Multi-moment asset allocation and pricing models
By: edited by Emmanuel Jurczenko and Bertrand Maillet.
Contributors: Jurczenko, Emmanuel.; Maillet, Bertrand.
Series: Wiley finance series
Publisher: John Wiley & Sons
Published: 2006
Place of publication: Chichester; Hoboken, NJ
Language: eng
Number of pages: 233
ISBN-13: 9780470034156
Subjects: Investments -- Mathematical models.; Asset allocation -- Mathematical models.; Capital assets pricing model.
Notes: Includes bibliographical references and index.
Table of contents: title: Theoretical foundations of asset allocations and pricing models with higher-order moments / Emmanuel Jurczenko and Bertrand Maillet; title: On certain geometric aspects of portfolio optimisation with higher moments; title: / Gustavo M. de Athayde and Renato G. Flôres Jr.; title: Hedge funds portfolio selection with higher-order moments : a nonparametric mean-variance-skewness-Kurtosis efficient frontier / Emmanuel Jurczenko, Bertrand Maillet and Paul Merlin; title: Higher order moments and beyond / Luisa Tibiletti; title: Gram-Charlier expansions and portfolio selection in non-Gaussian universes / François Desmoulins-Lebeault; title: The four-moment capital asset pricing model : between asset pricing and asset allocation / Emmanuel Jurczenko and Bertrand Maillet; title: Multi-moment method for portfolio management : generalized capital asset pricing model in homogeneous and heterogeneous markets / Yannick Malevergne and Didier Sornette; title: Modeling the dynamics of conditional dependency between financial series / Eric Jondeau and Michael Rockinger; title: A test of the homogeneity of asset pricing models / Giovanni Barone-Adesi, Patrick Gagliardini and Giovanni Urga.