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.
1. Theoretical Foundations of Asset Allocations and Pricing Models with Higher-order Moments (Emmanuel Jurczenko and Bertrand Maillet).
2. On certain Geometric Aspects of Portfolio Optimisation with Higher Moments (Gustavo Athayde and Renato Flores).
3. Hedge Funds portfolio Selection with Higher-order Moments: A Non-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 Non Gaussian Universes (François Desmoulins-Lebeault).
6. The Four-moment Capital Asset Pricing Model: between Asset Pricing and Asset Allocation (Emmanuel Jurczenko and Bertrand Maillet).
7. Multi-Moments Method For Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous Markets (Yannick Malevergne and Didier Sornette).
8. Modeling the Dynamics of Conditional Dependency Between Financial Series (Eric Jondeau and Michael Rockinger).
9. A Test of the Homogeneity of Asset Pricing Models (Giovanni Barone-Adesi, Patrick Gagliardini and Giovanni Urga).
BERTRAND B. MAILLET is CEO and Head of Research within AAAdvisors-QCG (ABN Amro Group) and Variances, and Lecturer in Economics at the University of Paris-1. He is graduated in Economics, in Finance and in Statistics, and holds a PhD in Economics (Market Efficiency and Performance Measurements) from the University of Paris-1 (Panthéon-Sorbonne). After being qualified as a Lecturer in Economics in the same university in 1997 (lectures in Financial Econometrics, International Finance and Microeconomics), and appointed as Professor of Finance at the ESCP-EAP European School of Management (lectures in Risk and Portfolio Management), he developed consulting activities in various financial institutions, before joining the ABN Amro Group as a Head of Research in a multi-fund activity. His domain of expertise covers risk management, performance measurement, portfolio management and asset pricing. He has published several articles in academic journals such as Quantitative Finance, Review of International Economics and The European Journal of Finance, chapters in books edited by John Wiley, Springer and Kluwer Academics, and serves as a referee in several international leading journals. He is also currently associate researcher at CES/CNRS (Center for National Research) at the University of Paris-1 and at the Financial Markets Group of the London School of Economics.