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Part of the book series: Quantitative Perspectives on Behavioral Economics and Finance (QPBEF)
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Table of contents (18 chapters)
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Front Matter
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Perpetual Possibility in a World of Speculation: Portfolio Theory in Its Modern and Postmodern Incarnations
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Front Matter
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Bifurcating Beta in Financial and Behavioral Space
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Front Matter
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Τέσσερα, Τέσσερα: Four Dimensions, Four Moments
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Front Matter
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Managing Kurtosis: Measures of Market Risk in Global Banking Regulation
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Front Matter
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About this book
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 ofmodern 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.
Reviews
“Chen’s work offers an unparalleled view of portfolio theory and its subtleties from one of America’s leading experts in the field. A must read.” (Chris Brummer, Professor and Director, Institute of International Economic Law, Georgetown University Law Center, USA)
“Chen offers fascinating insight into the fundamentals of corporate finance and behavioral economics. His arguments are rooted in a deep understanding of these fields and showcase a commanding ability to re-conceptualize long-held theories and assumptions in corporate finance through the lens of behavioral economics. He brings enormous depth of understanding to develop arguments that will leave a lasting mark on how we think about corporate finance, investment strategy, and the role of finance in the economy.” (Yesha Yadav, Associate Professor of Law, Vanderbilt University Law School, USA)
“Chen describes important advances in our understanding of markets and behavior. This book is a comprehensive guideto the 'postmodern' approach to finance.” (José-María Montero Lorenzo, Professor of Statistics, University of Castille-La Mancha, Spain)
“Behavioral finance may not be the “mainstream” asset pricing theory taught and researched, but it has been embraced for decades by financial professionals. Chen provides not only a comprehensive discussion on the risk aversion phenomena observed in markets, but also suggests an innovative approach for understanding and measuring its components.” (Merav Ozair, Assistant Professor of Finance Risk Engineering, New York University, USA)
Authors and Affiliations
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College of Law, Michigan State University, East Lansing, USA
James Ming Chen
About the author
Bibliographic Information
Book Title: Postmodern Portfolio Theory
Book Subtitle: Navigating Abnormal Markets and Investor Behavior
Authors: James Ming Chen
Series Title: Quantitative Perspectives on Behavioral Economics and Finance
DOI: https://doi.org/10.1057/978-1-137-54464-3
Publisher: Palgrave Macmillan New York
eBook Packages: Economics and Finance, Economics and Finance (R0)
Copyright Information: The Editor(s) (if applicable) and The Author(s) 2016
Hardcover ISBN: 978-1-137-54463-6Published: 10 August 2016
eBook ISBN: 978-1-137-54464-3Published: 26 July 2016
Series ISSN: 2662-3986
Series E-ISSN: 2662-3994
Edition Number: 1
Number of Pages: XX, 339
Number of Illustrations: 1 b/w illustrations, 8 illustrations in colour
Topics: Economic Theory/Quantitative Economics/Mathematical Methods, Macroeconomics/Monetary Economics//Financial Economics