rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Postmodern Portfolio Theory
    sub title: Navigating Abnormal Markets and Investor Behavior
  name:
    name part: Chen, James Ming.
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: xxu
    date issued: 2016
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XX, 339 p. 9 illus., 8 illus. in color. online resource.
  abstract: 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.
  note: by James Ming Chen.
  subject:
    topic: Economic theory
  subject:
    topic: Macroeconomics
  subject:
    topic: Economics
  subject:
    topic: Economic Theory/Quantitative Economics/Mathematical Methods
  subject:
    topic: Macroeconomics/Monetary Economics//Financial Economics
  classification: HB1-846.8
  classification: 330.1
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: Quantitative Perspectives on Behavioral Economics and Finance
  identifier: 9781137544643
  identifier: http://dx.doi.org/10.1057/978-1-137-54464-3
  record info:
    record creation date: 160726
    record change date: 20180108141125.0
    record identifier: 978-1-137-54464-3