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Multi-moment asset allocation and pr...

Jurczenko, Emmanuel.

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Multi-moment asset allocation and pricing models /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Multi-moment asset allocation and pricing models // edited by Emmanuel Jurczenko and Bertrand Maillet.
other author:	Jurczenko, Emmanuel.
Published:	Chichester, England ;John Wiley & Sons, Inc., : c2006.,
Description:	xxiv, 233 p. :ill. ;25 cm.
Series:	Wiley finance series
[NT 15003449]:	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.
Subject:	Asset allocation - Mathematical models. -
Online resource:	http://www.loc.gov/catdir/toc/ecip0614/2006017994.htmlhttp://www.loc.gov/catdir/toc/ecip0614/2006017994.html
Online resource:	http://www.loc.gov/catdir/enhancements/fy0741/2006017994-b.htmlhttp://www.loc.gov/catdir/enhancements/fy0741/2006017994-b.html
Online resource:	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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003 OCoLC
005 20071228
008 071217s2006 enka b 001 0 eng
010 $a 2006017994
020 $a 0470034157
020 $a 9780470034156 : $c US145.00
029 1 $a YDXCP $b 2460398
035 $a (OCoLC)70045848
035 $a FN96Y0012 fn96t0034
040 $a DLC $c DLC $d BAKER $d BWKUK $d YDX $d BTCTA $d YDXCP $d DH
050 0 0 $a HG4515.2 $b .M85 2006
082 0 0 $a 332.601/5195 $2 22
245 0 0 $a Multi-moment asset allocation and pricing models / $c edited by Emmanuel Jurczenko and Bertrand Maillet.
260 $a Chichester, England ; $a Hoboken, NJ : $c c2006. $b John Wiley & Sons, Inc.,
300 $a xxiv, 233 p. : $b ill. ; $c 25 cm.
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. 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.
650 $a Asset allocation $x Mathematical models. $3 854280
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
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
856 4 2 $3 Publisher description $u http://www.loc.gov/catdir/enhancements/fy0741/2006017994-d.html $z http://www.loc.gov/catdir/enhancements/fy0741/2006017994-d.html