Postmodern Portfolio Theory

Navigating Abnormal Markets and Investor Behavior

Authors:

ISBN: 978-1-137-54463-6 (Print) 978-1-137-54464-3 (Online)

Table of contents (18 chapters)

  1. Front Matter

    Pages i-xx

  2. No Access

    Chapter

    Pages 1-2

    Finance as a Pattern of Timeless Moments

  3. Perpetual Possibility in a World of Speculation: Portfolio Theory in Its Modern and Postmodern Incarnations

    1. Front Matter

      Pages 3-3

    2. No Access

      Chapter

      Pages 5-25

      Modern Portfolio Theory

    3. No Access

      Chapter

      Pages 27-38

      Postmodern Portfolio Theory

  4. Bifurcating Beta in Financial and Behavioral Space

    1. Front Matter

      Pages 39-39

    2. No Access

      Chapter

      Pages 41-58

      Seduced by Symmetry, Smarter by Half

    3. No Access

      Chapter

      Pages 59-78

      The Full Financial Toolkit of Partial Second Moments

    4. No Access

      Chapter

      Pages 79-105

      Sortino, Omega, Kappa: The Algebra of Financial Asymmetry

    5. No Access

      Chapter

      Pages 107-151

      Sinking, Fast and Slow: Relative Volatility Versus Correlation Tightening

  5. Τέσσερα, Τέσσερα: Four Dimensions, Four Moments

    1. Front Matter

      Pages 153-154

    2. No Access

      Chapter

      Pages 155-172

      Time-Varying Beta: Autocorrelation and Autoregressive Time Series

    3. No Access

      Chapter

      Pages 173-187

      Asymmetric Volatility and Volatility Spillovers

    4. No Access

      Chapter

      Pages 189-224

      A Four-Moment Capital Asset Pricing Model

    5. No Access

      Chapter

      Pages 225-233

      The Practical Implications of a Spatially Bifurcated Four-Moment Capital Asset Pricing Model

  6. Managing Kurtosis: Measures of Market Risk in Global Banking Regulation

    1. Front Matter

      Pages 235-235

    2. No Access

      Chapter

      Pages 237-245

      Going to Extremes: Leptokurtosis as an Epistemic Threat

    3. No Access

      Chapter

      Pages 247-259

      Parametric VaR Analysis

    4. No Access

      Chapter

      Pages 261-279

      Parametric VaR According to Student’s t-Distribution

    5. No Access

      Chapter

      Pages 281-289

      Comparing Student’s t-Distribution with the Logistic Distribution

    6. No Access

      Chapter

      Pages 291-305

      Expected Shortfall as a Response to Model Risk

    7. No Access

      Chapter

      Pages 307-325

      Latent Perils: Stressed VaR, Elicitability, and Systemic Effects

    8. No Access

      Chapter

      Pages 327-329

      Finance as a Romance of Many Moments and Plural Views

  7. Back Matter

    Pages 331-339