Multi-moment asset allocation and pricing models /

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 a...

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Bibliographic Details
Other Authors:	Jurczenko, Emmanuel, Maillet, Bertrand
Format:	eBook
Language:	English
Published:	Chichester, England ; Hoboken, NJ : John Wiley & Sons, ©2006.
Subjects:	Investments > Mathematical models. Asset allocation > Mathematical models. Capital assets pricing model. Electronic books.
Online Access:	Connect to the full text of this electronic book

Description
Summary:	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.
Item Description:	Includes index.
Physical Description:	1 online resource (xxiv, 233 pages) : illustrations
Format:	Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Bibliography:	Includes bibliographical references and index.
ISBN:	9781119201830 1119201837 0470057998 9780470057995