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[null,"1.","Record Nr.",null,"UNINA9910143676503321"]
[null,null,"Titolo",null,"Multi-moment asset allocation and pricing models [[electronic resource] /] / edited by Emmanuel Jurczenko and Bertrand Maillet"]
[null,null,"Pubbl/distr/stampa",null,"Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, Inc., c2006"]
[null,null,"ISBN",null,"1-119-20183-7"]
[{"$nulls":4},"1-280-64915-1"]
[{"$nulls":4},"9786610649150"]
[{"$nulls":4},"0-470-05799-8"]
[null,null,"Descrizione fisica",null,"1 online resource (259 p.)"]
[null,null,"Collana",null,"Wiley finance series"]
[null,null,"Disciplina",null,"332.601/5195"]
[{"$nulls":4},"332.6015195"]
[null,null,"Soggetti",null,"Investments - Mathematical models"]
[{"$nulls":4},"Asset allocation - Mathematical models"]
[{"$nulls":4},"Capital assets pricing model"]
[{"$nulls":4},"Electronic books."]
[null,null,"Lingua di pubblicazione",null,"Inglese"]
[null,null,"Formato",null,"Materiale a stampa"]
[null,null,null,"Livello bibliografico","Monografia"]
[null,null,null,"Note generali","Description based upon print version of record."]
[null,null,null,"Nota di bibliografia","Includes bibliographical references and index."]
[null,null,"Nota di contenuto",null,"Theoretical foundations of asset allocations and pricing models with higher-order moments / Emmanuel Jurczenko and Bertrand Maillet -- On certain geometric aspects of portfolio optimisation with higher moments -- / Gustavo M. de Athayde and Renato G. Flôres Jr. -- Hedge funds portfolio selection with higher-order moments : a nonparametric mean-variance-skewness-Kurtosis efficient frontier / Emmanuel Jurczenko, Bertrand Maillet and Paul Merlin -- Higher order moments and beyond / Luisa Tibiletti -- Gram-Charlier expansions and portfolio selection in non-Gaussian universes / François Desmoulins-Lebeault -- The four-moment capital asset pricing model : between asset pricing and asset allocation / Emmanuel Jurczenko and Bertrand Maillet -- Multi-moment method for portfolio management : generalized capital asset pricing model in homogeneous and heterogeneous markets / Yannick Malevergne and Didier Sornette -- Modeling the dynamics of conditional dependency between financial series / Eric Jondeau and Michael Rockinger -- A test of the homogeneity of asset pricing models / Giovanni Barone-Adesi, Patrick Gagliardini and Giovanni Urga."]
[null,null,null,"Sommario/riassunto","While mainstream financial theories and applications assume that asset "]
[{"$nulls":4},"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"]