Multi-moment Asset Allocation and Pricing Models

Multi-moment Asset Allocation and Pricing Models
Author: Emmanuel Jurczenko
Publisher: John Wiley & Sons
Total Pages: 258
Release: 2006-10-02
Genre: Business & Economics
ISBN: 0470057998

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 degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.

Financial Risk Management and Modeling

Financial Risk Management and Modeling
Author: Constantin Zopounidis
Publisher: Springer Nature
Total Pages: 480
Release: 2021-09-13
Genre: Business & Economics
ISBN: 3030666913

Risk is the main source of uncertainty for investors, debtholders, corporate managers and other stakeholders. For all these actors, it is vital to focus on identifying and managing risk before making decisions. The success of their businesses depends on the relevance of their decisions and consequently, on their ability to manage and deal with the different types of risk. Accordingly, the main objective of this book is to promote scientific research in the different areas of risk management, aiming at being transversal and dealing with different aspects of risk management related to corporate finance as well as market finance. Thus, this book should provide useful insights for academics as well as professionals to better understand and assess the different types of risk.

Handbook of Portfolio Construction

Handbook of Portfolio Construction
Author: John B. Guerard, Jr.
Publisher: Springer Science & Business Media
Total Pages: 796
Release: 2009-12-12
Genre: Business & Economics
ISBN: 0387774394

Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification by formulating a mathematical program for generating the "efficient frontier" to summarize optimal trade-offs between expected return and risk. The Markowitz framework continues to be used as a basis for both practical portfolio construction and emerging research in financial economics. Such concepts as the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), for example, provide the foundation for setting benchmarks, for predicting returns and risk, and for performance measurement. This volume showcases original essays by some of today’s most prominent academics and practitioners in the field on the contemporary application of Markowitz techniques. Covering a wide spectrum of topics, including portfolio selection, data mining tests, and multi-factor risk models, the book presents a comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.

Understanding Investment Funds

Understanding Investment Funds
Author: V. Terraza
Publisher: Springer
Total Pages: 275
Release: 2013-05-20
Genre: Business & Economics
ISBN: 1137273615

In light of recent financial crises, the role of investment funds is a recurring subject for discussion. Traditional methods must be adapted with the objective to strengthen scientific knowledge of investment funds. This book provides new insights, ideas and empirical evidence to improve tools and methods for fund performance analysis.

Postmodern Portfolio Theory

Postmodern Portfolio Theory
Author: James Ming Chen
Publisher: Springer
Total Pages: 345
Release: 2016-07-26
Genre: Business & Economics
ISBN: 1137544643

This survey of portfolio theory, from its modern origins through more sophisticated, “postmodern” incarnations, evaluates portfolio risk according to the first four moments of any statistical distribution: mean, variance, skewness, and excess kurtosis. In pursuit of financial models that more accurately describe abnormal markets and investor psychology, this book bifurcates beta on either side of mean returns. It then evaluates this traditional risk measure according to its relative volatility and correlation components. After specifying a four-moment capital asset pricing model, this book devotes special attention to measures of market risk in global banking regulation. Despite the deficiencies of modern portfolio theory, contemporary finance continues to rest on mean-variance optimization and the two-moment capital asset pricing model. The term postmodern portfolio theory captures many of the advances in financial learning since the original articulation of modern portfolio theory. A comprehensive approach to financial risk management must address all aspects of portfolio theory, from the beautiful symmetries of modern portfolio theory to the disturbing behavioral insights and the vastly expanded mathematical arsenal of the postmodern critique. Mastery of postmodern portfolio theory’s quantitative tools and behavioral insights holds the key to the efficient frontier of risk management.

An Introduction to Socio-Finance

An Introduction to Socio-Finance
Author: Jørgen Vitting Andersen
Publisher: Springer Science & Business Media
Total Pages: 194
Release: 2013-12-11
Genre: Business & Economics
ISBN: 3642419445

This introductory text is devoted to exposing the underlying nature of price formation in financial markets as a predominantly sociological phenomenon that relates individual decision-making to emergent and co-evolving social and financial structures. Two different levels of this sociological influence are considered: First, we examine how price formation results from the social dynamics of interacting individuals, where interaction occurs either through the price or by direct communication. Then the same processes are revisited and examined at the level of larger groups of individuals. In this book, models of both levels of socio-finance are presented, and it is shown, in particular, how complexity theory provides the conceptual and methodological tools needed to understand and describe such phenomena. Accordingly, readers are first given a broad introduction to the standard economic theory of rational financial markets and will come to understand its shortcomings with the help of concrete examples. Complexity theory is then introduced in order to properly account for behavioral decision-making and match the observed market dynamics. This book is conceived as a primer for newcomers to the field, as well as for practitioners seeking new insights into the field of complexity science applied to socio-economic systems in general, and financial markets and price formation in particular.

Handbook of Asian Finance

Handbook of Asian Finance
Author: David Lee Kuo Chuen
Publisher: Academic Press
Total Pages: 531
Release: 2014-05-15
Genre: Business & Economics
ISBN: 0128010630

Participants in Asian financial markets have witnessed the unprecedented growth and sophistication of their investments since the 1997 crisis. Handbook of Asian Finance: REITs, Trading, and Fund Performance analyzes the forces behind these growth rates. Insights into banking, fund performance, and the effects of trading technologies for practitioners to tax evasion, market manipulation, and corporate governance issues are all here, presented by expert scholars. Offering broader and deeper coverage than other handbooks, the Handbook of Asian Finance: REITs, Trading, and Fund Performance explains what is going on in Asia today. - Presents the only micro- and market-related analysis of pan-Asian finance available today - Explores the implications implicit in the expansion of sovereign funds and the growth of the hedge fund and real estate fund management industries - Investigates the innovations in technology that have ushered in faster capital flow and larger trading volumes

Advances in Financial Risk Management

Advances in Financial Risk Management
Author: Jonathan A. Batten
Publisher: Springer
Total Pages: 434
Release: 2015-12-04
Genre: Business & Economics
ISBN: 1137025093

The latest research on measuring, managing and pricing financial risk. Three broad perspectives are considered: financial risk in non-financial corporations; in financial intermediaries such as banks; and finally within the context of a portfolio of securities of different credit quality and marketability.

New Approaches and Tendencies in Entrepreneurial Management

New Approaches and Tendencies in Entrepreneurial Management
Author: Alexandru Costin Cîrstea
Publisher: Cambridge Scholars Publishing
Total Pages: 260
Release: 2017-06-23
Genre: Business & Economics
ISBN: 1443873896

This volume presents a set of innovative approaches to international management theory and practice. It disseminates the most important results of scientific research in the organisation management field to professors, management consultants, researchers and managers at an international level. It is structured in four sections, covering the main areas of interest in management: management of change, innovation and quality; knowledge management and intellectual capital; entrepreneurship, SMEs and social enterprises; and university governance and management. The book is aimed at management experts who aspire to use the latest methods, techniques and practices of organisational leadership, as well as students and others who are interested in the promotion and implementation of best practices in entrepreneurial management.

Recent Applications of Financial Risk Modelling and Portfolio Management

Recent Applications of Financial Risk Modelling and Portfolio Management
Author: Škrinjari?, Tihana
Publisher: IGI Global
Total Pages: 432
Release: 2020-09-25
Genre: Business & Economics
ISBN: 1799850846

In today’s financial market, portfolio and risk management are facing an array of challenges. This is due to increasing levels of knowledge and data that are being made available that have caused a multitude of different investment models to be explored and implemented. Professionals and researchers in this field are in need of up-to-date research that analyzes these contemporary models of practice and keeps pace with the advancements being made within financial risk modelling and portfolio control. Recent Applications of Financial Risk Modelling and Portfolio Management is a pivotal reference source that provides vital research on the use of modern data analysis as well as quantitative methods for developing successful portfolio and risk management techniques. While highlighting topics such as credit scoring, investment strategies, and budgeting, this publication explores diverse models for achieving investment goals as well as improving upon traditional financial modelling methods. This book is ideally designed for researchers, financial analysts, executives, practitioners, policymakers, academicians, and students seeking current research on contemporary risk management strategies in the financial sector.