While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models.
Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets.
This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents.

Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.

虽然主流金融理论和应用假设资产收益率是正态分布的，个人偏好是二次的，但压倒性的经验证据表明并非如此。事实上，大多数资产回报率呈现“厚尾”分布，投资者表现出不对称偏好。这些实证结果导致了一个新的研究领域的发展，致力于在投资组合理论和资产定价模型中引入高阶矩。
多时刻资产定价是金融学中一种革命性的时间序列建模方法，它可以产生不同程度的长期记忆。它允许风险和风险价格随时间而变化，从而实现对长期资产的准确估价。
这本书提出了在多时刻资产配置和定价模型的艺术状态，并提供了一个单一的卷，在一个统一的框架理论成果和应用以前分散在整个金融文献的许多新的发展。本综合卷涵盖的主题包括：四时刻个人风险偏好，多时刻有效前沿的数学，一致的不对称风险度量，高阶矩下的对冲基金资产配置，具有同质和异质代理的时变（co）矩和多矩资产定价模型。
由著名学者撰写的多时刻资产配置和定价模型为探索这一新研究领域的最新发现提供了独特的机会。