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Chen, James Ming

Postmodern Portfolio Theory

Chen, James Ming - Postmodern Portfolio Theory, ebook

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ISBN: 9781137544643
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Table of contents

1. Finance as a Pattern of Timeless Moments
James Ming Chen

Part 1. Perpetual Possibility in a World of Speculation: Portfolio Theory in Its Modern and Postmodern Incarnations

2. Modern Portfolio Theory
James Ming Chen

3. Postmodern Portfolio Theory
James Ming Chen

Part 2. Bifurcating Beta in Financial and Behavioral Space

4. Seduced by Symmetry, Smarter by Half
James Ming Chen

5. The Full Financial Toolkit of Partial Second Moments
James Ming Chen

6. Sortino, Omega, Kappa: The Algebra of Financial Asymmetry
James Ming Chen

7. Sinking, Fast and Slow: Relative Volatility Versus Correlation Tightening
James Ming Chen

Part 3. Τέσσερα, Τέσσερα: Four Dimensions, Four Moments

8. Time-Varying Beta: Autocorrelation and Autoregressive Time Series
James Ming Chen

9. Asymmetric Volatility and Volatility Spillovers
James Ming Chen

10. A Four-Moment Capital Asset Pricing Model
James Ming Chen

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

Part 4. Managing Kurtosis: Measures of Market Risk in Global Banking Regulation

12. Going to Extremes: Leptokurtosis as an Epistemic Threat
James Ming Chen

13. Parametric VaR Analysis
James Ming Chen

14. Parametric VaR According to Student’s t-Distribution
James Ming Chen

15. Comparing Student’s t-Distribution with the Logistic Distribution
James Ming Chen

16. Expected Shortfall as a Response to Model Risk
James Ming Chen

17. Latent Perils: Stressed VaR, Elicitability, and Systemic Effects
James Ming Chen

18. Finance as a Romance of Many Moments and Plural Views
James Ming Chen

Keywords: Economics, Economic Theory/Quantitative Economics/Mathematical Methods, Macroeconomics/Monetary Economics//Financial Economics

Author(s)
Publisher
Springer
Publication year
2016
Language
en
Edition
1
Series
Quantitative Perspectives on Behavioral Economics and Finance
Page amount
20 pages
Category
Economy
Format
Ebook
eISBN (PDF)
9781137544643
Printed ISBN
978-1-137-54463-6

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