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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
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