Multi-moment asset allocation and pricing models /
| Other Authors: | , |
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| Format: | Book |
| Language: | English |
| Published: |
Chichester, England :
John Wiley & Sons, Inc.,
c2006.
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| Subjects: |
Table of Contents:
- 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.