Multi-moment Asset Allocation and Pricing Models
Title | Multi-moment Asset Allocation and Pricing Models PDF eBook |
Author | Emmanuel Jurczenko |
Publisher | John Wiley & Sons |
Total Pages | 258 |
Release | 2006-10-02 |
Genre | Business & Economics |
ISBN | 0470057998 |
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.
Portfolio Selection and Asset Pricing: Models of Financial Economics and Their Applications in Investing
Title | Portfolio Selection and Asset Pricing: Models of Financial Economics and Their Applications in Investing PDF eBook |
Author | Jamil Baz |
Publisher | McGraw Hill Professional |
Total Pages | 426 |
Release | 2022-09-06 |
Genre | Business & Economics |
ISBN | 126427016X |
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.
The Four-moment Capital Asset Pricing Model
Title | The Four-moment Capital Asset Pricing Model PDF eBook |
Author | Emmanuel Jurczenko |
Publisher | |
Total Pages | 70 |
Release | 2003 |
Genre | |
ISBN | 9782914844192 |
Résumé en anglais
The New Science of Asset Allocation
Title | The New Science of Asset Allocation PDF eBook |
Author | Thomas Schneeweis |
Publisher | John Wiley & Sons |
Total Pages | 422 |
Release | 2010-02-12 |
Genre | Business & Economics |
ISBN | 0470608390 |
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.
Financial Risk Management and Modeling
Title | Financial Risk Management and Modeling PDF eBook |
Author | Constantin Zopounidis |
Publisher | Springer Nature |
Total Pages | 480 |
Release | 2021-09-13 |
Genre | Business & Economics |
ISBN | 3030666913 |
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.
Asset Pricing and Portfolio Performance
Title | Asset Pricing and Portfolio Performance PDF eBook |
Author | Robert A. Korajczyk |
Publisher | |
Total Pages | 424 |
Release | 1999 |
Genre | Business & Economics |
ISBN |
A comprehensive reference work presenting an original framework for evaluating observed differences in returns across assets.
Handbook of Portfolio Construction
Title | Handbook of Portfolio Construction PDF eBook |
Author | John B. Guerard, Jr. |
Publisher | Springer Science & Business Media |
Total Pages | 796 |
Release | 2009-12-12 |
Genre | Business & Economics |
ISBN | 0387774394 |
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.