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Hledání v autorech: "Mark Rubinstein" | Nalezených publikací: 1
Multi-moment Asset Allocation and Pricing Models (The Wiley Finance Series)
Multi-moment Asset Allocation and Pricing Models (The Wiley Finance Series)
Autor: Mark Rubinstein, Emmanuel Jurczenko, Bertrand Maillet | Vydavatel: John Wiley & Sons
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 model
Přidáno: 15.05.2007ISBN: 0470034157Stran: 258Cena: £ 68,00Jazyk: anglicky 
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