POST-MODERN PORTFOLIO THEORY AS A NEW STAGE OF PORTFOLIO PARADIGM OF INTERNATIONAL INVESTING DEVELOPMENT
Journal Title: Проблеми системного підходу в економіці - Year 2017, Vol 4, Issue 60
Abstract
The analysis of evolutionary environment of post-modern portfolio theory origin and development is carried out. It is justified that this theory represents the new stage of portfolio paradigm of international investing development. It is proved that post-modern portfolio theory is of a positive kind that substantially differentiates it from the traditional normative portfolio theory. The comparative analysis of traditional and post-modern portfolio theories is performed. It is found out that the post-modern portfolio theory key identifier implies considering the third (asymmetry), the fourth (kurtosis) and higher moments of returns distributions. Using the results of contemporary empirical studies, it is shown that optimizing investment portfolios under post-modern approach gives better results compared to biparametric optimization. Two core gnoseological identifiers of post-modern portfolio are revealed. They are the downside risk and considering at least the third moment of returns distribution which is asymmetry. The prospects of portfolio paradigm further development are defined. It will develop in the course of the third, the fourth and more importantly, the higher moments of returns distribution analysis and research, that are poorly developed in scientific literature nowadays. This in turn will require adjustment of efficient portfolio concept.
Authors and Affiliations
P. V. Dziuba
Keywords
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