Multi Moment Asset Allocation And Pricing Models

Author : Emmanuel Jurczenko,Bertrand Maillet
Publisher : John Wiley & Sons
Page : 258 pages
File Size : 42,8 Mb
Release : 2006-10-02
Category : Business & Economics
ISBN : 9780470057995

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Multi-moment Asset Allocation and Pricing Models by Emmanuel Jurczenko,Bertrand Maillet Pdf

While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.

Author : Jamil Baz,Helen Guo,Erol Hakanoglu
Publisher : McGraw Hill Professional
Page : 426 pages
File Size : 51,5 Mb
Release : 2022-09-06
Category : Business & Economics
ISBN : 9781264270163

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Portfolio Selection and Asset Pricing: Models of Financial Economics and Their Applications in Investing by Jamil Baz,Helen Guo,Erol Hakanoglu Pdf

This uniquely comprehensive guide provides expert insights into everything from financial mathematics to the practical realities of asset allocation and pricing Investors like you typically have a choice to make when seeking guidance for portfolio selection―either a book of practical, hands-on approaches to your craft or an academic tome of theories and mathematical formulas. From three top experts, Portfolio Selection and Asset Pricing strikes the right balance with an extensive discussion of mathematical foundations of portfolio choice and asset pricing models, and the practice of asset allocation. This thorough guide is conveniently organized into four sections: Mathematical Foundations―normed vector spaces, optimization in discrete and continuous time, utility theory, and uncertainty Portfolio Models―single-period and continuous-time portfolio choice, analogies, asset allocation for a sovereign as an example, and liability-driven allocation Asset Pricing―capital asset pricing models, factor models, option pricing, and expected returns Robust Asset Allocation―robust estimation of optimization inputs, such as the Black-Litterman Model and shrinkage, and robust optimizers Whether you are a sophisticated investor or advanced graduate student, this high-level title combines rigorous mathematical theory with an emphasis on practical implementation techniques.

Author : Emmanuel Jurczenko,Bertrand Maillet
Publisher : Unknown
Page : 70 pages
File Size : 53,6 Mb
Release : 2003
Category : Electronic
ISBN : 2914844190

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The Four-moment Capital Asset Pricing Model by Emmanuel Jurczenko,Bertrand Maillet Pdf

Résumé en anglais

Author : Thomas Schneeweis,Garry B. Crowder,Hossein B. Kazemi
Publisher : John Wiley & Sons
Page : 422 pages
File Size : 47,9 Mb
Release : 2010-02-12
Category : Business & Economics
ISBN : 9780470608395

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The New Science of Asset Allocation by Thomas Schneeweis,Garry B. Crowder,Hossein B. Kazemi Pdf

A feasible asset allocation framework for the post 2008 financial world Asset allocation has long been a cornerstone of prudent investment management; however, traditional allocation plans failed investors miserably in 2008. Asset allocation still remains an essential part of the investment arena, and through a new approach, you'll discover how to make it work. In The New Science of Asset Allocation, authors Thomas Schneeweis, Garry Crowder, and Hossein Kazemi first explore the myths that plague this field then quickly move on to examine how the practice of asset allocation has failed in recent years. They then propose new allocation models that employ liquidity, transparency, and real risk controls across multiple asset classes. Outlines a new approach to asset allocation in a post-2008 world, where risk seems hidden The "great manager" problem is examined with solutions on how to capture manager alpha while limiting downside risk A complete case study is presented that allocates for beta and alpha Written by an experienced team of industry leaders and academic experts, The New Science of Asset Allocation explains how you can effectively apply this approach to a financial world that continues to change.

Author : Constantin Zopounidis,Ramzi Benkraiem,Iordanis Kalaitzoglou
Publisher : Springer Nature
Page : 480 pages
File Size : 44,6 Mb
Release : 2021-09-13
Category : Business & Economics
ISBN : 9783030666910

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Financial Risk Management and Modeling by Constantin Zopounidis,Ramzi Benkraiem,Iordanis Kalaitzoglou Pdf

Risk is the main source of uncertainty for investors, debtholders, corporate managers and other stakeholders. For all these actors, it is vital to focus on identifying and managing risk before making decisions. The success of their businesses depends on the relevance of their decisions and consequently, on their ability to manage and deal with the different types of risk. Accordingly, the main objective of this book is to promote scientific research in the different areas of risk management, aiming at being transversal and dealing with different aspects of risk management related to corporate finance as well as market finance. Thus, this book should provide useful insights for academics as well as professionals to better understand and assess the different types of risk.

Author : Robert A. Korajczyk
Publisher : Unknown
Page : 424 pages
File Size : 47,7 Mb
Release : 1999
Category : Business & Economics
ISBN : NWU:35556025544081

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Asset Pricing and Portfolio Performance by Robert A. Korajczyk Pdf

A comprehensive reference work presenting an original framework for evaluating observed differences in returns across assets.

Author : John B. Guerard, Jr.
Publisher : Springer Science & Business Media
Page : 796 pages
File Size : 49,5 Mb
Release : 2009-12-12
Category : Business & Economics
ISBN : 9780387774398

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Handbook of Portfolio Construction by John B. Guerard, Jr. Pdf

Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification by formulating a mathematical program for generating the "efficient frontier" to summarize optimal trade-offs between expected return and risk. The Markowitz framework continues to be used as a basis for both practical portfolio construction and emerging research in financial economics. Such concepts as the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), for example, provide the foundation for setting benchmarks, for predicting returns and risk, and for performance measurement. This volume showcases original essays by some of today’s most prominent academics and practitioners in the field on the contemporary application of Markowitz techniques. Covering a wide spectrum of topics, including portfolio selection, data mining tests, and multi-factor risk models, the book presents a comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.

Author : V. Terraza,H. Razafitombo
Publisher : Springer
Page : 275 pages
File Size : 40,6 Mb
Release : 2013-05-20
Category : Business & Economics
ISBN : 9781137273611

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Understanding Investment Funds by V. Terraza,H. Razafitombo Pdf

In light of recent financial crises, the role of investment funds is a recurring subject for discussion. Traditional methods must be adapted with the objective to strengthen scientific knowledge of investment funds. This book provides new insights, ideas and empirical evidence to improve tools and methods for fund performance analysis.

Author : James Ming Chen
Publisher : Springer
Page : 339 pages
File Size : 47,7 Mb
Release : 2016-07-26
Category : Business & Economics
ISBN : 9781137544643

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Postmodern Portfolio Theory by James Ming Chen Pdf

This survey of portfolio theory, from its modern origins through more sophisticated, “postmodern” incarnations, evaluates portfolio risk according to the first four moments of any statistical distribution: mean, variance, skewness, and excess kurtosis. In pursuit of financial models that more accurately describe abnormal markets and investor psychology, this book bifurcates beta on either side of mean returns. It then evaluates this traditional risk measure according to its relative volatility and correlation components. After specifying a four-moment capital asset pricing model, this book devotes special attention to measures of market risk in global banking regulation. Despite the deficiencies of modern portfolio theory, contemporary finance continues to rest on mean-variance optimization and the two-moment capital asset pricing model. The term postmodern portfolio theory captures many of the advances in financial learning since the original articulation of modern portfolio theory. A comprehensive approach to financial risk management must address all aspects of portfolio theory, from the beautiful symmetries of modern portfolio theory to the disturbing behavioral insights and the vastly expanded mathematical arsenal of the postmodern critique. Mastery of postmodern portfolio theory’s quantitative tools and behavioral insights holds the key to the efficient frontier of risk management.

Author : Jørgen Vitting Andersen,Andrzej Nowak
Publisher : Springer Science & Business Media
Page : 194 pages
File Size : 51,6 Mb
Release : 2013-12-11
Category : Business & Economics
ISBN : 9783642419447

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An Introduction to Socio-Finance by Jørgen Vitting Andersen,Andrzej Nowak Pdf

This introductory text is devoted to exposing the underlying nature of price formation in financial markets as a predominantly sociological phenomenon that relates individual decision-making to emergent and co-evolving social and financial structures. Two different levels of this sociological influence are considered: First, we examine how price formation results from the social dynamics of interacting individuals, where interaction occurs either through the price or by direct communication. Then the same processes are revisited and examined at the level of larger groups of individuals. In this book, models of both levels of socio-finance are presented, and it is shown, in particular, how complexity theory provides the conceptual and methodological tools needed to understand and describe such phenomena. Accordingly, readers are first given a broad introduction to the standard economic theory of rational financial markets and will come to understand its shortcomings with the help of concrete examples. Complexity theory is then introduced in order to properly account for behavioral decision-making and match the observed market dynamics. This book is conceived as a primer for newcomers to the field, as well as for practitioners seeking new insights into the field of complexity science applied to socio-economic systems in general, and financial markets and price formation in particular.

Author : David LEE Kuo Chuen,Greg N. Gregoriou
Publisher : Academic Press
Page : 544 pages
File Size : 44,7 Mb
Release : 2014-05-15
Category : Business & Economics
ISBN : 9780128010631

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Handbook of Asian Finance by David LEE Kuo Chuen,Greg N. Gregoriou Pdf

Participants in Asian financial markets have witnessed the unprecedented growth and sophistication of their investments since the 1997 crisis. Handbook of Asian Finance: REITs, Trading, and Fund Performance analyzes the forces behind these growth rates. Insights into banking, fund performance, and the effects of trading technologies for practitioners to tax evasion, market manipulation, and corporate governance issues are all here, presented by expert scholars. Offering broader and deeper coverage than other handbooks, the Handbook of Asian Finance: REITs, Trading, and Fund Performance explains what is going on in Asia today. Presents the only micro- and market-related analysis of pan-Asian finance available today Explores the implications implicit in the expansion of sovereign funds and the growth of the hedge fund and real estate fund management industries Investigates the innovations in technology that have ushered in faster capital flow and larger trading volumes

Author : Heinz Zimmermann,Wolfgang Drobetz,Peter Oertmann
Publisher : John Wiley & Sons
Page : 340 pages
File Size : 46,6 Mb
Release : 2003-02-03
Category : Business & Economics
ISBN : 9780471445555

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Global Asset Allocation by Heinz Zimmermann,Wolfgang Drobetz,Peter Oertmann Pdf

Reveals new methodologies for asset pricing within a global asset allocation framework. Contains cutting-edge empirical research on global markets and sectors of the global economy. Introduces the Black-Litterman model and how it can be used to improve global asset allocation decisions.

Author : Anonim
Publisher : Bookboon
Page : 57 pages
File Size : 49,8 Mb
Release : 2024-06-30
Category : Electronic
ISBN : 9788776817121

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The Capital Asset Pricing Model by Anonim Pdf

Author : Jonathan A. Batten,Peter MacKay
Publisher : Springer
Page : 411 pages
File Size : 46,5 Mb
Release : 2013-11-07
Category : Business & Economics
ISBN : 9781137025098

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Advances in Financial Risk Management by Jonathan A. Batten,Peter MacKay Pdf

The latest research on measuring, managing and pricing financial risk. Three broad perspectives are considered: financial risk in non-financial corporations; in financial intermediaries such as banks; and finally within the context of a portfolio of securities of different credit quality and marketability.

Author : Alexandru Costin Cîrstea,Ovidiu Nicolescu,George Plesoianu
Publisher : Cambridge Scholars Publishing
Page : 260 pages
File Size : 50,7 Mb
Release : 2017-06-23
Category : Business & Economics
ISBN : 9781443873895

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New Approaches and Tendencies in Entrepreneurial Management by Alexandru Costin Cîrstea,Ovidiu Nicolescu,George Plesoianu Pdf

This volume presents a set of innovative approaches to international management theory and practice. It disseminates the most important results of scientific research in the organisation management field to professors, management consultants, researchers and managers at an international level. It is structured in four sections, covering the main areas of interest in management: management of change, innovation and quality; knowledge management and intellectual capital; entrepreneurship, SMEs and social enterprises; and university governance and management. The book is aimed at management experts who aspire to use the latest methods, techniques and practices of organisational leadership, as well as students and others who are interested in the promotion and implementation of best practices in entrepreneurial management.