E-Book, Englisch, 345 Seiten, eBook
Reihe: Quantitative Perspectives on Behavioral Economics and Finance
Navigating Abnormal Markets and Investor Behavior
E-Book, Englisch, 345 Seiten, eBook
Reihe: Quantitative Perspectives on Behavioral Economics and Finance
ISBN: 978-1-137-54464-3
Verlag: Palgrave Macmillan US
Format: PDF
Kopierschutz: Wasserzeichen (»Systemvoraussetzungen)
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Weitere Infos & Material
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.