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Dynamic asset allocation with forwards and futures

Dynamic asset allocation with forwards and futures

Material type
단행본
Personal Author
Lioui, Abraham. Poncet, Patrice.
Title Statement
Dynamic asset allocation with forwards and futures / by Abraham Lioui and Patrice Poncet.
Publication, Distribution, etc
New York :   Springer ,   c2005.  
Physical Medium
xvii, 263 p. : ill. ; 25 cm.
ISBN
0387241078
Bibliography, Etc. Note
Includes bibliographical references (p. 252-260) and index.
Subject Added Entry-Topical Term
Capital assets pricing model. Hedging (Finance) Equilibrium (Economics)
000 00829camuu22002534a 4500
001 000045254426
005 20060517173313
008 041119s2005 nyua b 001 0 eng
010 ▼a 2004065099
020 ▼a 0387241078
040 ▼a DLC ▼c DLC ▼d DLC ▼d 244002
042 ▼a pcc
082 0 0 ▼a 332.64/524 ▼2 22
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.

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Sejong Academic Information Center/Social Science/ Call Number 332.64524 L763d Accession No. 151205367 Availability Available Due Date Make a Reservation Service C

Contents information

Table of Contents

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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