Postmodern Portfolio Theory by James Ming Chen

Full Title: Postmodern Portfolio Theory: Navigating Abnormal Markets And Investor Behavior
Author/Editor(s): James Ming Chen
ISBN: 1137544643, 9781137544643
Publisher: Springer
Published/Copyright Year: 2016
Language: English
Physical Description: online resource included,
Series: Quantitative Perspectives On Behavioral Economics And Finance
Number of pages: 339 (XX, 339 pages 9 Illustrationsus., 8 Illustrationsus. in color)
Categories:
Economic Theory
Macroeconomics
Economics
Economic Theory/Quantitative Economics/Mathematical Methods
Macroeconomics/Monetary Economics//Financial Economics


Content:
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.
This survey of portfolio theory, from its modern origins through more sophisticated, “postmodern” 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 theory’s quantitative tools and behavioral insights holds the key to the efficient frontier of risk management.

Electronic Resources:
http://dx.doi.org/10.1057/978-1-137-54464-3

ISBNPlus ID: SPR.VC1.19439-11-6607642
Form: Nonfiction
LC Call No: HB1-846.8
Dewey Decimal: 330.1
Released Date: 20160726

Download BiBTeX of this book (.bib)
@book{isbnplus9781137544643,
 title={Postmodern Portfolio Theory: Navigating Abnormal Markets And Investor Behavior},
 author={James Ming Chen},
 isbn={9781137544643},
 series={Quantitative Perspectives On Behavioral Economics And Finance},
 url={http://isbnplus.org/9781137544643},
 year={2016},
 publisher={Springer}
}
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%0 Book
%T Postmodern Portfolio Theory: Navigating Abnormal Markets And Investor Behavior
%A James Ming Chen
%@ 9781137544643
%U http://isbnplus.org/9781137544643
%D 2016
%I Springer
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TY  - BOOK
T1  - Postmodern Portfolio Theory: Navigating Abnormal Markets And Investor Behavior
A1  - James Ming Chen
SN  - 9781137544643
T3  - Quantitative Perspectives On Behavioral Economics And Finance
UR  - http://isbnplus.org/9781137544643
Y1  - 2016
PB  - Springer
ER  - 
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APA Style:
Chen, J.M. (2016). Postmodern Portfolio Theory: Navigating Abnormal Markets And Investor Behavior. : Springer.

MLA Style:
Chen, James Ming. Postmodern Portfolio Theory: Navigating Abnormal Markets And Investor Behavior. : Springer, 2016. Print.

Chicago Style:
Chen, James Ming. Postmodern Portfolio Theory: Navigating Abnormal Markets And Investor Behavior. : Springer, 2016.