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Multi-moment Asset Allocation and Pricing Models

Multi-moment Asset Allocation and Pricing Models

Emmanuel Jurczenko (Editor), Bertrand Maillet (Editor), Mark Rubinstein (Foreword by)

ISBN: 978-0-470-03415-6

Oct 2006

258 pages

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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.

About the Contributors.


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).