Emmanuel Jurczenko & Bertrand Maillet 
Multi-moment Asset Allocation and Pricing Models 

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.

Table des matières

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 (François 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.

A propos de l’auteur

EMMANUEL F. JURCZENKO is an Associate Professor in Finance
at the ESCP-EAP and a Head of Quantitative Analysts within
AAAdvisors-QCG (ABN Amro Group) and Variances. He is graduated in
Economics and in Finance, and holds a Ph D in Economics
(Multi-moment Asset Pricing Models) from the University of Paris-1
(Panthéon-Sorbonne). He gained market experience for
several years as a Quantitative Analyst within a subsidiary of ABN
Amro dedicated to funds of funds. He is appointed as an Associate
Professor of Finance at the ESCP-EAP European School of Management
since 2000 where he teaches Portfolio Management, Financial
Mathematics, Options and Other Derivatives, and Corporate Finance.
His centre of interests mainly concerns Portfolio Management, Asset
pricing and Applications of Statistics in Finance. He is also
associate researcher at CES/CNRS (Center for National Research) at
the University of Paris-1.

BERTRAND B. MAILLET is CEO and Head of Research within
AAAdvisors-QCG (ABN Amro Group) and Variances, and Lecturer in
Economics at the University of Paris-1. He is graduated in
Economics, in Finance and in Statistics, and holds a Ph D in
Economics (Market Efficiency and Performance Measurements) from the
University of Paris-1 (Panthéon-Sorbonne). After being
qualified as a Lecturer in Economics in the same university in 1997
(lectures in Financial Econometrics, International Finance and
Microeconomics), and appointed as Professor of Finance at the
ESCP-EAP European School of Management (lectures in Risk and
Portfolio Management), he developed consulting activities in
various financial institutions, before joining the ABN Amro Group
as a Head of Research in a multi-fund activity. His domain of
expertise covers risk management, performance measurement,
portfolio management and asset pricing. He has published several
articles in academic journals such as Quantitative Finance,
Review of International Economics and The European
Journal of Finance, chapters in books edited by John
Wiley, Springer and Kluwer Academics, and
serves as a referee in several international leading journals. He
is also currently associate researcher at CES/CNRS (Center for
National Research) at the University of Paris-1 and at the
Financial Markets Group of the London School of Economics.