Dynamic Asset Allocation with Forwards and Futures

by Abraham Lioui, Patrice Poncet

This is an advanced text on the theory of forward and futures markets which aims at providing readers with a comprehensive knowledge of how prices are established and evolve over time, what optimal strategies one can expect from the participants, what characterizes such markets and what major theoretical and practical differences distinguish futures from forward contracts. It should be of interest to students (majoring in finance with quantitative skills) academics (both theoreticians and empiricists), practitioners, and regulators

MoreLess

Year of publication:	2005
Other Persons:	Lioui, Abraham (contributor) ; Poncet, Patrice (contributor)
Publisher:	Boston, MA : Springer Science+Business Media, Inc
Subject:	CAPM \| Kapitalanlage \| Financial investment \| Hedging \| Portfolio-Management \| Portfolio selection \| Futures \| Dynamische Optimierung \| Dynamic programming \| Theorie \| Theory \| Capital-Asset-Pricing-Modell \| Forward-Kontrakt \| Termingeschäft
Description of contents:	Table of Contents [external.dandelon.com] ; Description [swbplus.bsz-bw.de] ; Description [swbplus.bsz-bw.de]

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

Extent:	Online-Ressource (XVIII, 263 p, digital)
Series:	SpringerLink / Bücher
Type of publication:	Book / Working Paper
Language:	English
Notes:	Literaturverz. S. 252 - 252 Preliminaries; CONTENTS; Chapter 1 Forward and Futures Markets; Chapter 2 Standard Pricing Results Under Deterministic and Stochastic Interest Rates; Chapter 3 Pure Hedging; Chapter 4 Optimal Dynamic Portfolio Choice In Complete Markets; Chapter 5 Optimal Dynamic Portfolio Choice In Incomplete Markets; Chapter 6 Optimal Currency Risk Hedging; Chapter 7 Optimal Spreading; Chapter 8 Pricing and Hedging under Stochastic Dividend or Convenience Yield; Chapter 9 Equilibrium Asset Pricing In an Endowment Economy With Non-Redundant Forward or Futures Contracts Chapter 10 Equilibrium Asset Pricing In a Production Economy With Non-Redundant Forward or Futures ContractsChapter 11 General Equilibrium Pricing of Futures and Forward Contracts written on the CPI; References; Subject Index
ISBN:	978-0-387-24106-7 ; 978-0-387-24107-4
Other identifiers:	10.1007/b104496 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013520387