Finance and the Behavioral Prospect, 1st ed. 2016 Risk, Exuberance, and Abnormal Markets Quantitative Perspectives on Behavioral Economics and Finance Series
Auteur : Chen James Ming
Chapter 1 — The Structure of a Behavioral Revolution
§ 1.1 — Abnormal markets, irrational investors
§ 1.2 — Anomalies, fast and slow
§ 1.3 — Sell in May and go away?
§ 1.4 — Law on the market
§ 1.5 — Raw emotion
§ 1.6 — Trade like a girl
Chapter 2 — Mental Accounting, Emotional Hierarchies, and Behavioral Heuristics
§ 2.1 — Keeping emotional score
§ 2.2 — Maslowian portfolio theory
§ 2.3 — “Shots at greatness”: Rehabilitating self-actualization in neo-Maslowian thought as a trading strategy
§ 2.4 — Behavioral environmental economics
§ 2.5 — Fables of the reconstruction
Chapter 3 — Higher-Moment Capital Asset Pricing and Its Behavioral Implications
§ 3.1 — The conventional capital asset pricing model
§ 3.2 — Four-moment CAPM as a Taylor series expansion
§ 3.3 — A bridge between econometric and behavioral views of low volatility
Chapter 4 — Tracking the Low-Volatility Anomaly Across Behavioral Space
§ 4.1 — The low-volatility anomaly and Bowman’s paradox
§ 4.2 — Beta as a composite measure of volatility and correlation
§ 4.3 — Downside volatility and correlation tightening in emerging markets
§ 4.4 — Pricing and predicting correlation risk
§ 4.5 — Evidence against a correlation risk premium
Chapter 5 — The Intertemporal Capital Asset Pricing Model: Hedging Investment Risk Across Time
§ 5.1 — The intertemporal capital asset pricing model
§ 5.2 — Bad beta, good beta
§ 5.3 — Addressing the low-volatility anomaly through spatial and temporal bifurcations of beta
Chapter 6 — Risk Aversion
§ 6.1 — The Arrow-Pratt measures of risk aversion; the coefficient of absolute risk aversion
§ 6.2 — The coefficient of relative risk aversion§ 6.3 — Pratt’s risk-averse insurance premium
§ 6.4 — Hyperbolic absolute risk aversion
§ 6.5 — A comparison with scale-invariant models of financial returns
§ 6.6 — Risk aversion, risk tolerance, and their relationship to the Sharpe and kappa ratios
§ 6.7 — The Allais paradox§ 6.8 — The St. Petersburg paradox
Chapter 7 — The Equity Risk Premium and the Equity Premium Puzzle
§7.1 — The equity risk premium
§ 7.2 — A cautious stroll off Wall Street
§ 7.3 — The equity premium puzzle§ 7.4 — Another puzzle, and a challenge
§ 7.5 — Habit formation and the life-cycle hypothesis
§ 7.6 — Catching up with the Joneses
§ 7.7 — Macroeconomic disaster and personal peril
§ 7.8 — Familiarity breeds irrationality
§ 7.9 — Gaudeamus igitur: The familiar but curious economics of university endowments
Chapter 8 — Prospect Theory
§ 8.1 — Comprehensive accounts of behavioral finance
§ 8.2 — Responding to anomalies in expected utility theory
§ 8.3 — The value function
§ 8.4 — Flagging prospect theory: Log-logistic distribution
§ 8.5 — Flagging prospect theory: Two-parameter lognormal distribution§ 8.6 — Cumulative prospect theory
§ 8.7 — The weighting function
§ 8.8 — The fourfold pattern
Chapter 9 — Specific Applications of Prospect Theory to Behavioral Finance
§ 9.1 — The longing for lotteries
§ 9.2 — Initial public offerings
§ 9.3 — Prospect theory and Bowman’s paradox
§ 9.4 — Prospect theory and the equity premium puzzle: Myopic loss aversion
§ 9.5 — Another equity premium solution: Prospect theory and asset pricing
Chapter 10 — Beyond Hope and Fear: Behavioral Portfolio Theory
§ 10.1 — Prospect’s progress: Beyond theories of Everyman
§ 10.2 — SP/A theory
§ 10.3 — The human heart in conflict with itself
§ 10.4 — Roy’s safety-first criterion
§ 10.5 — Behavioral portfolio theory§ 10.6 — The practical consequences of behaviorally sensitive portfolio optimization
§ 10.7 — Behavioral portfolio theory as a form of value-at-risk (VaR) analysis
Chapter 11 — Behavioral Gaps Between Hypothetical Investment Returns and Actual Investor Returns
§ 11.1 — Hypothetical investment returns versus actual investor returns
§ 11.2 — The disposition effect
§ 11.3 — The behavioral origins of the investment gap
§ 11.4 — ψ:Measuring behavioral gaps in investment performance
§ 11.5 — The effect of capital gains taxation
Chapter 12 — Irrational Exuberance: Momentum Crashes and Speculative Bubbles
§ 12.1 — Some speculation about speculative bubbles
§ 12.2 — The behavioral origins of stock market momentum
§ 12.3 — Momentum crashes
§ 12.4 — Liquidity risk
§ 12.5 — A simple model of informed and naïve trading
Conclusion: The Monster and the Sleeping Queen
Explains how investor behavior affects financial economics
Traces market momentum, irrational exuberance, and speculative bubbles to cognitive biases
Reconciles mathematical finance with abnormal markets and irrational investors
Date de parution : 07-2018
Ouvrage de 343 p.
14.8x21 cm
Disponible chez l'éditeur (délai d'approvisionnement : 15 jours).
Prix indicatif 105,49 €
Ajouter au panierDate de parution : 10-2016
Ouvrage de 343 p.
14.8x21 cm
Disponible chez l'éditeur (délai d'approvisionnement : 15 jours).
Prix indicatif 147,69 €
Ajouter au panier
