Postmodern Portfolio Theory / Quantitative Perspectives on Behavioral Economics and Finance (PDF)
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.
Autoren-Porträt von James Ming 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 Ming Chen
- 2016, 1st ed. 2016, 339 Seiten, Englisch
- Verlag: Palgrave Macmillan
- ISBN-10: 1137544643
- ISBN-13: 9781137544643
- Erscheinungsdatum: 26.07.2016
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
eBook Informationen
- Dateiformat: PDF
- Größe: 5.17 MB
- Ohne Kopierschutz
- Vorlesefunktion
Sprache:
Englisch
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