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.

While mainstream financial theories and applications assume thatasset returns are normally distributed and individual preferencesare quadratic, the overwhelming empirical evidence shows otherwise.Indeed, most of the asset returns exhibit "fat-tails"distributions and investors exhibit asymmetric preferences. Theseempirical findings lead to the development of a new area ofresearch dedicated to the introduction of higher order moments inportfolio theory and asset pricing models.Multi-moment asset pricing is a revolutionary new way ofmodeling time series in finance which allows various degrees oflong-term memory to be generated. It allows risk and prices of riskto vary through time enabling the accurate valuation of long-livedassets.This book presents the state-of-the art in multi-moment assetallocation and pricing models and provides many new developments ina single volume, collecting in a unified framework theoreticalresults and applications previously scattered throughout thefinancial literature. The topics covered in this comprehensivevolume include: four-moment individual risk preferencesmathematics of the multi-moment efficient frontier, coherentasymmetric risks measures, hedge funds asset allocation underhigher moments, time-varying specifications of (co)moments andmulti-moment asset pricing models with homogeneous andheterogeneous agents.Written by leading academics, Multi-moment Asset Allocationand Pricing Models offers a unique opportunity to explore thelatest findings in this new field of research.

About the Contributors.Preface.1. Theoretical Foundations of Asset Allocations and PricingModels with Higher-order Moments (Emmanuel Jurczenko and BertrandMaillet).2. On certain Geometric Aspects of Portfolio Optimisation withHigher Moments (Gustavo Athayde and Renato Flores).3. Hedge Funds portfolio Selection with Higher-order Moments: ANon-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 NonGaussian Universes (François Desmoulins-Lebeault).6. The Four-moment Capital Asset Pricing Model: between AssetPricing and Asset Allocation (Emmanuel Jurczenko and BertrandMaillet).7. Multi-Moments Method For Portfolio Management: GeneralizedCapital Asset Pricing Model in Homogeneous and HeterogeneousMarkets (Yannick Malevergne and Didier Sornette).8. Modeling the Dynamics of Conditional Dependency BetweenFinancial Series (Eric Jondeau and Michael Rockinger).9. A Test of the Homogeneity of Asset Pricing Models (GiovanniBarone-Adesi, Patrick Gagliardini and Giovanni Urga).Index.