{"product_id":"asymmetric-dependence-in-finance-9781119289012","title":"Asymmetric Dependence in Finance","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003e\u003cb\u003eAvoid downturn vulnerability by managing correlation dependency\u003c\/b\u003e \u003cp\u003e\u003ci\u003eAsymmetric Dependence in Finance\u003c\/i\u003e examines the risks and benefits of asset correlation, and provides effective strategies for more profitable portfolio management. Beginning with a thorough explanation of the extent and nature of asymmetric dependence in the financial markets, this book delves into the practical measures fund managers and investors can implement to boost fund performance. From managing asymmetric dependence using Copulas, to mitigating asymmetric dependence risk in real estate, credit and CTA markets, the discussion presents a coherent survey of the state-of-the-art tools available for measuring and managing this difficult but critical issue. \u003c\/p\u003e\u003cp\u003eMany funds suffered significant losses during recent downturns, despite having a seemingly well-diversified portfolio. Empirical evidence shows that the relation between assets is much richer than previously thought, and correlation between returns \u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003c\/p\u003e\u003cp\u003eAbout the Editors ix\u003c\/p\u003e \u003cp\u003eIntroduction xi\u003c\/p\u003e \u003cp\u003eCHAPTER 1 Disappointment Aversion, Asset Pricing and Measuring Asymmetric Dependence 1\u003cbr\u003e\u003ci\u003eJamie Alcock and Anthony Hatherley\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 2 The Size of the CTA Market and the Role of Asymmetric Dependence 17\u003cbr\u003e\u003ci\u003eStephen Satchell and Oliver Williams\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 3 The Price of Asymmetric Dependence 47\u003cbr\u003e\u003ci\u003eJamie Alcock and Anthony Hatherley\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 4 Misspecification in an Asymmetrically Dependent World: Implications for Volatility Forecasting 75\u003cbr\u003e\u003ci\u003eSalman Ahmed, Nandini Srivastava and Stephen Satchell\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 5 Hedging Asymmetric Dependence 110\u003cbr\u003e\u003ci\u003eAnthony Hatherley\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 6 Orthant Probability-Based Correlation 133\u003cbr\u003e\u003ci\u003eMark Lundin and Stephen Satchell\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 7 Risk Measures Based on Multivariate Skew Normal and Skew t -Mixture Models 152\u003cbr\u003e\u003ci\u003eSharon X. Lee and Geoffrey J. McLachlan\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 8 Estimating Asymmetric Dynamic Distributions in High Dimensions 169\u003cbr\u003e\u003ci\u003eStanislav Anatolyev, Renat Khabibullin and Artem Prokhorov\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 9 Asymmetric Dependence, Persistence and Firm-Level Stock Return Predictability 198\u003cbr\u003e\u003ci\u003eJamie Alcock and Petra Andrlikova\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 10 The Most Entropic Canonical Copula with an Application to ‘Style’ Investment 221\u003cbr\u003e\u003ci\u003eBa Chu and Stephen Satchell\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 11 Canonical Vine Copulas in the Context of Modern Portfolio Management: Are They Worth It? 263\u003cbr\u003e\u003ci\u003eRand Kwong Yew Low, Jamie Alcock, Robert Faff and Timothy Brailsford\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eIndex 291\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":49407028920663,"sku":"9781119289012","price":95.35,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9781119289012.jpg?v=1730497928","url":"https:\/\/bookcurl.com\/products\/asymmetric-dependence-in-finance-9781119289012","provider":"Book Curl","version":"1.0","type":"link"}