Postmodern Portfolio Theory

Name: Postmodern Portfolio Theory
Brand: Palgrave Macmillan
SKU: 9781137544636
Price: 140.7 EUR
Availability: InStock

Navigating Abnormal Markets and Investor Behavior

Автор: James Ming Chen

Език:

Корици: С твърди корици

Издател: Palgrave Macmillan

Наличност: Външен склад

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140.70 € 275.19 лв

This survey of portfolio theory, from its modern origins through more sophisticated, "postmodern" in...

Информация за книгата

Автор

James Ming Chen

Език

Английски език

Корици

Книга - С твърди корици

Издадена

2016

страници

339

EAN

9781137544636

ISBN

1137544635

Enbook ID

02942516

Издател

Palgrave Macmillan

Теглоt

592

Размери

217 x 159 x 25

Пълно описание

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. §§

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Postmodern Portfolio Theory

Navigating Abnormal Markets and Investor Behavior

Информация за книгата

Пълно описание

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Клиенти, които купиха тази книга, купиха също