We describe a statistical technique, which we call Moment Component Analysis (MCA), that
extends principal component analysis (PCA) to higher co-moments such as co-skewness …

This chapter proposes a nonparametric methodology to determine the set of Pareto‐optimal
portfolios in the four‐moment space, with an application to hedge fund asset allocation. It …

This chapter generalises the traditional capital asset pricing model (CAPM) relation in the
four‐moment framework, with or without a risk‐less asset. The validity of the Sharpe‐Lintner‐…

Risk-based portfolio strategies-such as Minimum Variance, Maximum Diversification,
Equally-Weighted and Risk Parity, to name the most famous-have become increasingly popular in …

… Emmanuel Jurczenko and Bertrand Maillet … Library of Congress Cataloging in Publication
Data Multi-moment asset allocation and pricing models/edited by Emmanuel Jurczenko and …

… © ISTE Ltd 2020 The rights of Emmanuel Jurczenko to be identified as the author of this
work have been asserted by him in accordance with the Copyright, Designs and Patents Act …

Several authors have proposed series expansion methods to price options when the risk-neutral
density is asymmetric and leptokurtic. Among these, Corrado and Su ( 1996 ) provide …

This book is a compilation of recent articles written by leading academics and practitioners
in the area of risk-based and factor investing (RBFI). The articles are intended to introduce …

This chapter presents the theoretical foundations of multi‐moment asset allocation and
pricing models in an expected utility framework. The definition of a decision's criterion under …

We construct a novel dataset to explore the returns of private equity in international markets (ie,
other than North America). We investigate fund performance and persistence and …