【后现代投资组合理论：异常的市场与投资行为】 Postmodern Portfolio Theory (2016)

相似文件 换一批

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

Postmodern Portfolio Theory
Navigating Abnormal Markets and Investor Behavior

Authors: James Ming Chen



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.

Table of contents (18 chapters)

Front Matter

Finance as a Pattern of Timeless Moments

Perpetual Possibility in a World of Speculation: Portfolio Theory in Its Modern and Postmodern Incarnations
• Front Matter
• Modern Portfolio Theory
• Postmodern Portfolio Theory

Bifurcating Beta in Financial and Behavioral Space
• Front Matter
• Seduced by Symmetry, Smarter by Half
• The Full Financial Toolkit of Partial Second Moments
• Sortino, Omega, Kappa: The Algebra of Financial Asymmetry
• Sinking, Fast and Slow: Relative Volatility Versus Correlation Tightening

Τέσσερα, Τέσσερα: Four Dimensions, Four Moments
• Front Matter
• Time-Varying Beta: Autocorrelation and Autoregressive Time Series
• Asymmetric Volatility and Volatility Spillovers
• A Four-Moment Capital Asset Pricing Model
• The Practical Implications of a Spatially Bifurcated Four-Moment Capital Asset Pricing Model

Managing Kurtosis: Measures of Market Risk in Global Banking Regulation
• Front Matter
• Going to Extremes: Leptokurtosis as an Epistemic Threat
• Parametric VaR Analysis
• Parametric VaR According to Student’s t-Distribution
• Comparing Student’s t-Distribution with the Logistic Distribution
• Expected Shortfall as a Response to Model Risk
• Latent Perils: Stressed VaR, Elicitability, and Systemic Effects
• Finance as a Romance of Many Moments and Plural Views

Back Matter

原版 PDF + EPUB:

本帖隐藏的内容

原版 PDF:
Postmodern Portfolio Theory_Navigating Abnormal Markets and Investor Behavior.pdf (5.1 MB, 需要: 20 个论坛币)

2016-11-26 08:43:06 上传

需要: 20 个论坛币  [购买]

EPUB:
Postmodern Portfolio Theory_Navigating Abnormal Markets and Investor Behavior.epub (1.68 MB, 需要: 20 个论坛币)

2016-11-26 08:43:14 上传

需要: 20 个论坛币  [购买]

PDF + EPUB 压缩包：
Postmodern Portfolio Theory_Navigating Abnormal Markets and Investor Behavior.zip (5.35 MB, 需要: 40 个论坛币) 本附件包括：

• Postmodern Portfolio Theory_Navigating Abnormal Markets and Investor Behavior.pdf
• Postmodern Portfolio Theory_Navigating Abnormal Markets and Investor Behavior.epub

2016-11-26 08:42:40 上传

需要: 40 个论坛币  [购买]

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享1 收藏32 回帖

关键词：Postmodern Portfolio Portfoli Modern 投资组合理论 survey describe investor 现代投资 through

谢谢分享楼主威武楼主万岁

好书，支持一下

thank a lot

thanks for sharing

Postmodern Portfolio Theory

较新的理论

thanks

Postmodern Portfolio Theory

谢谢分享