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Multi-moment asset allocation and pricing models [[electronic resource] /] / edited by Emmanuel Jurczenko and Bertrand Maillet
| Multi-moment asset allocation and pricing models [[electronic resource] /] / edited by Emmanuel Jurczenko and Bertrand Maillet |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, Inc., c2006 |
| Descrizione fisica | 1 online resource (259 p.) |
| Disciplina |
332.601/5195
332.6015195 |
| Altri autori (Persone) |
JurczenkoEmmanuel
MailletBertrand |
| Collana | Wiley finance series |
| Soggetto topico |
Investments - Mathematical models
Asset allocation - Mathematical models Capital assets pricing model |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-20183-7
1-280-64915-1 9786610649150 0-470-05799-8 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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. |
| Record Nr. | UNINA-9910143676503321 |
| Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, Inc., c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Multi-moment asset allocation and pricing models [[electronic resource] /] / edited by Emmanuel Jurczenko and Bertrand Maillet
| Multi-moment asset allocation and pricing models [[electronic resource] /] / edited by Emmanuel Jurczenko and Bertrand Maillet |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, Inc., c2006 |
| Descrizione fisica | 1 online resource (259 p.) |
| Disciplina |
332.601/5195
332.6015195 |
| Altri autori (Persone) |
JurczenkoEmmanuel
MailletBertrand |
| Collana | Wiley finance series |
| Soggetto topico |
Investments - Mathematical models
Asset allocation - Mathematical models Capital assets pricing model |
| ISBN |
1-119-20183-7
1-280-64915-1 9786610649150 0-470-05799-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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. |
| Record Nr. | UNINA-9910830524803321 |
| Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, Inc., c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Multi-moment asset allocation and pricing models [[electronic resource] /] / edited by Emmanuel Jurczenko and Bertrand Maillet
| Multi-moment asset allocation and pricing models [[electronic resource] /] / edited by Emmanuel Jurczenko and Bertrand Maillet |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, Inc., c2006 |
| Descrizione fisica | 1 online resource (259 p.) |
| Disciplina |
332.601/5195
332.6015195 |
| Altri autori (Persone) |
JurczenkoEmmanuel
MailletBertrand |
| Collana | Wiley finance series |
| Soggetto topico |
Investments - Mathematical models
Asset allocation - Mathematical models Capital assets pricing model |
| ISBN |
1-119-20183-7
1-280-64915-1 9786610649150 0-470-05799-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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. |
| Record Nr. | UNINA-9910841088603321 |
| Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, Inc., c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Strategic asset allocation in fixed-income markets [[electronic resource] ] : a MATLAB-based user's guide / / Ken Nyholm
| Strategic asset allocation in fixed-income markets [[electronic resource] ] : a MATLAB-based user's guide / / Ken Nyholm |
| Autore | Nyholm Ken |
| Pubbl/distr/stampa | Hoboken, NJ ; ; Chichester, West Sussex, : Wiley, c2008 |
| Descrizione fisica | 1 online resource (187 p.) |
| Disciplina |
332.60113
332.63/2044 332.632044 |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Asset allocation - Mathematical models
Asset-liability management - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-20704-5
1-281-93955-2 9786611939557 0-470-72107-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Strategic Asset Allocation in Fixed-Income Markets; Contents; List of Figures; Preface and Disclaimer; Acknowledgements; 1 Introduction; 1.1 Strategic asset allocation; 1.2 Outline of the book; 2 Essential Elements of MATLAB; 2.1 Introduction; 2.2 Getting started; 2.3 Introductory matrix algebra; 2.4 Organising data; 2.5 Creating functions; 2.6 Linear regression; 2.7 Some estimation examples; 2.8 A brief introduction to simulations; 3 Fixed-Income Preliminaries; 3.1 Introduction; 3.2 Spot rates and yields; 3.3 Forward rates; 3.4 Bond pricing functions; 4 Risk and Return Measures
4.1 Introduction4.2 Risk measures; 4.3 Fixed-income returns; 5 Term Structure Models; 5.1 Introduction; 5.2 Not necessarily arbitrage-free models; 5.3 Arbitrage-free models; 6 Asset Allocation; 6.1 Introduction; 6.2 Efficient portfolios; 6.3 Diversification; 6.4 The minimum variance portfolio; 6.5 Asset weight constraints; 6.6 The Capital Asset Pricing Model; 7 Statistical Tools; 7.1 Introduction; 7.2 Vector autoregression; 7.3 Regime-switching models; 7.4 Yield curve models in state-space form; 7.5 Importance sampling; 8 Building Graphical User Interfaces; 8.1 Introduction 8.2 The 'guide' development environment8.3 Creating a simple GUI; 9 Useful Formulae and Expressions; 9.1 Introduction; 9.2 Matrix operations; 9.3 Decompositions; 9.4 Basic rules; 9.5 Distributions; 9.6 Functions; 9.7 Taylor series approximation; 9.8 Interest rates, returns and portfolio statistics; Bibliography; Index |
| Record Nr. | UNINA-9910144117103321 |
Nyholm Ken
|
||
| Hoboken, NJ ; ; Chichester, West Sussex, : Wiley, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Strategic asset allocation in fixed-income markets [[electronic resource] ] : a MATLAB-based user's guide / / Ken Nyholm
| Strategic asset allocation in fixed-income markets [[electronic resource] ] : a MATLAB-based user's guide / / Ken Nyholm |
| Autore | Nyholm Ken |
| Pubbl/distr/stampa | Hoboken, NJ ; ; Chichester, West Sussex, : Wiley, c2008 |
| Descrizione fisica | 1 online resource (187 p.) |
| Disciplina |
332.60113
332.63/2044 332.632044 |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Asset allocation - Mathematical models
Asset-liability management - Mathematical models |
| ISBN |
1-119-20704-5
1-281-93955-2 9786611939557 0-470-72107-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Strategic Asset Allocation in Fixed-Income Markets; Contents; List of Figures; Preface and Disclaimer; Acknowledgements; 1 Introduction; 1.1 Strategic asset allocation; 1.2 Outline of the book; 2 Essential Elements of MATLAB; 2.1 Introduction; 2.2 Getting started; 2.3 Introductory matrix algebra; 2.4 Organising data; 2.5 Creating functions; 2.6 Linear regression; 2.7 Some estimation examples; 2.8 A brief introduction to simulations; 3 Fixed-Income Preliminaries; 3.1 Introduction; 3.2 Spot rates and yields; 3.3 Forward rates; 3.4 Bond pricing functions; 4 Risk and Return Measures
4.1 Introduction4.2 Risk measures; 4.3 Fixed-income returns; 5 Term Structure Models; 5.1 Introduction; 5.2 Not necessarily arbitrage-free models; 5.3 Arbitrage-free models; 6 Asset Allocation; 6.1 Introduction; 6.2 Efficient portfolios; 6.3 Diversification; 6.4 The minimum variance portfolio; 6.5 Asset weight constraints; 6.6 The Capital Asset Pricing Model; 7 Statistical Tools; 7.1 Introduction; 7.2 Vector autoregression; 7.3 Regime-switching models; 7.4 Yield curve models in state-space form; 7.5 Importance sampling; 8 Building Graphical User Interfaces; 8.1 Introduction 8.2 The 'guide' development environment8.3 Creating a simple GUI; 9 Useful Formulae and Expressions; 9.1 Introduction; 9.2 Matrix operations; 9.3 Decompositions; 9.4 Basic rules; 9.5 Distributions; 9.6 Functions; 9.7 Taylor series approximation; 9.8 Interest rates, returns and portfolio statistics; Bibliography; Index |
| Record Nr. | UNINA-9910831187503321 |
|
Nyholm Ken
|
||
| Hoboken, NJ ; ; Chichester, West Sussex, : Wiley, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Strategic asset allocation in fixed-income markets [[electronic resource] ] : a MATLAB-based user's guide / / Ken Nyholm
| Strategic asset allocation in fixed-income markets [[electronic resource] ] : a MATLAB-based user's guide / / Ken Nyholm |
| Autore | Nyholm Ken |
| Pubbl/distr/stampa | Hoboken, NJ ; ; Chichester, West Sussex, : Wiley, c2008 |
| Descrizione fisica | 1 online resource (187 p.) |
| Disciplina |
332.60113
332.63/2044 332.632044 |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Asset allocation - Mathematical models
Asset-liability management - Mathematical models |
| ISBN |
1-119-20704-5
1-281-93955-2 9786611939557 0-470-72107-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Strategic Asset Allocation in Fixed-Income Markets; Contents; List of Figures; Preface and Disclaimer; Acknowledgements; 1 Introduction; 1.1 Strategic asset allocation; 1.2 Outline of the book; 2 Essential Elements of MATLAB; 2.1 Introduction; 2.2 Getting started; 2.3 Introductory matrix algebra; 2.4 Organising data; 2.5 Creating functions; 2.6 Linear regression; 2.7 Some estimation examples; 2.8 A brief introduction to simulations; 3 Fixed-Income Preliminaries; 3.1 Introduction; 3.2 Spot rates and yields; 3.3 Forward rates; 3.4 Bond pricing functions; 4 Risk and Return Measures
4.1 Introduction4.2 Risk measures; 4.3 Fixed-income returns; 5 Term Structure Models; 5.1 Introduction; 5.2 Not necessarily arbitrage-free models; 5.3 Arbitrage-free models; 6 Asset Allocation; 6.1 Introduction; 6.2 Efficient portfolios; 6.3 Diversification; 6.4 The minimum variance portfolio; 6.5 Asset weight constraints; 6.6 The Capital Asset Pricing Model; 7 Statistical Tools; 7.1 Introduction; 7.2 Vector autoregression; 7.3 Regime-switching models; 7.4 Yield curve models in state-space form; 7.5 Importance sampling; 8 Building Graphical User Interfaces; 8.1 Introduction 8.2 The 'guide' development environment8.3 Creating a simple GUI; 9 Useful Formulae and Expressions; 9.1 Introduction; 9.2 Matrix operations; 9.3 Decompositions; 9.4 Basic rules; 9.5 Distributions; 9.6 Functions; 9.7 Taylor series approximation; 9.8 Interest rates, returns and portfolio statistics; Bibliography; Index |
| Record Nr. | UNINA-9910841477003321 |
|
Nyholm Ken
|
||
| Hoboken, NJ ; ; Chichester, West Sussex, : Wiley, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
