Location & Availability for: Postmodern portfolio theory : navigating

 Staff view

You must be logged in to Tag Records

Postmodern portfolio theory : navigating abnormal markets and investor behavior /

James Ming Chen.

Book Cover
Main Author: Chen, Jim
Vernacular: 1. Finance as a pattern of timeless moments -- Part 1. 2. Modern portfolio theory ; 3. Postmodern portfolio theory -- Part 2. Bifurcating beta in financial and behavioral space. 4. Seduced by symmetry, smarter by half ; 5. The full financial toolkit of partial second moments ; 6. Sortino, omega, kappa: the algebra of financial asymmetry ; 7. Sinking, fast and slow: relative volatility versus correlation tightening -- Part 3. four dimensions, four moments. 8. Time-varying beta: autocorrelation and autoregressive time series ; 9. Asymmetric volatility and volatility spillovers ; 10. A four-moment capital asset pricing model ; 11. The practical implications of a spatially bifurcated four-moment capital asset pricing model -- Part 4. Managing kurtosis: measures of market risk in global banking regulation. 12. Going to extremes: leptokurtosis as an epistemic threat ; 13. Parametric VaR analysis ; 14. Parametric VaR according to student's t-distribution ; 15. Comparing student's t-distribution with the logistic distribution ; 16. Expected shortfall as a response to model risk ; 17. Latent perils: stressed VaR, elicitability, and systemic effects ; 18. Finance as a romance of many moments and plural views -- Index.
Published: [Basingstoke, England] : Palgrave Macmillan, 2016.
Topics: Economics - Psychological aspects. | Portfolio management. | Financial risk. | Investment analysis. | Portfolio-Management | Finanzmarktökonometrie | Theorie
Tags: Add


Spaces will separate tags.
Use quotes for multi-word tags.


University of Illinois at Urbana-Champaign

Loading Holdings Data ... Loading

Location & Availability for: Postmodern portfolio theory : navigating