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Record Nr. |
UNINA9910830524803321 |
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Titolo |
Multi-moment asset allocation and pricing models [[electronic resource] /] / edited by Emmanuel Jurczenko and Bertrand Maillet |
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Pubbl/distr/stampa |
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Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, Inc., c2006 |
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ISBN |
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1-119-20183-7 |
1-280-64915-1 |
9786610649150 |
0-470-05799-8 |
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Descrizione fisica |
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1 online resource (259 p.) |
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Collana |
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Altri autori (Persone) |
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JurczenkoEmmanuel |
MailletBertrand |
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Disciplina |
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Soggetti |
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Investments - Mathematical models |
Asset allocation - Mathematical models |
Capital assets pricing model |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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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 |
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