Multi-moment asset allocation and pricing models /
Jurczenko, Emmanuel Ed.
Multi-moment asset allocation and pricing models / edited by Emmanuel Jurczenko and Bertrand Maillet. - Hoboken, NJ : John Wiley & Sons, Inc., c2006. - xxiv, 233p.
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.
0470034157 USD 103.95
Investments--Mathematical models.
Asset allocation--Mathematical models.
Capital assets pricing model.
332.6015195 / J8M8
Multi-moment asset allocation and pricing models / edited by Emmanuel Jurczenko and Bertrand Maillet. - Hoboken, NJ : John Wiley & Sons, Inc., c2006. - xxiv, 233p.
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.
0470034157 USD 103.95
Investments--Mathematical models.
Asset allocation--Mathematical models.
Capital assets pricing model.
332.6015195 / J8M8