Основной контент книги Multi-moment Asset Allocation and Pricing Models
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Book duration 259 pages
Multi-moment Asset Allocation and Pricing Models
authors
mark rubinstein,
emmanuel jurczenko
$207.60
About the book
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 modeling time series in finance which allows various... Next
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Age restriction:
0+Release date on Litres:
20 August 2019Volume:
259 p. ISBN:
9780470057995Total size:
5.3 МБTotal number of pages:
259Copyright holder:
John Wiley & Sons Limited