LEADER 03836nam 2200685 a 450 001 9911019862903321 005 20200520144314.0 010 $a9786610649150 010 $a9781119201830 010 $a1119201837 010 $a9781280649158 010 $a1280649151 010 $a9780470057995 010 $a0470057998 035 $a(CKB)1000000000357044 035 $a(EBL)274397 035 $a(OCoLC)237005642 035 $a(SSID)ssj0000206616 035 $a(PQKBManifestationID)12056585 035 $a(PQKBTitleCode)TC0000206616 035 $a(PQKBWorkID)10214720 035 $a(PQKB)10790611 035 $a(MiAaPQ)EBC274397 035 $a(FR-PaCSA)10236434 035 $a(FRCYB10236434)10236434 035 $a(Perlego)2764968 035 $a(EXLCZ)991000000000357044 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 /$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 $aDescription based upon print version of record. 311 08$a9780470034156 311 08$a0470034157 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. Flores 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 / Francois 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 701 $aJurczenko$b Emmanuel$01842805 701 $aMaillet$b Bertrand$01842806 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9911019862903321 996 $aMulti-moment asset allocation and pricing models$94423041 997 $aUNINA