Jurczenko, Emmanuel
Multi-moment Asset Allocation and 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.
Keywords: BUSINESS & ECONOMICS / Finance BUS027000
- Author(s)
- Jurczenko, Emmanuel
- Maillet, Bertrand
- Rubinstein, Mark
- Publisher
- John Wiley and Sons, Inc.
- Publication year
- 2007
- Language
- en
- Edition
- 1
- Series
- The Wiley Finance Series
- Page amount
- 258 pages
- Category
- Economy
- Format
- Ebook
- eISBN (PDF)
- 9780470057995
- Printed ISBN
- 9780470034156