Econophysics and Capital Asset Pricing: Splitting the Atom of Systematic Risk (Quantitative Perspectives on Behavioral Economics and Finance)

James Ming Chen

ISBN 10: 3319875647 / ISBN 13: 9783319875644

Verlag: Palgrave Macmillan, 2018

reprint edition. 287 pages. 8.27x5.83x0.69 inches. In Stock. Bestandsnummer des Verkäufers __3319875647

Inhaltsangabe:

This book rehabilitates beta as a definition of systemic risk by using particle physics to evaluate discrete components of financial risk. Much of the frustration with beta stems from the failure to disaggregate its discrete components; conventional beta is often treated as if it were "atomic" in the original Greek sense: uncut and indivisible. By analogy to the Standard Model of particle physics theory's three generations of matter and the three-way interaction of quarks, Chen divides beta as the fundamental unit of systemic financial risk into three matching pairs of "baryonic" components. The resulting econophysics of beta explains no fewer than three of the most significant anomalies and puzzles in mathematical finance. Moreover, the model's three-way analysis of systemic risk connects the mechanics of mathematical finance with phenomena usually attributed to behavioral influences on capital markets. Adding consideration of volatility and correlation, and of the distinct cash flow and discount rate components of systematic risk, harmonizes mathematical finance with labor markets, human capital, and macroeconomics. 

Über die Autorin bzw. den Autor:

James Ming Chen holds the Justin Smith Morrill Chair in Law at Michigan State University, USA. His books, Disaster Law and Policy, Postmodern Portfolio Theory, and Finance and the Behavioral Prospect 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, DC; 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.

Bibliografische Details

Titel: Econophysics and Capital Asset Pricing: ...
Verlag: Palgrave Macmillan
Erscheinungsdatum: 2018
Einband: Paperback
Zustand: Brand New