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Postmodern portfolio theory[electronic resource] :navigating abnormal markets and investor behavior /

紀錄類型:	書目-電子資源 : Monograph/item
杜威分類號:	332.6
書名/作者:	Postmodern portfolio theory : navigating abnormal markets and investor behavior // by James Ming Chen.
作者:	Chen, James Ming.
出版者:	New York : : Palgrave Macmillan US :, 2016.
面頁冊數:	xx, 339 p. : : ill., digital ;; 24 cm.
Contained By:	Springer eBooks
標題:	Portfolio management.
標題:	Investments.
標題:	Economics.
標題:	Economic Theory/Quantitative Economics/Mathematical Methods.
ISBN:	9781137544643
ISBN:	9781137544636
摘要、提要註:	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.
電子資源:	http://dx.doi.org/10.1057/978-1-137-54464-3

Postmodern portfolio theory[electronic resource] :navigating abnormal markets and investor behavior /
Chen, James Ming.

Postmodern portfolio theorynavigating abnormal markets and investor behavior /[electronic resource] :by James Ming Chen. - New York :Palgrave Macmillan US :2016. - xx, 339 p. :ill., digital ;24 cm. - Quantitative perspectives on behavioral economics and finance. - Quantitative perspectives on behavioral economics and finance..

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.

ISBN: 9781137544643

Standard No.: 10.1057/978-1-137-54464-3doiSubjects--Topical Terms:

177532
Portfolio management.

LC Class. No.: HG4529.5 / .C44 2016

Dewey Class. No.: 332.6

Postmodern portfolio theory[electronic resource] :navigating abnormal markets and investor behavior /
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