Postmodern portfolio theory : navigating abnormal markets and investor behavior / James Ming Chen.
Chen, Jim, 1966- author.
2016
HG4529.5
Available Online

Linked e-resources

Linked Resource Online Access
Concurrent users Unlimited
Authorized users Authorized users
Document Delivery Supplied Can lend chapters, not whole ebooks

Details

Title Postmodern portfolio theory : navigating abnormal markets and investor behavior / James Ming Chen.
Author Chen, Jim, 1966- author.
ISBN 9781137544643 (electronic book)
1137544643 (electronic book)
9781137544636
Published New York : Palgrave Macmillan/Springer Nature, [2016]
Copyright ©2016
Language English
Description 1 online resource.
Call Number HG4529.5
Dewey Decimal Classification 332.60151
Summary This survey of portfolio theory, from its modern origins through more sophisticated, ℓ́ℓpostmodernℓ́ℓ incarnations, evaluates portfolio risk according to the first four moments of any statistical distribution: mean, variance, skewness, and excess kurtosis. In pursuit of financial models that more accurately describe abnormal markets and investor psychology, this book bifurcates beta on either side of mean returns. It then evaluates this traditional risk measure according to its relative volatility and correlation components. After specifying a four-moment capital asset pricing model, this book devotes special attention to measures of market risk in global banking regulation. Despite the deficiencies of modern portfolio theory, contemporary finance continues to rest on mean-variance optimization and the two-moment capital asset pricing model. The term postmodern portfolio theory captures many of the advances in financial learning since the original articulation of modern portfolio theory. A comprehensive approach to financial risk management must address all aspects of portfolio theory, from the beautiful symmetries of modern portfolio theory to the disturbing behavioral insights and the vastly expanded mathematical arsenal of the postmodern critique. Mastery of postmodern portfolio theoryℓ́ℓs quantitative tools and behavioral insights holds the key to the efficient frontier of risk management.
Bibliography, etc. Note Includes bibliographical references and index.
Access Note Access limited to authorized users.
Source of Description Online resource; title from PDF title page (viewed August 30, 2016).
Series Quantitative perspectives on behavioral economics and finance.
Linked Resources Online Access
Record Appears in Online Resources > Ebooks
All Resources
CHAPTER 1
MODERN PORTFOLIO THEORY
CHAPTER 2
POSTMODERN PORTFOLIO THEORY
CHAPTER 3
SEDUCED BY SYMMETRY, SMARTER BY HALF
CHAPTER 4
THE FULL FINANCIAL TOOLKIT OF PARTIAL SECOND MOMENTS
CHAPTER 5
SORTINO, OMEGA, KAPPA: THE ALGEBRA OF FINANCIAL ASYMMETRY
CHAPTER 6
SINKING, FAST AND SLOW: RELATIVE VOLATILITY VERSUS CORRELATION TIGHTENING
CHAPTER 7
TIME-VARYING BETA: AUTOCORRELATION AND AUTOREGRESSIVE TIME SERIES
CHAPTER 8
ASYMMETRIC VOLATILITY AND VOLATILITY SPILLOVERS
CHAPTER 9
A FOUR-MOMENT CAPITAL ASSET PRICING MODEL
CHAPTER 10
THE PRACTICAL IMPLICATIONS OF A SPATIALLY BIFURCATED FOUR-MOMENT CAPITAL ASSET PRICING MODEL
CHAPTER 11
GOING TO EXTREMES: LEPTOKURTOSIS AS AN EPISTEMIC THREAT
CHAPTER 12
PARAMETRIC VALUE-AT-RISK (VAR) ANALYSIS
CHAPTER 13
PARAMETRIC VAR ACCORDING TO STUDENT'S T-DISTRIBUTION
CHAPTER 14
COMPARING STUDENT'S T-DISTRIBUTION WITH THE LOGISTIC DISTRIBUTION CHAPTER 15
EXPECTED SHORTFALL AS A RESPONSE TO MODEL RISK
CHAPTER 16
LATENT PERILS: STRESSED VAR, ELICITABILITY, AND SYSTEMIC RISK
CONCLUSION: FINANCE AS A ROMANCE OF MANY MOMENTS.

Browse Subjects

Show more subjects...

Statistics

from
to
Export