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Postmodern Portfolio Theory

Navigating Abnormal Markets and Investor Behavior
BuchGebunden
339 Seiten
Englisch
Springer Palgrave Macmillanerschienen am10.08.20161st ed. 2016
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.mehr
Verfügbare Formate
BuchGebunden
EUR139,09
E-BookPDF1 - PDF WatermarkE-Book
EUR128,39

Produkt

KlappentextThis 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.
ZusammenfassungOutlines a comprehensive approach to financial risk managementReconciles mathematical finance with abnormal markets and irrational investorsAssesses behavioral challenges to conventional accounts of finance
Details
ISBN/GTIN978-1-137-54463-6
ProduktartBuch
EinbandartGebunden
Erscheinungsjahr2016
Erscheinungsdatum10.08.2016
Auflage1st ed. 2016
ReiheQuantitative Perspectives on Behavioral Economics and Finance
Seiten339 Seiten
SpracheEnglisch
Gewicht600 g
IllustrationenXX, 339 p. 9 illus., 8 illus. in color.
Artikel-Nr.37346792
Rubriken
GenreWirtschaft

Inhalt/Kritik

Inhaltsverzeichnis
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 DISTRIBUTIONCHAPTER 15 - EXPECTED SHORTFALL AS A RESPONSE TOMODEL RISK.- CHAPTER 16 -LATENT PERILS: STRESSED VAR, ELICITABILITY, AND SYSTEMIC RISK.- CONCLUSION: FINANCE AS A ROMANCE OF MANY MOMENTS.mehr

Autor

James Ming Chen holds the Justin Smith Morrill Chair in Law at Michigan State University, USA. He teaches, lectures, and writes widely on law, economics, and regulation. His books, Disaster Law and Policy and Postmodern Portfolio Theory, cover a broad range of issues concerning extreme events and risk management, from natural to financial disasters. He is of counsel to the Technology Law Group of Washington, D.C.; a public member of the Administrative Conference of the United States; and an elected member of the American Law Institute. A magna cum laude graduate of Harvard Law School and a former editor of the Harvard Law Review, Chen also served as a clerk to Justice Clarence Thomas of the Supreme Court of the United States.