Multi-moment asset allocation and pricing models
ed. by Emmanuel Jurczenko and Bertrand Maillet
| Year of publication: |
c2006
|
|---|---|
| Other Persons: | Jurczenko, Emmanuel (ed.) ; Maillet, Bertrand (contributor) |
| Publisher: |
Chichester : Wiley |
| Subject: | Mathematik | Mathematics | Kapitalanlage | Financial investment | Portfolio-Management | Portfolio selection | CAPM | ARCH-Modell | ARCH model | Portfolio Selection |
| Description of contents: | Table of Contents [swbplus.bsz-bw.de] ; Table of Contents [loc.gov] ; Description [swbplus.bsz-bw.de] ; Description [swbplus.bsz-bw.de] ; Description [loc.gov] ; Description [loc.gov] |
| Published items: |
9 hits in ECONIS - Online Catalogue of the ZBW
|
| Extent: | XXIV, 233 S. graph. Darst. 25 cm |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Aufsatzsammlung ; Sammelwerk ; Collection of articles of several authors |
| Language: | English |
| Notes: | Includes bibliographical references and index. - Enth. 9 Beitr. 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 |
| ISBN: | 0-470-03415-7 ; 978-0-470-03415-6 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003330408