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 -- Τσσερα, Τσσερα : 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 volatility and volatility spillover around the world Chapter 9 -- A Four-Moment Capital Asset Pricing Model § 9.1 -- Harbingers of a four-moment capital asset pricing model § 9.2 -- Four-moment CAPM as a response to the Fama-French-Carhart four-factor model § 9.3 -- From asymmetric beta to coskewness and cokurtosis § 9.4 -- Skewness and kurtosis § 9.

5 -- Higher-moment CAPM as a Taylor series expansion § 9.6 -- Interpreting odd versus even moments § 9.7 -- Approximating and truncating the Taylor series expansion § 9.8 -- Profusion and confusion over measures of coskewness and cokurtosis § 9.9 -- A possible cure for portfolio theory''s curse of dimensionality: Relative lower partial moments Chapter 10 -- The Practical Implications of a Spatially Bifurcated Four-Moment Capital Asset Pricing Model § 10.1 -- Four-moment CAPM versus the four-factor model § 10.2 -- Correlation asymmetry § 10.3 -- Emerging markets § 10.

4 -- Size, value, and momentum Part IV -- Managing Kurtosis: Measures of Market Risk in Global Banking Regulation < Chapter 11 -- Going to Extremes: Leptokurtosis as an Epistemic Threat § 11.1 -- Value-at-risk (VaR) and expected shortfall in global banking regulation § 11.2 -- Leptokurtosis, fat tails, and non-Gaussian distributions Chapter 12 -- Parametric Value-at-Risk (VaR) Analysis § 12.1 -- The Basel Committee on Bank Supervision and the Basel accords § 12.2 -- The vulnerability of VaR analysis to model risk § 12.3 -- Gaussian VaR § 12.4 -- A simple worked example Chapter 13 -- Parametric VaR According to Student''s t -Distribution § 13.1 -- Choosing among non-Gaussian distributions § 13.

2 -- Stable Paretian distributions § 13.3 -- Student''s t -distribution § 13.4 -- The probability density and cumulative distribution functions of Student''s t -distribution § 13.5 -- Adjusting Student''s t -distribution according to observed levels of kurtosis § 13.6 -- Performing Parametric VaR Analysis with Student''s t -distribution Chapter 14 -- Comparing Student''s t -Distribution with the Logistic Distribution § 14.1 -- The logistic distribution § 14.2 -- Equal kurtosis, unequal variance Chapter 15 -- Expected Shortfall as a Response to Model Risk § 15.1 -- Value-at-risk versus expected shortfall § 15.

2 -- The incoherence of VaR § 15.3 -- Extrapolating expected shortfall from VaR § 15.4 -- A worked example § 15.5 -- Formally calculating expected shortfall from VaR under Student''s t -distribution § 15.6 -- Expected shortfall under a logistic model Chapter 16 --Latent Perils: Stressed VaR, Elicitability, and Systemic Risk § 16.1 -- Additional concerns § 16.2 -- Stressed VaR § 16.3 -- Expected shortfall and the elusive ideal of elicitability § 16.

4 -- Systemic risk § 16.5 -- A dismal forecast Conclusion: Finance as a Romance of Many Moments.