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Multi-moment asset allocation and pr...

Jurczenko, Emmanuel.

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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, Inc., : c2006.,
面頁冊數:	xxiv, 233 p. :ill. ;25 cm.
叢書名:	Wiley finance series
內容註:	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.
標題:	Asset allocation - Mathematical models. -
電子資源:	http://www.loc.gov/catdir/toc/ecip0614/2006017994.htmlhttp://www.loc.gov/catdir/toc/ecip0614/2006017994.html
電子資源:	http://www.loc.gov/catdir/enhancements/fy0741/2006017994-b.htmlhttp://www.loc.gov/catdir/enhancements/fy0741/2006017994-b.html
電子資源:	http://www.loc.gov/catdir/enhancements/fy0741/2006017994-d.htmlhttp://www.loc.gov/catdir/enhancements/fy0741/2006017994-d.html
ISBN:	0470034157

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, Inc.,c2006. - xxiv, 233 p. :ill. ;25 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. 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.

ISBN: 0470034157

LCCN: 2006017994Subjects--Topical Terms:

854280
Asset allocation
--Mathematical models.

LC Class. No.: HG4515.2 / .M85 2006

Dewey Class. No.: 332.601/5195

Multi-moment asset allocation and pricing models /
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650 $a Capital assets pricing model. $3 646740
650 $a Investments $x Mathematical models. $3 549985
700 $a Jurczenko, Emmanuel. $3 854278
700 $a Maillet, Bertrand. $3 854279
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