多组份资产调拨价格模型（MULTI-MOMENT ASSET ALLOCATION AND PRICING MODELS） pdf pdb 阿里云 极速 mobi caj kindle 下载

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.

作者简介：

EMMANUEL F. JURCZENKO is an Associate Professor in Finance at the ESCP-EAP and a Head of Quantitative Analysts within AAAdvisors-QCG (ABN Amro Group) and Variances. He is graduated in Economics 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 for several years as a Quantitative Analyst within a subsidiary of ABN Amro dedicated to funds of funds. He is appointed as an Associate Professor of Finance at the ESCP-EAP European School of Management since 2000 where he teaches Portfolio Management, Financial Mathematics, Options and Other Derivatives, and Corporate Finance. His centre of interests mainly concerns Portfolio Management, Asset pricing and Applications of Statistics in Finance. He is also associate researcher at CES/CNRS (Center for National Research) at the University of Paris-1.

About the Contributors

Foreword

Preface

1 Theoretical Foundations of Asset Allocation and Pricing Models with Higher-order Moments

Emmanuel Jurczenko and Bertrand Maillet

1.1 Introduction

1.2 Expected utility and higher-order moments

1.3 Expected utility as an exact function of the first four moments

1.4 Expected utility as an approximating function of the first four moments

1.5 Conclusion

Appendix A

Appendix B

Appendix C

Appendix D

Appendix E

Appendix F

Acknowledgements

References

2 On Certain Geometric Aspects of Portfolio Optimisation with Higher Moments

Gustavo M. de Athayde and Renato G. Fl6res Jr

2.1 Introduction

2.2 Minimal variances and kurtoses subject to the first two odd moments

2.2.1 Homothetic properties of the minimum variance set

2.2.2 The minimum kurtosis case

2.3 Generalising for higher even moments

2.4 Further properties and extensions

2.5 Concluding remarks

Appendix: The matrix notation for the higher-moments arrays

Acknowledgements

References

3 Hedge Fund Portfolio Selection with Higher-order Moments: A Nonparametric Mean-Variance-Skewness-Kurtosis Efficient Frontier

Emmanuel Jurczenko, Bertrand Maillet and Paul Merlin

3.1 Introduction

3.2 Portfolio selection with higher-order moments

3.3 The shortage function and the mean-variance-skewness-kurtosis efficient frontier

3.4 Data and empirical results

3.5 Conclusion

Appendix

Acknowledgements

References

4 Higher-order Moments and Beyond

Luisa Tibiletti

4.1 Introduction

4.2 Higher-order moments and simple algebra

4.3 Higher moments: Noncoherent risk measures

4.4 One-sided higher moments

4.4.1 Portfolio left-sided moment bounds

4.4.2 Properties of the upper bound UP(S_)

4.5 Preservation of marginal ordering under portfolios

4.5.1 Drawbacks in using higher moments

4.5.2 Advantages in using left-sided higher moments

4.6 Conclusion

Appendix

References

5 Gram-Charlier Expansions and Portfolio Selection in Non-Gaussian Universes

Franfois Desmoulins-Lebeault

5.1 Introduction

5.2 Attempts to extend the CAPM

5.2.1 Extensions based on preferences

5.2.2 Extensions based on return distributions

5.3 An example of portfolio optimisation

5.3.1 Portfolio description

5.3.2 The various "optimal" portfolios

……

6 The Four-moment Capital Asset Pricing Model: between Asset Pricing and Asset Allocation

7 Multi-Moments Method For Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous Markets

8 Modeling the Dynamics of Conditional Dependency Between Financial Series

9 A Test of the Homogeneity of Asset Pricing Models

Index

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书籍介绍

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.