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Dynamic asset allocation with forwards and futures.
Appartenance & droits
LIOUI Abraham ; PONCET Patrice
2005
263
0387241078
134.77-LIOUI
PORTFOLIO MANAGEMENT ; CAPITAL ASSETS PRICING MODEL ; CAPITAL MARKET ; INVESTMENT ; SPECULATION ; DERIVATIVE MARKET ; INTEREST RATE ; PROBABILITIES ; ECONOMIC ENVIRONMENT ; ASSETS ALLOCATION
| No. | Call n° | Bar code | Commentary | |
|---|---|---|---|---|
| 1 | [available] |
Comment :
ISBN 13 : 978-0387241074
Contents : Contents
Preface
Acknowledgements
Notations
Part I: The Basics
Chapter 1 - Forward and Futures Markets
Chapter 2 - Standard Pricing Results Under Deterministic and Stochastic Interest Rates
Part II: Investment and Hedging
Chapter 3 - Pure Hedging
Chapter 4 - Optimal Dynamic Portfolio Choice in Complete Markets
Chapter 5 - Optimal Dynamic Portfolio Choice in Incomplete Markets
Chapter 6 - Optimal Currency Risk Hedging
Chapter 7 - Optimal Spreading
Chapter 8 - Pricing and Hedging under Stochastic Dividend or Convenience Yield
Part III: General Equilibrium Pricing
Chapter 9 - Equilibrium Asset Pricing in an Endowment Economy with Non-Redundant Forward or Futures Contracts
Chapter 10 - Equilibrium Asset Pricing in a Production Economy with Non-Redundant Forward or Futures Contracts.
Chapter 11 - General Equilibrium Pricing of Futures and Forward Contracts written on the CPI
References
Subject Index
Language : English
Location : Nice Library
Material : Paper
Statement : Présent
Owner : Bibliothèque