Multi-moment Asset Allocation and Pricing Models

Collectif

Ouvrage indisponible

Éditeur
John Wiley & Sons Ltd
Pages
258
Parution
septembre 2006
Format
Cartonné
Langue
Anglais
Dimensions
250 × 175 × 21 cm
EAN
9780470034156
  • Résumé

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.
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