25.06.2013 Views

statistique, théorie et gestion de portefeuille - Docs at ISFA

statistique, théorie et gestion de portefeuille - Docs at ISFA

statistique, théorie et gestion de portefeuille - Docs at ISFA

SHOW MORE
SHOW LESS

You also want an ePaper? Increase the reach of your titles

YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.

Harvey, C.R. and A. Siddique, 2000, Conditional skewness in ass<strong>et</strong> pricing tests, Journal of Finance 55,<br />

1263-1295.<br />

Hill, B.M., 1975, A Simple General Approach to Inference about the Tail of a Distribution, Annals of<br />

st<strong>at</strong>istics, 3(5), 1163-1174.<br />

Hwang, S. and S. S<strong>at</strong>chell, 1999, Mo<strong>de</strong>lling emerging mark<strong>et</strong> risk premia using higher moments, Intern<strong>at</strong>ional<br />

Journal of Finance and Economics 4, 271-296.<br />

Jorion, P., 1997, Value-<strong>at</strong>-Risk: The New Benchmark for Controlling Deriv<strong>at</strong>ives Risk (Irwin Publishing,<br />

Chicago, IL).<br />

Jurcenko, E. and B. Maill<strong>et</strong>, 2002, The four-moment capital ass<strong>et</strong> pricing mo<strong>de</strong>l: some basic results, Working<br />

Paper.<br />

Karlen, D., 1998, Using projection and correl<strong>at</strong>ion to approxim<strong>at</strong>e probability distributions, Computer in<br />

Physics 12, 380-384.<br />

Krauss, A. and R. Litzenberger, 1976, Skewness preference and the valu<strong>at</strong>ion of risk ass<strong>et</strong>s, Journal of<br />

Finance 31, 1085-1099.<br />

Laherrère, J. and D. Sorn<strong>et</strong>te, 1998, Str<strong>et</strong>ched exponential distributions in n<strong>at</strong>ure and economy : ”f<strong>at</strong> tails”<br />

with characteristic scales, European Physical Journal B 2, 525-539.<br />

Lim, K.G., 1989, A new test for the three-moment capital ass<strong>et</strong> pricing mo<strong>de</strong>l, Journal of Financial and<br />

Quantit<strong>at</strong>ive Analysis 24, 205-216.<br />

Lindskog, F., 2000, Mo<strong>de</strong>lling Depen<strong>de</strong>nce with Copulas,<br />

http : //www.risklab.ch/P apers.html#MT Lindskog<br />

Lintner, J. 1975, The valu<strong>at</strong>ion of risk ass<strong>et</strong>s and the selection of risky investments in stock portfolios and<br />

capital budg<strong>et</strong>s. Review of Economics and St<strong>at</strong>istics 13, 13-37.<br />

Litterman, R. and K. Winkelmann, 1998, Estim<strong>at</strong>ing covariance m<strong>at</strong>rices (Risk Management Series, Goldman<br />

Sachs).<br />

Lux, T., 1996, The stable Par<strong>et</strong>ian hypothesis and the frequency of large r<strong>et</strong>urns: an examin<strong>at</strong>ion of major<br />

German stocks, Applied Financial Economics 6, 463-475.<br />

Malevergne, Y. and D. Sorn<strong>et</strong>te, 2001, Testing the Gaussian copula hypothesis for financial ass<strong>et</strong>s <strong>de</strong>pen<strong>de</strong>nces.<br />

http : //papers.ssrn.com/sol3/papers.cfm?abstract id = 291140<br />

Markovitz, H., 1959, Portfolio selection : Efficient diversific<strong>at</strong>ion of investments (John Wiley and Sons,<br />

New York).<br />

Merton, R.C., 1990, Continuous-time finance, (Blackwell, Cambridge).<br />

Mossin, J., 1966, Equilibrium in a capital mark<strong>et</strong>, Econom<strong>et</strong>rica 34, 768-783.<br />

Muzy, J.-F., D. Sorn<strong>et</strong>te, J. Delour and A. Arneodo, 2001, Multifractal r<strong>et</strong>urns and Hierarchical Portfolio<br />

Theory, Quantit<strong>at</strong>ive Finance 1 (1), 131-148.<br />

Nelsen, R.B. 1998, An Introduction to Copulas. Lectures Notes in st<strong>at</strong>istic, 139, Springer Verlag, New York.<br />

Pagan, A., 1996, The Econom<strong>et</strong>rics of Financial Mark<strong>et</strong>s, Journal of Empirical Finance, 3, 15 - 102.<br />

41<br />

465

Hooray! Your file is uploaded and ready to be published.

Saved successfully!

Ooh no, something went wrong!