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02026nam a2200241 a 4500 |
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20171111230005.0 |
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060605s2006 enka b 001 0 eng |
| 020 |
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|a 0470034157 (hbk)
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| 040 |
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|a DLC
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| 050 |
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|a HG4515.2
|b .M85 2006
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| 082 |
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|2 22
|a 332.601/5195
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| 245 |
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|a Multi-moment asset allocation and pricing models /
|c edited by Emmanuel Jurczenko and Bertrand Maillet.
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| 260 |
|
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|a Chichester, England :
|b John Wiley & Sons, Inc.,
|c c2006.
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| 300 |
|
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|a xxiv, 233 p. :
|b ill. ;
|c 26 cm.
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| 504 |
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|a Includes bibliographical references and index.
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| 505 |
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|a 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.
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| 650 |
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|a Investments
|x Mathematical models
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| 650 |
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|a Asset allocation
|x Mathematical models.
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| 650 |
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|a Capital assets pricing model
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| 700 |
1 |
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|a Jurczenko, Emmanuel
|
| 700 |
1 |
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|a Maillet, Bertrand
|
| 952 |
|
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|a GrThPMO
|b 59b008f36c5ad17d7e5aa397
|c 952a
|d 9528
|e HG4515.2.M85 2006
|t 7
|x m
|z Books
|
