Extreme financial risks and asset allocation /:
Each financial crisis calls for - by its novelty and the mechanisms it shares with preceding crises - appropriate means to analyze financial risks. In Extreme Financial Risks and Asset Allocation, the authors present in an accessible and timely manner the concepts, methods, and techniques that are e...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
London :
Imperial College Press,
[2014]
|
| Schriftenreihe: | Series in quantitative finance ;
volume 5. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | Each financial crisis calls for - by its novelty and the mechanisms it shares with preceding crises - appropriate means to analyze financial risks. In Extreme Financial Risks and Asset Allocation, the authors present in an accessible and timely manner the concepts, methods, and techniques that are essential for an understanding of these risks in an environment where asset prices are subject to sudden, rough, and unpredictable changes. These phenomena, mathematically known as "jumps", play an important role in practice. Their quantitative treatment is generally tricky and is sparsely tackled in similar books. One of the main appeals of this book lies in its approachable and concise presentation of the ad hoc mathematical tools without sacrificing the necessary rigor and precision. This book contains theories and methods which are usually found in highly technical mathematics books or in scattered, often very recent, research articles. It is a remarkable pedagogical work that makes these difficult results accessible to a large readership. Researchers, Masters and PhD students, and financial engineers alike will find this book highly useful |
| Beschreibung: | 1 online resource (370 pages) : illustrations |
| Bibliographie: | Includes bibliographical references and index. |
| ISBN: | 9781783263097 1783263091 9781306496117 130649611X |
| ISSN: | 1756-1604 ; |
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| 100 | 1 | |a Le Courtois, Olivier, |e author. |0 http://id.loc.gov/authorities/names/n2012043362 | |
| 245 | 1 | 0 | |a Extreme financial risks and asset allocation / |c Olivier Courtois, EM Lyon Business School, France, Christian Walter, Fondation Maison des Sciences de l'Homme, France. |
| 264 | 1 | |a London : |b Imperial College Press, |c [2014] | |
| 264 | 4 | |c ©2014 | |
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| 504 | |a Includes bibliographical references and index. | ||
| 588 | 0 | |a Online resource; title from PDF title page (ebrary, viewed April 4, 2014). | |
| 505 | 0 | |a 1. Introduction -- 2. Market framework. 2.1. Studied quantities. 2.2. The question of time -- 3. Statistical description of markets. 3.1. Construction of a representation. 3.2. Normality tests. 3.3. Discontinuity test. 3.4. Continuity test. 3.5. Testing the finiteness of the activity -- 4. Levy processes. 4.1. Definitions and construction. 4.2. The Levy-Khintchine formula. 4.3. The moments of Levy processes of finite variation -- 5. Stable distributions and processes. 5.1. Definitions and properties. 5.2. Stable financial models -- 6. Laplace distributions and processes. 6.1. The first Laplace distribution. 6.2. The asymmetrization of the Laplace distribution. 6.3. The Laplace distribution as the limit of hyperbolic distributions -- 7. The time change framework. 7.1. Time changes. 7.2. Subordinated Brownian motions. 7.3. Time-changed Laplace process -- 8. Tail distributions. 8.1. Largest values approach. 8.2. Threshold approach. 8.3. Statistical phenomenon approach. 8.4. Estimation of the shape parameter -- 9. Risk budgets. 9.1. Risk measures. 9.2. Computation of risk budgets -- 10. The psychology of risk -- 10.1. Basic principles of the psychology of risk. 10.2. The measurement of risk aversion. 10.3. Typology of risk aversion -- 11. Monoperiodic portfolio choice. 11.1. The optimization program. 11.2. Optimizing with two moments. 11.3. Optimizing with three moments. 11.4. Optimizing with four moments. 11.5. Other problems -- 12. Dynamic portfolio choice. 12.1. The optimization program. 12.2. Classic approach. 12.3. Optimization in the presence of jumps -- 13. Conclusion. | |
| 520 | |a Each financial crisis calls for - by its novelty and the mechanisms it shares with preceding crises - appropriate means to analyze financial risks. In Extreme Financial Risks and Asset Allocation, the authors present in an accessible and timely manner the concepts, methods, and techniques that are essential for an understanding of these risks in an environment where asset prices are subject to sudden, rough, and unpredictable changes. These phenomena, mathematically known as "jumps", play an important role in practice. Their quantitative treatment is generally tricky and is sparsely tackled in similar books. One of the main appeals of this book lies in its approachable and concise presentation of the ad hoc mathematical tools without sacrificing the necessary rigor and precision. This book contains theories and methods which are usually found in highly technical mathematics books or in scattered, often very recent, research articles. It is a remarkable pedagogical work that makes these difficult results accessible to a large readership. Researchers, Masters and PhD students, and financial engineers alike will find this book highly useful | ||
| 650 | 0 | |a Portfolio management. |0 http://id.loc.gov/authorities/subjects/sh85105080 | |
| 650 | 0 | |a Investment analysis. |0 http://id.loc.gov/authorities/subjects/sh85067707 | |
| 650 | 0 | |a Stock price forecasting. |0 http://id.loc.gov/authorities/subjects/sh85128202 | |
| 650 | 0 | |a Corporations |x Finance. |0 http://id.loc.gov/authorities/subjects/sh85032938 | |
| 650 | 0 | |a Business enterprises |x Finance. |0 http://id.loc.gov/authorities/subjects/sh85018286 | |
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| 700 | 1 | |a Walter, Christian, |d 1957- |e author. |1 https://id.oclc.org/worldcat/entity/E39PBJkp9hydVw8XFwqyHBgxjC |0 http://id.loc.gov/authorities/names/n2011024139 | |
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| 776 | 0 | 8 | |i Print version: |a Courtois, Olivier Le. |t Extreme financial risks and asset allocation. |d London : Imperial College Press, 2014 |z 9781783263080 |
| 830 | 0 | |a Series in quantitative finance ; |v volume 5. |0 http://id.loc.gov/authorities/names/no2009068871 | |
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| adam_text | |
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| author | Le Courtois, Olivier Walter, Christian, 1957- |
| author_GND | http://id.loc.gov/authorities/names/n2012043362 http://id.loc.gov/authorities/names/n2011024139 |
| author_facet | Le Courtois, Olivier Walter, Christian, 1957- |
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| author_sort | Le Courtois, Olivier |
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| contents | 1. Introduction -- 2. Market framework. 2.1. Studied quantities. 2.2. The question of time -- 3. Statistical description of markets. 3.1. Construction of a representation. 3.2. Normality tests. 3.3. Discontinuity test. 3.4. Continuity test. 3.5. Testing the finiteness of the activity -- 4. Levy processes. 4.1. Definitions and construction. 4.2. The Levy-Khintchine formula. 4.3. The moments of Levy processes of finite variation -- 5. Stable distributions and processes. 5.1. Definitions and properties. 5.2. Stable financial models -- 6. Laplace distributions and processes. 6.1. The first Laplace distribution. 6.2. The asymmetrization of the Laplace distribution. 6.3. The Laplace distribution as the limit of hyperbolic distributions -- 7. The time change framework. 7.1. Time changes. 7.2. Subordinated Brownian motions. 7.3. Time-changed Laplace process -- 8. Tail distributions. 8.1. Largest values approach. 8.2. Threshold approach. 8.3. Statistical phenomenon approach. 8.4. Estimation of the shape parameter -- 9. Risk budgets. 9.1. Risk measures. 9.2. Computation of risk budgets -- 10. The psychology of risk -- 10.1. Basic principles of the psychology of risk. 10.2. The measurement of risk aversion. 10.3. Typology of risk aversion -- 11. Monoperiodic portfolio choice. 11.1. The optimization program. 11.2. Optimizing with two moments. 11.3. Optimizing with three moments. 11.4. Optimizing with four moments. 11.5. Other problems -- 12. Dynamic portfolio choice. 12.1. The optimization program. 12.2. Classic approach. 12.3. Optimization in the presence of jumps -- 13. Conclusion. |
| ctrlnum | (OCoLC)878137028 |
| dewey-full | 332.6 |
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| dewey-ones | 332 - Financial economics |
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| dewey-search | 332.6 |
| dewey-sort | 3332.6 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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viewed April 4, 2014).</subfield></datafield><datafield tag="505" ind1="0" ind2=" "><subfield code="a">1. Introduction -- 2. Market framework. 2.1. Studied quantities. 2.2. The question of time -- 3. Statistical description of markets. 3.1. Construction of a representation. 3.2. Normality tests. 3.3. Discontinuity test. 3.4. Continuity test. 3.5. Testing the finiteness of the activity -- 4. Levy processes. 4.1. Definitions and construction. 4.2. The Levy-Khintchine formula. 4.3. The moments of Levy processes of finite variation -- 5. Stable distributions and processes. 5.1. Definitions and properties. 5.2. Stable financial models -- 6. Laplace distributions and processes. 6.1. The first Laplace distribution. 6.2. The asymmetrization of the Laplace distribution. 6.3. The Laplace distribution as the limit of hyperbolic distributions -- 7. The time change framework. 7.1. Time changes. 7.2. Subordinated Brownian motions. 7.3. Time-changed Laplace process -- 8. Tail distributions. 8.1. Largest values approach. 8.2. Threshold approach. 8.3. Statistical phenomenon approach. 8.4. Estimation of the shape parameter -- 9. Risk budgets. 9.1. Risk measures. 9.2. Computation of risk budgets -- 10. The psychology of risk -- 10.1. Basic principles of the psychology of risk. 10.2. The measurement of risk aversion. 10.3. Typology of risk aversion -- 11. Monoperiodic portfolio choice. 11.1. The optimization program. 11.2. Optimizing with two moments. 11.3. Optimizing with three moments. 11.4. Optimizing with four moments. 11.5. Other problems -- 12. Dynamic portfolio choice. 12.1. The optimization program. 12.2. Classic approach. 12.3. Optimization in the presence of jumps -- 13. Conclusion.</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">Each financial crisis calls for - by its novelty and the mechanisms it shares with preceding crises - appropriate means to analyze financial risks. In Extreme Financial Risks and Asset Allocation, the authors present in an accessible and timely manner the concepts, methods, and techniques that are essential for an understanding of these risks in an environment where asset prices are subject to sudden, rough, and unpredictable changes. These phenomena, mathematically known as "jumps", play an important role in practice. Their quantitative treatment is generally tricky and is sparsely tackled in similar books. One of the main appeals of this book lies in its approachable and concise presentation of the ad hoc mathematical tools without sacrificing the necessary rigor and precision. This book contains theories and methods which are usually found in highly technical mathematics books or in scattered, often very recent, research articles. It is a remarkable pedagogical work that makes these difficult results accessible to a large readership. 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| id | ZDB-4-EBU-ocn878137028 |
| illustrated | Illustrated |
| indexdate | 2024-07-16T15:04:00Z |
| institution | BVB |
| isbn | 9781783263097 1783263091 9781306496117 130649611X |
| issn | 1756-1604 ; |
| language | English |
| oclc_num | 878137028 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (370 pages) : illustrations |
| psigel | ZDB-4-EBU |
| publishDate | 2014 |
| publishDateSearch | 2014 |
| publishDateSort | 2014 |
| publisher | Imperial College Press, |
| record_format | marc |
| series | Series in quantitative finance ; |
| series2 | Series in quantitative finance, |
| spelling | Le Courtois, Olivier, author. http://id.loc.gov/authorities/names/n2012043362 Extreme financial risks and asset allocation / Olivier Courtois, EM Lyon Business School, France, Christian Walter, Fondation Maison des Sciences de l'Homme, France. London : Imperial College Press, [2014] ©2014 1 online resource (370 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier Series in quantitative finance, 1756-1604 ; volume 5 Includes bibliographical references and index. Online resource; title from PDF title page (ebrary, viewed April 4, 2014). 1. Introduction -- 2. Market framework. 2.1. Studied quantities. 2.2. The question of time -- 3. Statistical description of markets. 3.1. Construction of a representation. 3.2. Normality tests. 3.3. Discontinuity test. 3.4. Continuity test. 3.5. Testing the finiteness of the activity -- 4. Levy processes. 4.1. Definitions and construction. 4.2. The Levy-Khintchine formula. 4.3. The moments of Levy processes of finite variation -- 5. Stable distributions and processes. 5.1. Definitions and properties. 5.2. Stable financial models -- 6. Laplace distributions and processes. 6.1. The first Laplace distribution. 6.2. The asymmetrization of the Laplace distribution. 6.3. The Laplace distribution as the limit of hyperbolic distributions -- 7. The time change framework. 7.1. Time changes. 7.2. Subordinated Brownian motions. 7.3. Time-changed Laplace process -- 8. Tail distributions. 8.1. Largest values approach. 8.2. Threshold approach. 8.3. Statistical phenomenon approach. 8.4. Estimation of the shape parameter -- 9. Risk budgets. 9.1. Risk measures. 9.2. Computation of risk budgets -- 10. The psychology of risk -- 10.1. Basic principles of the psychology of risk. 10.2. The measurement of risk aversion. 10.3. Typology of risk aversion -- 11. Monoperiodic portfolio choice. 11.1. The optimization program. 11.2. Optimizing with two moments. 11.3. Optimizing with three moments. 11.4. Optimizing with four moments. 11.5. Other problems -- 12. Dynamic portfolio choice. 12.1. The optimization program. 12.2. Classic approach. 12.3. Optimization in the presence of jumps -- 13. Conclusion. Each financial crisis calls for - by its novelty and the mechanisms it shares with preceding crises - appropriate means to analyze financial risks. In Extreme Financial Risks and Asset Allocation, the authors present in an accessible and timely manner the concepts, methods, and techniques that are essential for an understanding of these risks in an environment where asset prices are subject to sudden, rough, and unpredictable changes. These phenomena, mathematically known as "jumps", play an important role in practice. Their quantitative treatment is generally tricky and is sparsely tackled in similar books. One of the main appeals of this book lies in its approachable and concise presentation of the ad hoc mathematical tools without sacrificing the necessary rigor and precision. This book contains theories and methods which are usually found in highly technical mathematics books or in scattered, often very recent, research articles. It is a remarkable pedagogical work that makes these difficult results accessible to a large readership. Researchers, Masters and PhD students, and financial engineers alike will find this book highly useful Portfolio management. http://id.loc.gov/authorities/subjects/sh85105080 Investment analysis. http://id.loc.gov/authorities/subjects/sh85067707 Stock price forecasting. http://id.loc.gov/authorities/subjects/sh85128202 Corporations Finance. http://id.loc.gov/authorities/subjects/sh85032938 Business enterprises Finance. http://id.loc.gov/authorities/subjects/sh85018286 Gestion de portefeuille. Analyse financière. Actions (Titres de société) Prix Prévision. BUSINESS & ECONOMICS Finance. bisacsh Corporations Finance fast Business enterprises Finance fast Investment analysis fast Portfolio management fast Stock price forecasting fast Walter, Christian, 1957- author. https://id.oclc.org/worldcat/entity/E39PBJkp9hydVw8XFwqyHBgxjC http://id.loc.gov/authorities/names/n2011024139 has work: Extreme financial risks and asset allocation (Text) https://id.oclc.org/worldcat/entity/E39PCG964YCQ6vWmwCCRXRBVYd https://id.oclc.org/worldcat/ontology/hasWork Print version: Courtois, Olivier Le. Extreme financial risks and asset allocation. London : Imperial College Press, 2014 9781783263080 Series in quantitative finance ; volume 5. http://id.loc.gov/authorities/names/no2009068871 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=704495 Volltext |
| spellingShingle | Le Courtois, Olivier Walter, Christian, 1957- Extreme financial risks and asset allocation / Series in quantitative finance ; 1. Introduction -- 2. Market framework. 2.1. Studied quantities. 2.2. The question of time -- 3. Statistical description of markets. 3.1. Construction of a representation. 3.2. Normality tests. 3.3. Discontinuity test. 3.4. Continuity test. 3.5. Testing the finiteness of the activity -- 4. Levy processes. 4.1. Definitions and construction. 4.2. The Levy-Khintchine formula. 4.3. The moments of Levy processes of finite variation -- 5. Stable distributions and processes. 5.1. Definitions and properties. 5.2. Stable financial models -- 6. Laplace distributions and processes. 6.1. The first Laplace distribution. 6.2. The asymmetrization of the Laplace distribution. 6.3. The Laplace distribution as the limit of hyperbolic distributions -- 7. The time change framework. 7.1. Time changes. 7.2. Subordinated Brownian motions. 7.3. Time-changed Laplace process -- 8. Tail distributions. 8.1. Largest values approach. 8.2. Threshold approach. 8.3. Statistical phenomenon approach. 8.4. Estimation of the shape parameter -- 9. Risk budgets. 9.1. Risk measures. 9.2. Computation of risk budgets -- 10. The psychology of risk -- 10.1. Basic principles of the psychology of risk. 10.2. The measurement of risk aversion. 10.3. Typology of risk aversion -- 11. Monoperiodic portfolio choice. 11.1. The optimization program. 11.2. Optimizing with two moments. 11.3. Optimizing with three moments. 11.4. Optimizing with four moments. 11.5. Other problems -- 12. Dynamic portfolio choice. 12.1. The optimization program. 12.2. Classic approach. 12.3. Optimization in the presence of jumps -- 13. Conclusion. Portfolio management. http://id.loc.gov/authorities/subjects/sh85105080 Investment analysis. http://id.loc.gov/authorities/subjects/sh85067707 Stock price forecasting. http://id.loc.gov/authorities/subjects/sh85128202 Corporations Finance. http://id.loc.gov/authorities/subjects/sh85032938 Business enterprises Finance. http://id.loc.gov/authorities/subjects/sh85018286 Gestion de portefeuille. Analyse financière. Actions (Titres de société) Prix Prévision. BUSINESS & ECONOMICS Finance. bisacsh Corporations Finance fast Business enterprises Finance fast Investment analysis fast Portfolio management fast Stock price forecasting fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85105080 http://id.loc.gov/authorities/subjects/sh85067707 http://id.loc.gov/authorities/subjects/sh85128202 http://id.loc.gov/authorities/subjects/sh85032938 http://id.loc.gov/authorities/subjects/sh85018286 |
| title | Extreme financial risks and asset allocation / |
| title_auth | Extreme financial risks and asset allocation / |
| title_exact_search | Extreme financial risks and asset allocation / |
| title_full | Extreme financial risks and asset allocation / Olivier Courtois, EM Lyon Business School, France, Christian Walter, Fondation Maison des Sciences de l'Homme, France. |
| title_fullStr | Extreme financial risks and asset allocation / Olivier Courtois, EM Lyon Business School, France, Christian Walter, Fondation Maison des Sciences de l'Homme, France. |
| title_full_unstemmed | Extreme financial risks and asset allocation / Olivier Courtois, EM Lyon Business School, France, Christian Walter, Fondation Maison des Sciences de l'Homme, France. |
| title_short | Extreme financial risks and asset allocation / |
| title_sort | extreme financial risks and asset allocation |
| topic | Portfolio management. http://id.loc.gov/authorities/subjects/sh85105080 Investment analysis. http://id.loc.gov/authorities/subjects/sh85067707 Stock price forecasting. http://id.loc.gov/authorities/subjects/sh85128202 Corporations Finance. http://id.loc.gov/authorities/subjects/sh85032938 Business enterprises Finance. http://id.loc.gov/authorities/subjects/sh85018286 Gestion de portefeuille. Analyse financière. Actions (Titres de société) Prix Prévision. BUSINESS & ECONOMICS Finance. bisacsh Corporations Finance fast Business enterprises Finance fast Investment analysis fast Portfolio management fast Stock price forecasting fast |
| topic_facet | Portfolio management. Investment analysis. Stock price forecasting. Corporations Finance. Business enterprises Finance. Gestion de portefeuille. Analyse financière. Actions (Titres de société) Prix Prévision. BUSINESS & ECONOMICS Finance. Corporations Finance Business enterprises Finance Investment analysis Portfolio management Stock price forecasting |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=704495 |
| work_keys_str_mv | AT lecourtoisolivier extremefinancialrisksandassetallocation AT walterchristian extremefinancialrisksandassetallocation |