LEADER 04248oam 2200469 450 001 9910810302503321 005 20240201191644.0 010 $a1-78326-309-1 035 $a(OCoLC)872638065 035 $a(MiFhGG)GVRL8RBY 035 $a(EXLCZ)993710000000092584 100 $a20140708h20142014 uy 0 101 0 $aeng 135 $aurun#---uuuua 181 $ctxt 182 $cc 183 $acr 200 10$aExtreme financial risks and asset allocation /$fOlivier Le Courtois, EM Lyon Business School, France ; Christian Walter, Fondation Maison des Sciences de l'Homme, France 210 1$aLondon :$cImperial College Press,$d[2014] 210 4$dc2014 215 $a1 online resource (xvii, 351 pages) $cillustrations 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 ;$v5. 606 $aFinancial risk 606 $aAsset allocation 615 0$aFinancial risk. 615 0$aAsset allocation. 676 $a332.6015118 676 $a658.155 700 $aLe Courtois$b Olivier$01635570 702 $aWalter$b Christian$f1957- 801 0$bMiFhGG 801 1$bMiFhGG 906 $aBOOK 912 $a9910810302503321 996 $aExtreme financial risks and asset allocation$93976427 997 $aUNINA