Jurczenko / Maillet Multi-moment Asset Allocation and Pricing Models

1. Auflage 2006
ISBN: 978-0-470-05799-5
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 258 Seiten, E-Book

Reihe: Wiley Finance Series

While mainstream financial theories and applications assume thatasset returns are normally distributed and individual preferencesare quadratic, the overwhelming empirical evidence shows otherwise.Indeed, most of the asset returns exhibit "fat-tails"distributions and investors exhibit asymmetric preferences. Theseempirical findings lead to the development of a new area ofresearch dedicated to the introduction of higher order moments inportfolio theory and asset pricing models.
Multi-moment asset pricing is a revolutionary new way ofmodeling time series in finance which allows various degrees oflong-term memory to be generated. It allows risk and prices of riskto vary through time enabling the accurate valuation of long-livedassets.
This book presents the state-of-the art in multi-moment assetallocation and pricing models and provides many new developments ina single volume, collecting in a unified framework theoreticalresults and applications previously scattered throughout thefinancial literature. The topics covered in this comprehensivevolume include: four-moment individual risk preferences,mathematics of the multi-moment efficient frontier, coherentasymmetric risks measures, hedge funds asset allocation underhigher moments, time-varying specifications of (co)moments andmulti-moment asset pricing models with homogeneous andheterogeneous agents.
Written by leading academics, Multi-moment Asset Allocationand Pricing Models offers a unique opportunity to explore thelatest findings in this new field of research.

Autoren/Hrsg.

Jurczenko, Emmanuel

Maillet, Bertrand

Weitere Mitwirkende

Rubinstein, Mark

Inhaltsverzeichnis

About the Contributors.
Preface.
1. Theoretical Foundations of Asset Allocations and PricingModels with Higher-order Moments (Emmanuel Jurczenko and BertrandMaillet).
2. On certain Geometric Aspects of Portfolio Optimisation withHigher Moments (Gustavo Athayde and Renato Flores).
3. Hedge Funds portfolio Selection with Higher-order Moments: ANon-parametric Mean-Variance-Skewness-Kurtosis Efficient Frontier(Emmanuel Jurczenko, Bertrand Maillet and Paul Merlin).
4. Higher Order Moments and Beyond (Luisa Tibiletti).
5. Gram-Charlier Expansions and Portfolio Selection in NonGaussian Universes (François Desmoulins-Lebeault).
6. The Four-moment Capital Asset Pricing Model: between AssetPricing and Asset Allocation (Emmanuel Jurczenko and BertrandMaillet).
7. Multi-Moments Method For Portfolio Management: GeneralizedCapital Asset Pricing Model in Homogeneous and HeterogeneousMarkets (Yannick Malevergne and Didier Sornette).
8. Modeling the Dynamics of Conditional Dependency BetweenFinancial Series (Eric Jondeau and Michael Rockinger).
9. A Test of the Homogeneity of Asset Pricing Models (GiovanniBarone-Adesi, Patrick Gagliardini and Giovanni Urga).
Index.

Über Autor(innen)

EMMANUEL F. JURCZENKO is an Associate Professor in Financeat the ESCP-EAP and a Head of Quantitative Analysts withinAAAdvisors-QCG (ABN Amro Group) and Variances. He is graduated inEconomics and in Finance, and holds a PhD in Economics(Multi-moment Asset Pricing Models) from the University of Paris-1(Panthéon-Sorbonne). He gained market experience forseveral years as a Quantitative Analyst within a subsidiary of ABNAmro dedicated to funds of funds. He is appointed as an AssociateProfessor of Finance at the ESCP-EAP European School of Managementsince 2000 where he teaches Portfolio Management, FinancialMathematics, Options and Other Derivatives, and Corporate Finance.His centre of interests mainly concerns Portfolio Management, Assetpricing and Applications of Statistics in Finance. He is alsoassociate researcher at CES/CNRS (Center for National Research) atthe University of Paris-1.
BERTRAND B. MAILLET is CEO and Head of Research withinAAAdvisors-QCG (ABN Amro Group) and Variances, and Lecturer inEconomics at the University of Paris-1. He is graduated inEconomics, in Finance and in Statistics, and holds a PhD inEconomics (Market Efficiency and Performance Measurements) from theUniversity of Paris-1 (Panthéon-Sorbonne). After beingqualified as a Lecturer in Economics in the same university in 1997(lectures in Financial Econometrics, International Finance andMicroeconomics), and appointed as Professor of Finance at theESCP-EAP European School of Management (lectures in Risk andPortfolio Management), he developed consulting activities invarious financial institutions, before joining the ABN Amro Groupas a Head of Research in a multi-fund activity. His domain ofexpertise covers risk management, performance measurement,portfolio management and asset pricing. He has published severalarticles in academic journals such as Quantitative Finance,Review of International Economics and The EuropeanJournal of Finance, chapters in books edited by JohnWiley, Springer and Kluwer Academics, andserves as a referee in several international leading journals. Heis also currently associate researcher at CES/CNRS (Center forNational Research) at the University of Paris-1 and at theFinancial Markets Group of the London School of Economics.