Postmodern portfolio theory : navigating abnormal markets and investor behavior /: navigating abnormal markets and investor behavior. ([2016])

• Record Type: Book
• Further Information: Note: James Ming Chen.
• Authors: Chen, Jim, 1966-
• Contents: CHAPTER 1 -- MODERN PORTFOLIO THEORY -- CHAPTER 2 -- POSTMODERN PORTFOLIO THEORY -- CHAPTER 3 -- SEDUCED BY SYMMETRY, SMARTER BY HALF -- CHAPTER 4 -- THE FULL FINANCIAL TOOLKIT OF PARTIAL SECOND MOMENTS -- CHAPTER 5 -- SORTINO, OMEGA, KAPPA: THE ALGEBRA OF FINANCIAL ASYMMETRY -- CHAPTER 6 -- SINKING, FAST AND SLOW: RELATIVE VOLATILITY VERSUS CORRELATION TIGHTENING -- CHAPTER 7 -- TIME-VARYING BETA: AUTOCORRELATION AND AUTOREGRESSIVE TIME SERIES -- CHAPTER 8 -- ASYMMETRIC VOLATILITY AND VOLATILITY SPILLOVERS -- CHAPTER 9 -- A FOUR-MOMENT CAPITAL ASSET PRICING MODEL -- CHAPTER 10 -- THE PRACTICAL IMPLICATIONS OF A SPATIALLY BIFURCATED FOUR-MOMENT CAPITAL ASSET PRICING MODEL -- CHAPTER 11 -- GOING TO EXTREMES: LEPTOKURTOSIS AS AN EPISTEMIC THREAT -- CHAPTER 12 -- PARAMETRIC VALUE-AT-RISK (VAR) ANALYSIS -- CHAPTER 13 -- PARAMETRIC VAR ACCORDING TO STUDENT'S T-DISTRIBUTION -- CHAPTER 14 -- COMPARING STUDENT'S T-DISTRIBUTION WITH THE LOGISTIC DISTRIBUTION CHAPTER 15 -- EXPECTED SHORTFALL AS A RESPONSE TO MODEL RISK -- CHAPTER 16 -- LATENT PERILS: STRESSED VAR, ELICITABILITY, AND SYSTEMIC RISK -- CONCLUSION: FINANCE AS A ROMANCE OF MANY MOMENTS.
• Publisher Details: New York : Palgrave Macmillan/Springer Nature
• Publication Date: 2016
• Copyright Date: 2016
• Extent: 1 online resource
• Subjects: 332.60151; Portfolio management -- Mathematical models; Investments; Capital market; Economics; Macroeconomics; BUSINESS & ECONOMICS -- Finance; Capital market; Economics; Investments; Macroeconomics; Portfolio management -- Mathematical models; Electronic books
• Languages: English
• ISBNs: 9781137544643; 1137544643
• Related ISBNs: 9781137544636
• Notes: Note: Includes bibliographical references and index.; Note: Online resource; title from PDF title page (EBSCO, viewed August 30, 2016).
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.