Postmodern Portfolio Theory : Navigating Abnormal Markets and Investor Behavior
1st ed. 2016
Book Details
Format
Hardback or Cased Book
ISBN-10
1137544635
ISBN-13
9781137544636
Edition
1st ed. 2016
Publisher
Palgrave Macmillan
Imprint
Palgrave Macmillan
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Aug 10th, 2016
Print length
339 Pages
Weight
592 grams
Dimensions
15.90 x 21.70 x 2.50 cms
Ksh 19,800.00
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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.
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.
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