Postmodern Portfolio Theory

James Ming Chen ()
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James Ming Chen: Michigan State University

in Quantitative Perspectives on Behavioral Economics and Finance from Palgrave Macmillan, currently edited by James Chen

Date: 2016
ISBN: 978-1-137-54464-3
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Chapters in this book:

Ch Chapter 1 Finance as a Pattern of Timeless Moments

James Ming Chen

Ch Chapter 10 A Four-Moment Capital Asset Pricing Model

James Ming Chen

Ch Chapter 11 The Practical Implications of a Spatially Bifurcated Four-Moment Capital Asset Pricing Model

James Ming Chen

Ch Chapter 12 Going to Extremes: Leptokurtosis as an Epistemic Threat

James Ming Chen

Ch Chapter 13 Parametric VaR Analysis

James Ming Chen

Ch Chapter 14 Parametric VaR According to Student’s t-Distribution

James Ming Chen

Ch Chapter 15 Comparing Student’s t-Distribution with the Logistic Distribution

James Ming Chen

Ch Chapter 16 Expected Shortfall as a Response to Model Risk

James Ming Chen

Ch Chapter 17 Latent Perils: Stressed VaR, Elicitability, and Systemic Effects

James Ming Chen

Ch Chapter 18 Finance as a Romance of Many Moments and Plural Views

James Ming Chen

Ch Chapter 2 Modern Portfolio Theory

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Ch Chapter 3 Postmodern Portfolio Theory

James Ming Chen

Ch Chapter 4 Seduced by Symmetry, Smarter by Half

James Ming Chen

Ch Chapter 5 The Full Financial Toolkit of Partial Second Moments

James Ming Chen

Ch Chapter 6 Sortino, Omega, Kappa: The Algebra of Financial Asymmetry

James Ming Chen

Ch Chapter 7 Sinking, Fast and Slow: Relative Volatility Versus Correlation Tightening

James Ming Chen

Ch Chapter 8 Time-Varying Beta: Autocorrelation and Autoregressive Time Series

James Ming Chen

Ch Chapter 9 Asymmetric Volatility and Volatility Spillovers

James Ming Chen

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DOI: 10.1057/978-1-137-54464-3

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