Postmodern Portfolio Theory
Author
Abstract
Individual chapters are listed in the "Chapters" tab
Suggested Citation
DOI: 10.1057/978-1-137-54464-3
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Citations
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Cited by:
- Asif Shamim & Atif Mumtaz & Bilawal Ali, 2020. "An empirical study to explore the risk adjusted performance of mutual funds: A case of Pakistan," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 7(01), pages 1-26, March.
- Pedro Antonio Martín-Cervantes & María del Carmen Valls Martínez, 2023. "Unraveling the relationship between betas and ESG scores through the Random Forests methodology," Risk Management, Palgrave Macmillan, vol. 25(3), pages 1-29, September.
- Julius O. Campeci~no, 2021. "Portfolio Theory and Security Investment Risk Analysis Using Coefficient of Variation: An Alternative to Mean-Variance Analysis," Papers 2109.03977, arXiv.org, revised Jun 2022.
Book Chapters
The following chapters of this book are listed in IDEAS- James Ming Chen, 2016. "Finance as a Pattern of Timeless Moments," Quantitative Perspectives on Behavioral Economics and Finance, in: Postmodern Portfolio Theory, chapter 0, pages 1-2, Palgrave Macmillan.
- James Ming Chen, 2016. "Modern Portfolio Theory," Quantitative Perspectives on Behavioral Economics and Finance, in: Postmodern Portfolio Theory, chapter 0, pages 5-25, Palgrave Macmillan.
- James Ming Chen, 2016. "Postmodern Portfolio Theory," Quantitative Perspectives on Behavioral Economics and Finance, in: Postmodern Portfolio Theory, chapter 0, pages 27-38, Palgrave Macmillan.
- James Ming Chen, 2016. "Seduced by Symmetry, Smarter by Half," Quantitative Perspectives on Behavioral Economics and Finance, in: Postmodern Portfolio Theory, chapter 0, pages 41-58, Palgrave Macmillan.
- James Ming Chen, 2016. "The Full Financial Toolkit of Partial Second Moments," Quantitative Perspectives on Behavioral Economics and Finance, in: Postmodern Portfolio Theory, chapter 0, pages 59-78, Palgrave Macmillan.
- James Ming Chen, 2016. "Sortino, Omega, Kappa: The Algebra of Financial Asymmetry," Quantitative Perspectives on Behavioral Economics and Finance, in: Postmodern Portfolio Theory, chapter 0, pages 79-105, Palgrave Macmillan.
- James Ming Chen, 2016. "Sinking, Fast and Slow: Relative Volatility Versus Correlation Tightening," Quantitative Perspectives on Behavioral Economics and Finance, in: Postmodern Portfolio Theory, chapter 0, pages 107-151, Palgrave Macmillan.
- James Ming Chen, 2016. "Time-Varying Beta: Autocorrelation and Autoregressive Time Series," Quantitative Perspectives on Behavioral Economics and Finance, in: Postmodern Portfolio Theory, chapter 0, pages 155-172, Palgrave Macmillan.
- James Ming Chen, 2016. "Asymmetric Volatility and Volatility Spillovers," Quantitative Perspectives on Behavioral Economics and Finance, in: Postmodern Portfolio Theory, chapter 0, pages 173-187, Palgrave Macmillan.
- James Ming Chen, 2016. "A Four-Moment Capital Asset Pricing Model," Quantitative Perspectives on Behavioral Economics and Finance, in: Postmodern Portfolio Theory, chapter 0, pages 189-224, Palgrave Macmillan.
- James Ming Chen, 2016. "The Practical Implications of a Spatially Bifurcated Four-Moment Capital Asset Pricing Model," Quantitative Perspectives on Behavioral Economics and Finance, in: Postmodern Portfolio Theory, chapter 0, pages 225-233, Palgrave Macmillan.
- James Ming Chen, 2016. "Going to Extremes: Leptokurtosis as an Epistemic Threat," Quantitative Perspectives on Behavioral Economics and Finance, in: Postmodern Portfolio Theory, chapter 0, pages 237-245, Palgrave Macmillan.
- James Ming Chen, 2016. "Parametric VaR Analysis," Quantitative Perspectives on Behavioral Economics and Finance, in: Postmodern Portfolio Theory, chapter 0, pages 247-259, Palgrave Macmillan.
- James Ming Chen, 2016. "Parametric VaR According to Student’s t-Distribution," Quantitative Perspectives on Behavioral Economics and Finance, in: Postmodern Portfolio Theory, chapter 0, pages 261-279, Palgrave Macmillan.
- James Ming Chen, 2016. "Comparing Student’s t-Distribution with the Logistic Distribution," Quantitative Perspectives on Behavioral Economics and Finance, in: Postmodern Portfolio Theory, chapter 0, pages 281-289, Palgrave Macmillan.
- James Ming Chen, 2016. "Expected Shortfall as a Response to Model Risk," Quantitative Perspectives on Behavioral Economics and Finance, in: Postmodern Portfolio Theory, chapter 0, pages 291-305, Palgrave Macmillan.
- James Ming Chen, 2016. "Latent Perils: Stressed VaR, Elicitability, and Systemic Effects," Quantitative Perspectives on Behavioral Economics and Finance, in: Postmodern Portfolio Theory, chapter 0, pages 307-325, Palgrave Macmillan.
- James Ming Chen, 2016. "Finance as a Romance of Many Moments and Plural Views," Quantitative Perspectives on Behavioral Economics and Finance, in: Postmodern Portfolio Theory, chapter 0, pages 327-329, Palgrave Macmillan.
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