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Dynamic asset allocation with forwards and futures

Dynamic asset allocation with forwards and futures

자료유형
단행본
개인저자
Lioui, Abraham. Poncet, Patrice.
서명 / 저자사항
Dynamic asset allocation with forwards and futures / by Abraham Lioui and Patrice Poncet.
발행사항
New York :   Springer ,   c2005.  
형태사항
xvii, 263 p. : ill. ; 25 cm.
ISBN
0387241078
서지주기
Includes bibliographical references (p. 252-260) and index.
일반주제명
Capital assets pricing model. Hedging (Finance) Equilibrium (Economics)
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090 ▼a 332.64524 ▼b L763d
100 1 ▼a Lioui, Abraham.
245 1 0 ▼a Dynamic asset allocation with forwards and futures / ▼c by Abraham Lioui and Patrice Poncet.
260 ▼a New York : ▼b Springer , ▼c c2005.
300 ▼a xvii, 263 p. : ▼b ill. ; ▼c 25 cm.
504 ▼a Includes bibliographical references (p. 252-260) and index.
650 0 ▼a Capital assets pricing model.
650 0 ▼a Hedging (Finance)
650 0 ▼a Equilibrium (Economics)
700 1 ▼a Poncet, Patrice.

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 세종학술정보원/사회과학실/ 청구기호 332.64524 L763d 등록번호 151205367 도서상태 대출가능 반납예정일 예약 서비스 C

컨텐츠정보

목차

Preface.- Acknowledgements.- Notations.- Part I: The Basics.- Forward and Futures Markets.- Standard Pricing Results Under Deterministic and Stochastic Interest Rates.- Part II: 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.- Part III: 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.- References.- Subject Index.


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