten., Livraison non-comprise Details...
(*) Livre non disponible signifie que le livre est actuellement pas disponible à l'une des plates-formes associées nous recherche.
*Multi-moment Asset Allocation and Pricing Models* / pdf eBook für 90.99 € / Aus dem Bereich: eBooks, Wirtschaft Medien > Bücher nein eBook als pdf eBooks > Wirtschaft, John Wiley & Sons
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Frais d'envoiIn stock (Download), , Versandkostenfrei nach Hause oder Express-Lieferung in Ihre Buchhandlung., DE. (EUR 0.00) Details...
(*) Livre non disponible signifie que le livre est actuellement pas disponible à l'une des plates-formes associées nous recherche.
While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows… Plus…
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.; PDF; Business,Finance and Law > Finance & accounting, Wiley<
No. 9780470057995. Frais d'envoiInstock, Despatched same working day before 3pm, zzgl. Versandkosten., Livraison non-comprise
While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows… Plus…
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.; PDF; Business,Finance and Law > Finance & accounting, Wiley<
No. 9780470057995. Frais d'envoiInstock, Despatched same working day before 3pm, zzgl. Versandkosten., Livraison non-comprise
*Multi-moment Asset Allocation and Pricing Models* / pdf eBook für 90.99 € / Aus dem Bereich: eBooks, Wirtschaft Medien > Bücher nein eBook als pdf eBooks > Wirtschaft, John Wiley & Sons
Frais d'envoiIn stock (Download), , Versandkostenfrei nach Hause oder Express-Lieferung in Ihre Buchhandlung., DE. (EUR 0.00)
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Informations détaillées sur le livre - Multi-moment Asset Allocation and Pricing Models
EAN (ISBN-13): 9780470057995 ISBN (ISBN-10): 0470057998 Date de parution: 2006 Editeur: John Wiley & Sons 258 Pages Langue: eng/Englisch
Livre dans la base de données depuis 2009-12-12T14:55:09+01:00 (Paris) Page de détail modifiée en dernier sur 2023-12-13T20:01:21+01:00 (Paris) ISBN/EAN: 9780470057995
ISBN - Autres types d'écriture: 0-470-05799-8, 978-0-470-05799-5 Autres types d'écriture et termes associés: Auteur du livre: gro, maillet, rubinstein, katherine Titre du livre: models, another moment, asset allocation
Données de l'éditeur
Auteur: Emmanuel Jurczenko; Bertrand Maillet Titre: Wiley Finance Series; Multi-moment Asset Allocation and Pricing Models Editeur: Wiley; John Wiley & Sons 258 Pages Date de parution: 2006-10-02 Langue: Anglais 90,99 € (DE) Not available (reason unspecified)
EA; E107; E-Book; Nonbooks, PBS / Wirtschaft/Betriebswirtschaft; Finanzenwesen und Finanzindustrie; Finance & Investments; Finance & Investments Special Topics; Finanz- u. Anlagewesen; Finanztechnik; Spezialthemen Finanz- u. Anlagewesen; Spezialthemen Finanz- u. Anlagewesen; BB
About the Contributors. Preface. 1. Theoretical Foundations of Asset Allocations and PricingModels with Higher-order Moments (Emmanuel Jurczenko and BertrandMaillet). 2. On certain Geometric Aspects of Portfolio Optimisation withHigher Moments (Gustavo Athayde and Renato Flores). 3. Hedge Funds portfolio Selection with Higher-order Moments: ANon-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 NonGaussian Universes (François Desmoulins-Lebeault). 6. The Four-moment Capital Asset Pricing Model: between AssetPricing and Asset Allocation (Emmanuel Jurczenko and BertrandMaillet). 7. Multi-Moments Method For Portfolio Management: GeneralizedCapital Asset Pricing Model in Homogeneous and HeterogeneousMarkets (Yannick Malevergne and Didier Sornette). 8. Modeling the Dynamics of Conditional Dependency BetweenFinancial Series (Eric Jondeau and Michael Rockinger). 9. A Test of the Homogeneity of Asset Pricing Models (GiovanniBarone-Adesi, Patrick Gagliardini and Giovanni Urga). Index.
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