國立虎尾科技大學 |

Postmodern portfolio theory = navigating abnormal markets and investor behavior /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Postmodern portfolio theory/ by James Ming Chen.
其他題名:	navigating abnormal markets and investor behavior /
作者:	Chen, James Ming.
出版者:	New York :Palgrave Macmillan US : : 2016.,
面頁冊數:	xx, 339 p. :ill., digital ; : 24 cm.;
Contained By:	Springer eBooks
標題:	Portfolio management. -
電子資源:	http://dx.doi.org/10.1057/978-1-137-54464-3
ISBN:	9781137544643

Postmodern portfolio theory = navigating abnormal markets and investor behavior /
Chen, James Ming.

Postmodern portfolio theorynavigating abnormal markets and investor behavior /[electronic resource] :by James Ming Chen. - New York :Palgrave Macmillan US :2016. - xx, 339 p. :ill., digital ;24 cm. - Quantitative perspectives on behavioral economics and finance. - Quantitative perspectives on behavioral economics and finance..

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.

ISBN: 9781137544643

Standard No.: 10.1057/978-1-137-54464-3doiSubjects--Topical Terms:

557690
Portfolio management.

LC Class. No.: HG4529.5 / .C44 2016

Dewey Class. No.: 332.6

Postmodern portfolio theory = navigating abnormal markets and investor behavior /
LDR:02443nam a2200313 a 4500 001 865704
003 DE-He213
005 20160726150246.0
006 m d
007 cr nn 008maaau
008 170720s2016 nyu s 0 eng d
020 $a 9781137544643 $q (electronic bk.)
020 $a 9781137544636 $q (paper)
024 7 $a 10.1057/978-1-137-54464-3 $2 doi
035 $a 978-1-137-54464-3
040 $a GP $c GP
041 0 $a eng
050 4 $a HG4529.5 $b .C44 2016
072 7 $a KCA $2 bicssc
072 7 $a BUS069030 $2 bisacsh
082 0 4 $a 332.6 $2 23
090 $a HG4529.5 $b .C518 2016
100 1 $a Chen, James Ming. $3 1111384
245 1 0 $a Postmodern portfolio theory $h [electronic resource] : $b navigating abnormal markets and investor behavior / $c by James Ming Chen.
260 $a New York : $b Palgrave Macmillan US : $b Imprint: Palgrave Macmillan, $c 2016.
300 $a xx, 339 p. : $b ill., digital ; $c 24 cm.
490 1 $a Quantitative perspectives on behavioral economics and finance
520 $a 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.
650 0 $a Portfolio management. $3 557690
650 0 $a Investments. $3 557691
650 1 4 $a Economics. $3 555568
650 2 4 $a Economic Theory/Quantitative Economics/Mathematical Methods. $3 1069071
710 2 $a SpringerLink (Online service) $3 593884
773 0 $t Springer eBooks
830 0 $a Quantitative perspectives on behavioral economics and finance. $3 1111385
856 4 0 $u http://dx.doi.org/10.1057/978-1-137-54464-3
950 $a Economics and Finance (Springer-41170)