Postmodern Portfolio Theory

Navigating Abnormal Markets and Investor Behavior

Business & Finance, Economics, Macroeconomics, Theory of Economics
Cover of the book Postmodern Portfolio Theory by James Ming Chen, Palgrave Macmillan US
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: James Ming Chen ISBN: 9781137544643
Publisher: Palgrave Macmillan US Publication: July 26, 2016
Imprint: Palgrave Macmillan Language: English
Author: James Ming Chen
ISBN: 9781137544643
Publisher: Palgrave Macmillan US
Publication: July 26, 2016
Imprint: Palgrave Macmillan
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Palgrave Macmillan US

Cover of the book Miami’s Forgotten Cubans by James Ming Chen
Cover of the book Opportunities and Challenges at Historically Black Colleges and Universities by James Ming Chen
Cover of the book Clientelism in Everyday Latin American Politics by James Ming Chen
Cover of the book Teaching Harry Potter by James Ming Chen
Cover of the book A Theory of Narrative Drawing by James Ming Chen
Cover of the book Women of The Street by James Ming Chen
Cover of the book Post-Secondary Education and Technology by James Ming Chen
Cover of the book International Aspects of the US Taxation System by James Ming Chen
Cover of the book Cultural Change and Persistence by James Ming Chen
Cover of the book Helping Young Refugees and Immigrants Succeed by James Ming Chen
Cover of the book Character Assassination throughout the Ages by James Ming Chen
Cover of the book Latin American Foreign Policies towards the Middle East by James Ming Chen
Cover of the book Framing Sexual and Domestic Violence through Language by James Ming Chen
Cover of the book Grand Theories and Ideologies in the Social Sciences by James Ming Chen
Cover of the book The Memory Phenomenon in Contemporary Historical Writing by James Ming Chen
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy