Multi-moment Asset Allocation and Pricing Models

Bertrand B. Maillet · Emmanuel F. Jurczenko

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

About the Contributors. Preface. 1. Theoretical Foundations of Asset Allocations and Pricing Models with Higher-order Moments (Emmanuel Jurczenko and Bertrand Maillet). 2. On certain Geometric Aspects of Portfolio Optimisation with Higher Moments (Gustavo Athayde and Renato Flores). 3. Hedge Funds portfolio Selection with Higher-order Moments: A Non-parametric Mean-Variance-Skewness-Kurtosis Efficient Frontier (Emmanuel Jurczenko, Bertrand Maillet and Paul Merlin). 4. Higher Order Moments and Beyond (Luisa Tibiletti). 5. Gram-Charlier Expansions and Portfolio Selection in Non Gaussian Universes (Francois Desmoulins-Lebeault). 6. The Four-moment Capital Asset Pricing Model: between Asset Pricing and Asset Allocation (Emmanuel Jurczenko and Bertrand Maillet). 7. Multi-Moments Method For Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous Markets (Yannick Malevergne and Didier Sornette). 8. Modeling the Dynamics of Conditional Dependency Between Financial Series (Eric Jondeau and Michael Rockinger). 9. A Test of the Homogeneity of Asset Pricing Models (Giovanni Barone-Adesi, Patrick Gagliardini and Giovanni Urga). Index.

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References

1988Prospect theory: An analysis of decision under risk 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*2019Theory of games and economic behavior 1976The arbitrage theory of capital asset pricing 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1976Risk Aversion in the Small and in the Large 1997The variation of certain speculative prices 1953Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine

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