Skip to main content
main-content

Über dieses Buch

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.

Inhaltsverzeichnis

Frontmatter

2016 | OriginalPaper | Buchkapitel

Chapter 1. Finance as a Pattern of Timeless Moments

James Ming Chen

Perpetual Possibility in a World of Speculation: Portfolio Theory in Its Modern and Postmodern Incarnations

Frontmatter

2016 | OriginalPaper | Buchkapitel

Chapter 2. Modern Portfolio Theory

James Ming Chen

2016 | OriginalPaper | Buchkapitel

Chapter 3. Postmodern Portfolio Theory

James Ming Chen

Bifurcating Beta in Financial and Behavioral Space

Frontmatter

2016 | OriginalPaper | Buchkapitel

Chapter 4. Seduced by Symmetry, Smarter by Half

James Ming Chen

2016 | OriginalPaper | Buchkapitel

Chapter 5. The Full Financial Toolkit of Partial Second Moments

James Ming Chen

2016 | OriginalPaper | Buchkapitel

Chapter 6. Sortino, Omega, Kappa: The Algebra of Financial Asymmetry

James Ming Chen

2016 | OriginalPaper | Buchkapitel

Chapter 7. Sinking, Fast and Slow: Relative Volatility Versus Correlation Tightening

James Ming Chen

Τέσσερα, Τέσσερα: Four Dimensions, Four Moments

Frontmatter

2016 | OriginalPaper | Buchkapitel

Chapter 8. Time-Varying Beta: Autocorrelation and Autoregressive Time Series

James Ming Chen

2016 | OriginalPaper | Buchkapitel

Chapter 9. Asymmetric Volatility and Volatility Spillovers

James Ming Chen

2016 | OriginalPaper | Buchkapitel

Chapter 10. A Four-Moment Capital Asset Pricing Model

James Ming Chen

2016 | OriginalPaper | Buchkapitel

Chapter 11. The Practical Implications of a Spatially Bifurcated Four-Moment Capital Asset Pricing Model

James Ming Chen

Managing Kurtosis: Measures of Market Risk in Global Banking Regulation

Frontmatter

2016 | OriginalPaper | Buchkapitel

Chapter 12. Going to Extremes: Leptokurtosis as an Epistemic Threat

James Ming Chen

2016 | OriginalPaper | Buchkapitel

Chapter 13. Parametric VaR Analysis

James Ming Chen

2016 | OriginalPaper | Buchkapitel

Chapter 14. Parametric VaR According to Student’s t-Distribution

James Ming Chen

2016 | OriginalPaper | Buchkapitel

Chapter 15. Comparing Student’s t-Distribution with the Logistic Distribution

James Ming Chen

2016 | OriginalPaper | Buchkapitel

Chapter 16. Expected Shortfall as a Response to Model Risk

James Ming Chen

2016 | OriginalPaper | Buchkapitel

Chapter 17. Latent Perils: Stressed VaR, Elicitability, and Systemic Effects

James Ming Chen

2016 | OriginalPaper | Buchkapitel

Chapter 18. Finance as a Romance of Many Moments and Plural Views

James Ming Chen

Backmatter

Weitere Informationen

Premium Partner

Stellmach & BröckersBBL | Bernsau BrockdorffMaturus Finance GmbHPlutahww hermann wienberg wilhelm

BranchenIndex Online

Die B2B-Firmensuche für Industrie und Wirtschaft: Kostenfrei in Firmenprofilen nach Lieferanten, Herstellern, Dienstleistern und Händlern recherchieren.

Whitepaper

- ANZEIGE -

Zwei Fallstudien zu begleitetem Wissenstransfer im Outsourcing: Implikationen für die Praxis

Dieses ausgewählte Buchkapitel beschreibt ausführlich einen erfolgreichen und einen gescheiterten Wissenstransfer. In beiden Fällen sollte ein Softwareingenieur in einen neuen, komplexen Tätigkeitsbereich eingearbeitet werden. Erfahren Sie, wie die Wissensempfänger Handlungsfähigkeit erworben haben, welche Herausforderungen dabei auftraten und wie die Begleitung des Wissenstransfers half, mit diesen Herausforderungen umzugehen. Profitieren Sie von einer Reihe von praktischen Empfehlungen für Wissenstransfer in komplexen Tätigkeitsbereichen. Jetzt gratis downloaden!

Bildnachweise