Research and Markets (http://www.researchandmarkets.com/reports/c41678) has announced the addition of Multi-moment Asset Allocation and Pricing Models to their offering.
The book presents the theories and development of multi-moment asset allocation and pricing models in a single volume, collecting in unified framework theoretical results and applications previously scattered across financial literature. The explosion of interest for this area can be explained by the fast-growing concerns of investors with extreme risks and will be essential reading for practitioners. It is a high-level, mathematical book and will be essential reading for quants and people working within the area of investment with a good grasp of the theory behind valuing assets and the relationship between risk and return. Contributions from: Chris Adcock - Professor of Financial Econometrics at the University of Sheffield, Gustavo de Athayde - Senior Quantitative Manager at the Banco Itau, Giovanni Barone-Adesi - Professor of finance theory at USI in Lugano (Switzerland), Eric Jondeau - Professor of Finance at HEC-Lausanne, Patrice Poncet - Professor of Business Administration at the University of Paris-1 (Pantheon-Sorbonne) and a Professor of Finance at the ESSEC Business School, Michael Rockinger - Professor of finance at HEC Lausanne (FAME), and a former scientific consultant at the Banque de France, Giovanni Urga - Professor of Finance and Econometrics at the Cass Business School.
Contents Include: About the contributors Preface 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 (Francois 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). Index.
For more information visit http://www.researchandmarkets.com/reports/c41678.