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Multi-moment asset allocation and pr...

Jurczenko, Emmanuel.

Multi-moment asset allocation and pricing models /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Multi-moment asset allocation and pricing models /edited by Emmanuel Jurczenko and Bertrand Maillet.
其他作者:	Jurczenko, Emmanuel.
出版者:	Chichester, England ;John Wiley & Sons,c2006.
面頁冊數:	xxiv, 233 p. :ill. ;26 cm.
叢書名:	Wiley finance series
標題:	InvestmentsMathematical models.
電子資源:	http://www.loc.gov/catdir/toc/ecip0614/2006017994.html
電子資源:	http://www.loc.gov/catdir/enhancements/fy0741/2006017994-b.html
電子資源:	http://www.loc.gov/catdir/enhancements/fy0741/2006017994-d.html
ISBN:	9780470034156 (hbk)

Multi-moment asset allocation and pricing models /
Multi-moment asset allocation and pricing models /edited by Emmanuel Jurczenko and Bertrand Maillet. - Chichester, England ;John Wiley & Sons,c2006. - xxiv, 233 p. :ill. ;26 cm. - Wiley finance series.

Includes bibliographical references and index.

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. Fl�ores 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 / Fran�cois 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.

ISBN: 9780470034156 (hbk)

LCCN: 2006017994Subjects--Topical Terms:

221368
Investments
--Mathematical models.

LC Class. No.: HG4515.2 / M961 2006

Dewey Class. No.: 332.601/5195

Multi-moment asset allocation and pricing models /
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440 0 $a Wiley finance series
504 $a Includes bibliographical references and index.
505 0 $a 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. Fl�ores 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 / Fran�cois 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.
650 $a Investments $x Mathematical models. $3 221368
650 $a Asset allocation $x Mathematical models. $3 266501
650 $a Capital assets pricing model. $3 187119
700 $a Jurczenko, Emmanuel. $3 266499
700 $a Maillet, Bertrand. $3 266500
856 4 1 $3 Table of contents only $u http://www.loc.gov/catdir/toc/ecip0614/2006017994.html $z http://www.loc.gov/catdir/toc/ecip0614/2006017994.html
856 4 2 $3 Contributor biographical information $u http://www.loc.gov/catdir/enhancements/fy0741/2006017994-b.html $z http://www.loc.gov/catdir/enhancements/fy0741/2006017994-b.html
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http://www.loc.gov/catdir/toc/ecip0614/2006017994.html
http://www.loc.gov/catdir/enhancements/fy0741/2006017994-b.html
http://www.loc.gov/catdir/enhancements/fy0741/2006017994-d.html

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