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Multi-moment asset allocati...
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
Monografía
monografia Rebiun25019778 https://catalogo.rebiun.org/rebiun/record/Rebiun25019778 m o d | cr -n--------- 060605s2006 enka ob 001 0 eng 2006017994 1-119-20183-7 1-280-64915-1 9786610649150 0-470-05799-8 CBUC 991010730291606709 MiAaPQ MiAaPQ MiAaPQ eng 332.601/5195 332.6015195 Multi-moment asset allocation and pricing models electronic resource] edited by Emmanuel Jurczenko and Bertrand Maillet Chichester, England Hoboken, NJ John Wiley & Sons, Inc. c2006 Chichester, England Hoboken, NJ Chichester, England Hoboken, NJ John Wiley & Sons, Inc. 1 online resource (259 p.) 1 online resource (259 p.) Text txt computer c online resource cr Wiley finance series Description based upon print version of record Includes bibliographical references and index 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 M. de Athayde and Renato G. Flôres Jr. -- Hedge funds portfolio selection with higher-order moments : a nonparametric 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 / François Desmoulins-Lebeault -- The four-moment capital asset pricing model : between asset pricing and asset allocation / Emmanuel Jurczenko and Bertrand Maillet -- Multi-moment 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 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 English Investments- Mathematical models Asset allocation- Mathematical models Capital assets pricing model Electronic books Jurczenko, Emmanuel Maillet, Bertrand 0-470-03415-7 Wiley finance series