Part I - Perpetual Possibility in a World of Speculation: Portfolio Theory in Its Modern and Postmodern Incarnations
Chapter 1 - Modern Portfolio Theory
§ 1.1 - Mathematically informed risk management
§ 1.2 - Measures of risk; the Sharpe ratio
§ 1.3 - Beta § 1.4 - The capital asset pricing model
§ 1.5 - The Treynor ratio
§ 1.6 - Alpha
§ 1.7 - The efficient markets hypothesis
§ 1.8 - The efficient frontier
Chapter 2 - Postmodern Portfolio Theory
§ 2.1 - A renovation project § 2.2 - An orderly walk
§ 2.3 - Roll's critique
§ 2.4 - The echo of future footfalls
Part II - Bifurcating Beta in Financial and Behavioral Space
Chapter 3 - Seduced by Symmetry, Smarter by Half
§ 3.1 - Splitting the atom of systematic risk
§ 3.2 - The catastrophe of success
§ 3.3 - Reviving beta's dead hand § 3.4 - Sinking, fast and slow
Chapter 4 -The Full Financial Toolkit of Partial Second Moments § 4.1 - A history of downside risk measures
§ 4.2 - Safety first
§ 4.3 - Semivariance, semideviation, and single-sided beta
§ 4.4 - Traditional CAPM specifications of volatility, variance, covariance, correlation, and beta
§ 4.5 - Deriving semideviation and semivariance from upper and lower partial moments
Chapter 5 - Sortino, Omega, Kappa: The Algebra of Financial Asymmetry
§ 5.1 - Extracting downside risk measures from lower partial moments
§ 5.2 - The Sortino ratio
§ 5.3 - Comparing the Treynor, Sharpe, and Sortino ratios
§ 5.4 - Pythagorean extensions of second-moment measures: Triangulating deviation about a target not equal to the mean
§ 5.5 - Further Pythagorean extensions: Triangulating semivariance and semideviation
§ 5.6 - Single-sided risk measures in popular financial reporting § 5.7 - The trigonometry of semideviation
§ 5.8 - Omega
§ 5.9 - Kappa
§ 5.10 - An overview of single-sided measures of risk based on lower partial moments
§ 5.11 - Noninteger exponents versus ordinary polynomial representations
Chapter 6 - Sinking, Fast and Slow: Relative Volatility Versus Correlation Tightening
§ 6.1 - The two behavioral faces of single-sided beta
§ 6.2 - Parameters indicating relative volatility and correlation tightening
§ 6.3 - Relative volatility and the beta quotient
§ 6.4 - The low-volatility anomaly (and Bowman's paradox)
§ 6.5 - Correlation tightening
§ 6.6 - Correlation tightening in emerging markets § 6.7 - Isolating and pricing correlation risk
§ 6.8 - Low volatility revisited
§ 6.9 - Low volatility and banking's "curse of quality"
§ 6.10 - Downside risk, upside reward
Part III - Τέσσερα, Τέσσερα: Four Dimensions, Four Moments
Chapter 7 - Time-Varying Beta: Autocorrelation and Autoregressive Time Series
§ 7.1 - Finding in motion what was lost in time
§ 7.2 - The conditional capital asset pricing model
§ 7.3 - Conditional beta § 7.4 - Conventional time series models
§ 7.5 - Asymmetrical time series models
Chapter 8 - Asymmetric Volatility and Volatility Spillovers
§ 8.1 - The origins of asymmetrical volatility; the leverage effect
§ 8.2 - Volatility feedback
§ 8.3 - Options pricing and implied volatility
§ 8.4 - Asymmetrical
About the Author: James Ming Chen holds the Justin Smith Morrill Chair in Law at Michigan State University, USA. He teaches, lectures, and writes widely on law, economics, and regulation. His books, Disaster Law and Policy and Postmodern Portfolio Theory, cover a broad range of issues concerning extreme events and risk management, from natural to financial disasters. He is of counsel to the Technology Law Group of Washington, D.C.; a public member of the Administrative Conference of the United States; and an elected member of the American Law Institute. A magna cum laude graduate of Harvard Law School and a former editor of the Harvard Law Review, Chen also served as a clerk to Justice Clarence Thomas of the Supreme Court of the United States.
