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Extreme financial risks and asset allocation / / Olivier Courtois, EM Lyon Business School, France, Christian Walter, Fondation Maison des Sciences de l'Homme, France
| Extreme financial risks and asset allocation / / Olivier Courtois, EM Lyon Business School, France, Christian Walter, Fondation Maison des Sciences de l'Homme, France |
| Autore | Le Courtois Olivier |
| Pubbl/distr/stampa | London : , : Imperial College Press, , [2014] |
| Descrizione fisica | 1 online resource (351 p.) |
| Disciplina |
332.6015118
658.155 |
| Collana | Series in quantitative finance |
| Soggetto topico |
Portfolio management
Investment analysis Stock price forecasting |
| Soggetto genere / forma | Electronic books. |
| ISBN | 1-78326-309-1 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. 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. |
| Record Nr. | UNINA-9910464539003321 |
Le Courtois Olivier
|
||
| London : , : Imperial College Press, , [2014] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Extreme financial risks and asset allocation / / Olivier Le Courtois, EM Lyon Business School, France ; Christian Walter, Fondation Maison des Sciences de l'Homme, France
| Extreme financial risks and asset allocation / / Olivier Le Courtois, EM Lyon Business School, France ; Christian Walter, Fondation Maison des Sciences de l'Homme, France |
| Autore | Le Courtois Olivier |
| Pubbl/distr/stampa | London : , : Imperial College Press, , [2014] |
| Descrizione fisica | 1 online resource (xvii, 351 pages) : illustrations |
| Disciplina |
332.6015118
658.155 |
| Collana | Series in quantitative finance |
| Soggetto topico |
Financial risk
Asset allocation |
| ISBN | 1-78326-309-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. 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. |
| Record Nr. | UNINA-9910789288103321 |
|
Le Courtois Olivier
|
||
| London : , : Imperial College Press, , [2014] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Extreme financial risks and asset allocation / / Olivier Le Courtois, EM Lyon Business School, France ; Christian Walter, Fondation Maison des Sciences de l'Homme, France
| Extreme financial risks and asset allocation / / Olivier Le Courtois, EM Lyon Business School, France ; Christian Walter, Fondation Maison des Sciences de l'Homme, France |
| Autore | Le Courtois Olivier |
| Pubbl/distr/stampa | London : , : Imperial College Press, , [2014] |
| Descrizione fisica | 1 online resource (xvii, 351 pages) : illustrations |
| Disciplina |
332.6015118
658.155 |
| Collana | Series in quantitative finance |
| Soggetto topico |
Financial risk
Asset allocation |
| ISBN | 1-78326-309-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. 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. |
| Record Nr. | UNINA-9910810302503321 |
|
Le Courtois Olivier
|
||
| London : , : Imperial College Press, , [2014] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||