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Introduction to Multi-moment Asset Allocation and Pricing Models

Author

Listed:
  • Bertrand Maillet

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Emmanuel Jurczenko

    (ESCP-EAP - ESCP-EAP - Ecole Supérieure de Commerce de Paris)

Abstract

No abstract is available for this item.

Suggested Citation

  • Bertrand Maillet & Emmanuel Jurczenko, 2006. "Introduction to Multi-moment Asset Allocation and Pricing Models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308991, HAL.
    • Handle: RePEc:hal:cesptp:hal-00308991
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    Citations

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    Cited by:

    1. Domino, Krzysztof, 2020. "Multivariate cumulants in outlier detection for financial data analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 558(C).
    2. Racicot, François-Éric & Théoret, Raymond, 2019. "Hedge fund return higher moments over the business cycle," Economic Modelling, Elsevier, vol. 78(C), pages 73-97.
    3. Wei-Han Liu, 2014. "Optimal hedge ratio estimation and hedge effectiveness with multivariate skew distributions," Applied Economics, Taylor & Francis Journals, vol. 46(12), pages 1420-1435, April.
    4. León, Angel & Moreno, Manuel, 2017. "One-sided performance measures under Gram-Charlier distributions," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 38-50.
    5. Andreas Blöchlinger, 2018. "Credit Rating and Pricing: Poles Apart," JRFM, MDPI, vol. 11(2), pages 1-26, May.
    6. Lu, Xin & Liu, Qiong & Xue, Fengxin, 2019. "Unique closed-form solutions of portfolio selection subject to mean-skewness-normalization constraints," Operations Research Perspectives, Elsevier, vol. 6(C).
    7. Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2015. "Independent Factor Autoregressive Conditional Density Model," Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 594-616, May.
    8. Mukasa, Adamon N., 2018. "Technology adoption and risk exposure among smallholder farmers: Panel data evidence from Tanzania and Uganda," World Development, Elsevier, vol. 105(C), pages 299-309.
    9. Mukasa Adamon N., 2016. "Working Paper 233 - Technology Adoption and Risk Exposure among Smallholder Farmers: Panel Data Evidence from Tanzania and Uganda," Working Paper Series 2328, African Development Bank.
    10. Abdallah Ben Saida & Jean-luc Prigent, 2018. "On the robustness of portfolio allocation under copula misspecification," Annals of Operations Research, Springer, vol. 262(2), pages 631-652, March.
    11. Domino, Krzysztof, 2017. "The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 267-276.

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