Chen, James Ming
Postmodern Portfolio Theory
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
James Ming Chen
15. Comparing Student’s
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)
- Chen, James Ming
- 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