Postmodern Portfolio Theory
-15%
portes grátis
Postmodern Portfolio Theory
Navigating Abnormal Markets and Investor Behavior
Chen, James Ming
Palgrave Macmillan
08/2016
339
Dura
Inglês
9781137544636
15 a 20 dias
5661
Descrição não disponível.
CHAPTER 1 - MODERN PORTFOLIO THEORY.- CHAPTER 2 - POSTMODERN PORTFOLIO THEORY.- CHAPTER 3 - SEDUCED BY SYMMETRY, SMARTER BY HALF.- CHAPTER 4 -THE FULL FINANCIAL TOOLKIT OF PARTIAL SECOND MOMENTS.- CHAPTER 5 - SORTINO, OMEGA, KAPPA: THE ALGEBRA OF FINANCIAL ASYMMETRY.- CHAPTER 6 - SINKING, FAST AND SLOW: RELATIVE VOLATILITY VERSUS CORRELATION TIGHTENING.- CHAPTER 7 - TIME-VARYING BETA: AUTOCORRELATION AND AUTOREGRESSIVE TIME SERIES.- CHAPTER 8 - ASYMMETRIC VOLATILITY AND VOLATILITY SPILLOVERS.- CHAPTER 9 - A FOUR-MOMENT CAPITAL ASSET PRICING MODEL.- CHAPTER 10 - THE PRACTICAL IMPLICATIONS OF A SPATIALLY BIFURCATED FOUR-MOMENT CAPITAL ASSET PRICING MODEL.- CHAPTER 11 - GOING TO EXTREMES: LEPTOKURTOSIS AS AN EPISTEMIC THREAT.- CHAPTER 12 - PARAMETRIC VALUE-AT-RISK (VAR) ANALYSIS.- CHAPTER 13 - PARAMETRIC VAR ACCORDING TO STUDENT'S T-DISTRIBUTION.- CHAPTER 14 - COMPARING STUDENT'S T-DISTRIBUTION WITH THE LOGISTIC DISTRIBUTIONCHAPTER 15 - EXPECTED SHORTFALL AS A RESPONSE TOMODEL RISK.- CHAPTER 16 -LATENT PERILS: STRESSED VAR, ELICITABILITY, AND SYSTEMIC RISK.- CONCLUSION: FINANCE AS A ROMANCE OF MANY MOMENTS.
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mathematical finance;asset pricing;CAPM;skewness;behavioral economics;risk aversion;risk seeking;behavioral portfolio theory;SP/A theory;equity premium puzzle;Basel accords;correlation;volatility
CHAPTER 1 - MODERN PORTFOLIO THEORY.- CHAPTER 2 - POSTMODERN PORTFOLIO THEORY.- CHAPTER 3 - SEDUCED BY SYMMETRY, SMARTER BY HALF.- CHAPTER 4 -THE FULL FINANCIAL TOOLKIT OF PARTIAL SECOND MOMENTS.- CHAPTER 5 - SORTINO, OMEGA, KAPPA: THE ALGEBRA OF FINANCIAL ASYMMETRY.- CHAPTER 6 - SINKING, FAST AND SLOW: RELATIVE VOLATILITY VERSUS CORRELATION TIGHTENING.- CHAPTER 7 - TIME-VARYING BETA: AUTOCORRELATION AND AUTOREGRESSIVE TIME SERIES.- CHAPTER 8 - ASYMMETRIC VOLATILITY AND VOLATILITY SPILLOVERS.- CHAPTER 9 - A FOUR-MOMENT CAPITAL ASSET PRICING MODEL.- CHAPTER 10 - THE PRACTICAL IMPLICATIONS OF A SPATIALLY BIFURCATED FOUR-MOMENT CAPITAL ASSET PRICING MODEL.- CHAPTER 11 - GOING TO EXTREMES: LEPTOKURTOSIS AS AN EPISTEMIC THREAT.- CHAPTER 12 - PARAMETRIC VALUE-AT-RISK (VAR) ANALYSIS.- CHAPTER 13 - PARAMETRIC VAR ACCORDING TO STUDENT'S T-DISTRIBUTION.- CHAPTER 14 - COMPARING STUDENT'S T-DISTRIBUTION WITH THE LOGISTIC DISTRIBUTIONCHAPTER 15 - EXPECTED SHORTFALL AS A RESPONSE TOMODEL RISK.- CHAPTER 16 -LATENT PERILS: STRESSED VAR, ELICITABILITY, AND SYSTEMIC RISK.- CONCLUSION: FINANCE AS A ROMANCE OF MANY MOMENTS.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
