LEADER 04783nam 2200649 450 001 9910464539003321 005 20211122193259.0 010 $a1-78326-309-1 035 $a(CKB)3710000000092584 035 $a(EBL)1647275 035 $a(SSID)ssj0001211905 035 $a(PQKBManifestationID)11757072 035 $a(PQKBTitleCode)TC0001211905 035 $a(PQKBWorkID)11209288 035 $a(PQKB)10461367 035 $a(MiAaPQ)EBC1647275 035 $a(WSP)0000P907 035 $a(Au-PeEL)EBL1647275 035 $a(CaPaEBR)ebr10845323 035 $a(CaONFJC)MIL580862 035 $a(OCoLC)873140355 035 $a(EXLCZ)993710000000092584 100 $a20140314h20142014 uy| 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aExtreme financial risks and asset allocation /$fOlivier Courtois, EM Lyon Business School, France, Christian Walter, Fondation Maison des Sciences de l'Homme, France 210 1$aLondon :$cImperial College Press,$d[2014] 210 4$dİ2014 215 $a1 online resource (351 p.) 225 1 $aSeries in quantitative finance,$x1756-1604 ;$vvolume 5 300 $aBibliographic Level Mode of Issuance: Monograph 311 $a1-78326-308-3 320 $aIncludes bibliographical references and index. 327 $a1. Introduction -- 2. Market framework. 2.1. Studied quantities. 2.2. The question of time -- 3. Statistical description of markets. 3.1. Construction of a representation. 3.2. Normality tests. 3.3. Discontinuity test. 3.4. Continuity test. 3.5. Testing the finiteness of the activity -- 4. Levy processes. 4.1. Definitions and construction. 4.2. The Levy-Khintchine formula. 4.3. The moments of Levy processes of finite variation -- 5. Stable distributions and processes. 5.1. Definitions and properties. 5.2. Stable financial models -- 6. Laplace distributions and processes. 6.1. The first Laplace distribution. 6.2. The asymmetrization of the Laplace distribution. 6.3. The Laplace distribution as the limit of hyperbolic distributions -- 7. The time change framework. 7.1. Time changes. 7.2. Subordinated Brownian motions. 7.3. Time-changed Laplace process -- 8. Tail distributions. 8.1. Largest values approach. 8.2. Threshold approach. 8.3. Statistical phenomenon approach. 8.4. Estimation of the shape parameter -- 9. Risk budgets. 9.1. Risk measures. 9.2. Computation of risk budgets -- 10. The psychology of risk -- 10.1. Basic principles of the psychology of risk. 10.2. The measurement of risk aversion. 10.3. Typology of risk aversion -- 11. Monoperiodic portfolio choice. 11.1. The optimization program. 11.2. Optimizing with two moments. 11.3. Optimizing with three moments. 11.4. Optimizing with four moments. 11.5. Other problems -- 12. Dynamic portfolio choice. 12.1. The optimization program. 12.2. Classic approach. 12.3. Optimization in the presence of jumps -- 13. Conclusion. 330 $aEach financial crisis calls for - by its novelty and the mechanisms it shares with preceding crises - appropriate means to analyze financial risks. In Extreme Financial Risks and Asset Allocation, the authors present in an accessible and timely manner the concepts, methods, and techniques that are essential for an understanding of these risks in an environment where asset prices are subject to sudden, rough, and unpredictable changes. These phenomena, mathematically known as "jumps", play an important role in practice. Their quantitative treatment is generally tricky and is sparsely tackled in similar books. One of the main appeals of this book lies in its approachable and concise presentation of the ad hoc mathematical tools without sacrificing the necessary rigor and precision. This book contains theories and methods which are usually found in highly technical mathematics books or in scattered, often very recent, research articles. It is a remarkable pedagogical work that makes these difficult results accessible to a large readership. Researchers, Masters and PhD students, and financial engineers alike will find this book highly useful. 410 0$aSeries in quantitative finance ;$vvolume 5. 606 $aPortfolio management 606 $aInvestment analysis 606 $aStock price forecasting 608 $aElectronic books. 615 0$aPortfolio management. 615 0$aInvestment analysis. 615 0$aStock price forecasting. 676 $a332.6015118 676 $a658.155 700 $aLe Courtois$b Olivier$0921774 702 $aWalter$b Christian$f1957- 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910464539003321 996 $aExtreme financial risks and asset allocation$92068057 997 $aUNINA