Postmodern portfolio theory : navigating abnormal markets and investor behavior / James Ming Chen.
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 ac...
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| Format: | Ebook |
| Language: | English |
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New York :
Palgrave Macmillan/Springer Nature,
[2016]
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| Series: | Quantitative perspectives on behavioral economics and finance.
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| Subjects: | |
| Online Access: | Springer eBooks |
| 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. |
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| Physical Description: | 1 online resource. |
| Format: | Mode of access: World Wide Web. |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 1137544643 9781137544643 |