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010   $a9786610649150
010   $a0-470-05799-8
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035   $a(EBL)274397
035   $a(OCoLC)237005642
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100   $a20060605d2006      uy             0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 00$aMulti-moment asset allocation and pricing models$b[electronic resource] /$fedited by Emmanuel Jurczenko and Bertrand Maillet
210   $aChichester, England ;$aHoboken, NJ $cJohn Wiley & Sons, Inc.$dc2006
215   $a1 online resource (259 p.)
225 1 $aWiley finance series
300   $aDescription based upon print version of record.
311   $a0-470-03415-7 
320   $aIncludes bibliographical references and index.
327   $aTheoretical 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. Flo?res 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 / Franc?ois 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.
330   $aWhile mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit "fat-tails" distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various 
410  0$aWiley finance series.
606   $aInvestments$xMathematical models
606   $aAsset allocation$xMathematical models
606   $aCapital assets pricing model
615  0$aInvestments$xMathematical models.
615  0$aAsset allocation$xMathematical models.
615  0$aCapital assets pricing model.
676   $a332.601/5195
676   $a332.6015195
701   $aJurczenko$b Emmanuel$01609913
701   $aMaillet$b Bertrand$01609914
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910830524803321
996   $aMulti-moment asset allocation and pricing models$93937404
997   $aUNINA