書籍詳細

書籍詳細




洋書

Asymetric Dependence in Finance : Diversification, Correlation and Portfolio Management in Market Downturns

(Wiley Finance)

Alcock, Jamie (EDT)   Satchell, Stephen (EDT)

Wiley 2018/04
300 p. 25 cm   
装丁: Hrd    装丁について
テキストの言語: ENG    出版国: US
ISBN: 9781119289012
KCN: 1025101051
紀伊國屋書店 選定タイトル
標準価格:¥19,734(本体 ¥17,940)   
Web販売価格あり    Web販売価格について

為替レートの変動や出版社の都合によって、価格が変動する場合がございます。

この商品は提携先の海外出版社在庫からの取り寄せとなります。品切れの場合、恐れ入りますがご了承下さい。

納期について
DDC: 332
KDC: E210 金融理論
ご購入を希望される方は、
下のリンクをクリックしてください。

Full Description

Avoid downturn vulnerability by managing correlation dependency Asymmetric Dependence in Finance examines the risks and benefits of asset correlation, and provides effective strategies for more profitable portfolio management.
Detailed information

Table of Contents

About the Editors ix Introduction xi CHAPTER 1 Disappointment Aversion, Asset Pricing and Measuring Asymmetric Dependence 1 Jamie Alcock and Anthony Hatherley CHAPTER 2 The Size of the CTA Market and the Role of Asymmetric Dependence 17 Stephen Satchell and Oliver Williams CHAPTER 3 The Price of Asymmetric Dependence 47 Jamie Alcock and Anthony Hatherley CHAPTER 4 Misspecification in an Asymmetrically Dependent World: Implications for Volatility Forecasting 75 Salman Ahmed, Nandini Srivastava and Stephen Satchell CHAPTER 5 Hedging Asymmetric Dependence 110 Anthony Hatherley CHAPTER 6 Orthant Probability-Based Correlation 133 Mark Lundin and Stephen Satchell CHAPTER 7 Risk Measures Based on Multivariate Skew Normal and Skew t -Mixture Models 152 Sharon X. Lee and Geoffrey J. McLachlan CHAPTER 8 Estimating Asymmetric Dynamic Distributions in High Dimensions 169 Stanislav Anatolyev, Renat Khabibullin and Artem Prokhorov CHAPTER 9 Asymmetric Dependence, Persistence and Firm-Level Stock Return Predictability 198 Jamie Alcock and Petra Andrlikova CHAPTER 10 The Most Entropic Canonical Copula with an Application to 'Style' Investment 221 Ba Chu and Stephen Satchell CHAPTER 11 Canonical Vine Copulas in the Context of Modern Portfolio Management: Are They Worth It? 263 Rand Kwong Yew Low, Jamie Alcock, Robert Faff and Timothy Brailsford Index 291