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Dynamic Asset Allocation with Forwards and Futures
DYNAMIC ASSET ALLOCATION WITH FORWARD AND FUTURES is an advanced text on the theory of forward and futures markets which aims at providing readers with a comprehensive knowledge of how prices are established and evolve over time, what optimal strategies one can expect from the participants, what cha...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
New York, NY :
Springer US : Imprint: Springer,
2005.
|
| Edición: | 1st ed. 2005. |
| Temas: | |
| Acceso en línea: | Texto Completo |
MARC
| LEADER | 00000nam a22000005i 4500 | ||
|---|---|---|---|
| 001 | 978-0-387-24106-7 | ||
| 003 | DE-He213 | ||
| 005 | 20220120013127.0 | ||
| 007 | cr nn 008mamaa | ||
| 008 | 100301s2005 xxu| s |||| 0|eng d | ||
| 020 | |a 9780387241067 |9 978-0-387-24106-7 | ||
| 024 | 7 | |a 10.1007/b104496 |2 doi | |
| 050 | 4 | |a HG1-9999 | |
| 072 | 7 | |a KFF |2 bicssc | |
| 072 | 7 | |a BUS027000 |2 bisacsh | |
| 072 | 7 | |a KFF |2 thema | |
| 082 | 0 | 4 | |a 332 |2 23 |
| 100 | 1 | |a Lioui, Abraham. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 245 | 1 | 0 | |a Dynamic Asset Allocation with Forwards and Futures |h [electronic resource] / |c by Abraham Lioui, Patrice Poncet. |
| 250 | |a 1st ed. 2005. | ||
| 264 | 1 | |a New York, NY : |b Springer US : |b Imprint: Springer, |c 2005. | |
| 300 | |a XVIII, 264 p. |b online resource. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 347 | |a text file |b PDF |2 rda | ||
| 505 | 0 | |a The Basics -- Forward and Futures Markets -- Standard Pricing Results under Deterministic and Stochastic Interest Rates -- Investment and Hedging -- Pure Hedging -- Optimal Dynamic Portfolio Choice in Complete Markets -- Optimal Dynamic Portfolio Choice in Incomplete Markets -- Optimal Currency Risk Hedging -- Optimal Spreading -- Pricing and Hedging under Stochastic Dividend or Convenience Yield -- General Equilibrium Pricing -- Equilibrium Asset Pricing in an Endowment Economy with Non-Redundant Forward or Futures Contracts -- Equilibrium Asset Pricing in a Production Economy with Non-Redundant Forward or Futures Contracts -- General Equilibrium Pricing of Futures and Forward Contracts Written on the CPI. | |
| 520 | |a DYNAMIC ASSET ALLOCATION WITH FORWARD AND FUTURES is an advanced text on the theory of forward and futures markets which aims at providing readers with a comprehensive knowledge of how prices are established and evolve over time, what optimal strategies one can expect from the participants, what characterizes such markets, and what major theoretical and practical differences distinguish futures from forward contracts. The book proposes an approach of these markets from the perspective of dynamic asset allocation and asset pricing theory within an inter-temporal framework. The main ingredients that are used are the assumed absence of frictions and arbitrage opportunities in financial and real markets, the uniqueness of the economic general equilibrium, when such an equilibrium is required and the tools of continuous time finance, namely martingale theory and stochastic dynamic programming. The scope of DYNAMIC ASSET ALLOCATION WITH FORWARD AND FUTURES is essentially theoretical, with emphasis on economic meaning and financial interpretation. Regarding investment and/or hedging, focus is on optimal strategies rather than on actual practice. Simulations, however, are performed when important insights can be delivered as to the practical relevance of some theoretical results. Also, optimal strategies using futures are shown to differ markedly from those using forwards. The following issues are examined: pure hedging, investment and hedging in complete or incomplete markets, currency risk, optimal spreading, presence of stochastic dividend or convenience yields, pricing of non-redundant futures or forwards by means of general equilibrium analysis, and revisiting of existing Capital Asset Pricing Models. | ||
| 650 | 0 | |a Finance. | |
| 650 | 0 | |a Macroeconomics. | |
| 650 | 0 | |a Econometrics. | |
| 650 | 1 | 4 | |a Financial Economics. |
| 650 | 2 | 4 | |a Macroeconomics and Monetary Economics. |
| 650 | 2 | 4 | |a Quantitative Economics. |
| 700 | 1 | |a Poncet, Patrice. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 710 | 2 | |a SpringerLink (Online service) | |
| 773 | 0 | |t Springer Nature eBook | |
| 776 | 0 | 8 | |i Printed edition: |z 9781441936899 |
| 776 | 0 | 8 | |i Printed edition: |z 9780387504292 |
| 776 | 0 | 8 | |i Printed edition: |z 9780387241074 |
| 856 | 4 | 0 | |u https://doi.uam.elogim.com/10.1007/b104496 |z Texto Completo |
| 912 | |a ZDB-2-SBE | ||
| 912 | |a ZDB-2-SXEF | ||
| 950 | |a Business and Economics (SpringerNature-11643) | ||
| 950 | |a Economics and Finance (R0) (SpringerNature-43720) | ||