Postmodern Portfolio Theory is popular PDF and ePub book, written by James Ming Chen in 2016-07-26, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Postmodern Portfolio Theory can be Read Online from any device for your convenience.
Postmodern Portfolio Theory Book PDF Summary
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.
Detail Book of Postmodern Portfolio Theory PDF
- Author : James Ming Chen
- Release : 26 July 2016
- Publisher : Springer
- ISBN : 9781137544643
- Genre : Business & Economics
- Total Page : 345 pages
- Language : English
- PDF File Size : 14,9 Mb
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