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Multi-moment asset allocation and pricing models / edited by Emmanuel Jurczenko and Bertrand Maillet.

By: Contributor(s): Material type: TextTextPublication details: Hoboken, NJ : John Wiley & Sons, Inc., c2006.Description: xxiv, 233pISBN:
  • 0470034157
Subject(s): DDC classification:
  • 332.6015195 J8M8
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.
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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Book Book Indore 332.6015195 J8M8 (Browse shelf(Opens below)) Available IIMI-17929
Total holds: 0

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.

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