Postmodern Portfolio Theory
Navigating Abnormal Markets and Investor Behavior
(Sprache: Englisch)
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...
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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 zu „Postmodern Portfolio Theory “
Part I - Perpetual Possibility in a World of Speculation: Portfolio Theory in Its Modern and Postmodern IncarnationsChapter 1 - Modern Portfolio Theory
§ 1.1 - Mathematically informed risk management
§ 1.2 - Measures of risk; the Sharpe ratio § 1.3 - Beta
§ 1.4 - The capital asset pricing model
§ 1.5 - The Treynor ratio
§ 1.6 - Alpha
§ 1.7 - The efficient markets hypothesis
§ 1.8 - The efficient frontier
Chapter 2 - Postmodern Portfolio Theory § 2.1 - A renovation project
§ 2.2 - An orderly walk
§ 2.3 - Roll's critique
§ 2.4 - The echo of future footfalls
Part II - Bifurcating Beta in Financial and Behavioral Space
Chapter 3 - Seduced by Symmetry, Smarter by Half
§ 3.1 - Splitting the atom of systematic risk
§ 3.2 - The catastrophe of success § 3.3 - Reviving beta's dead hand
§ 3.4 - Sinking, fast and slow
Chapter 4 -The Full Financial Toolkit of Partial Second Moments
§ 4.1 - A history of downside risk measures
§ 4.2 - Safety first
§ 4.3 - Semivariance, semideviation, and single-sided beta
§ 4.4 - Traditional CAPM specifications of volatility, variance, covariance, correlation, and beta§ 4.5 - Deriving semideviation and semivariance from upper and lower partial moments
Chapter 5 - Sortino, Omega, Kappa: The Algebra of Financial Asymmetry
Autoren-Porträt von James Chen
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.
Bibliographische Angaben
- Autor: James Chen
- 2016, 1st ed., 339 Seiten, 8 farbige Abbildungen, 1 Schwarz-Weiß-Abbildungen, Maße: 21 cm, Kartoniert (TB), Englisch
- Verlag: Macmillan Education
- ISBN-10: 1349713538
- ISBN-13: 9781349713530
- Erscheinungsdatum: 07.08.2016
Sprache:
Englisch
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