عنوان

Multi-moment asset allocation and pricing models

0470034157

9780470034

9780470034

IR

EB20928

انگلیسی

IR

Multi-moment asset allocation and pricing models

[Electronic Resource]

/ edited by Emmanuel Jurczenko and Bertrand Maillet

Chichester, England ; Hoboken, NJ

: John Wiley & Sons, Inc.,

, c2006.

xxiv, 233 p. ill. 25 cm.

(Wiley finance series)

e

ng

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. 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.

Investments- Mathematical models

Asset allocation- Mathematical models

Capital assets pricing model

Jurczenko, Emmanuel

Maillet, Bertrand

ایران

0470034157.pdf

محرمانه

محرمانه

0470034157.pdf

0

متن

old catalog

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BL

1

a

Y