Stochastic Dominance

Name: Stochastic Dominance
Author: Haim Levy

Investment Decision Making under Uncertainty

Paperback Engels 2010 2e druk 9781441939838

€ 240,99

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Samenvatting

This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this process: the stochastic dominance approach; the mean-variance approach; and the non-expected utility approach, focusing on prospect theory and its modified version, cumulative prospect theory. Each approach is discussed and compared. In addition, this volume examines cases in which stochastic dominance rules coincide with the mean-variance rule and considers how contradictions between these two approaches may occur.

Specificaties

ISBN13:9781441939838

Taal:Engels

Bindwijze:paperback

Aantal pagina's:439

Uitgever:Springer US

Druk:2

Hoofdrubriek:Economie, Financieel management

Serie:Studies in Risk and Uncertainty

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Inhoudsopgave

Preface. 1. On the Measurement of Risk. 2. Expected Utility Theory. 3. Stochastic Dominance Decision Rules. 4. Stochastic Dominance: The Quantile Approach. 5. Algorithms for Stochastic Dominance. 6. Stochastic Dominance with Specific Distributions. 7. The Empirical Studies. 8. Applications of Stochastic Dominance Rules. 9. Stochastic Dominance and Risk Measures. 10. Stochastic Dominance and Diversification. 11. Decision Making and the Investment Horizon. 12. The CAPM and Stochastic Dominance. 13. Non-Expected Utility and Stochastic Dominance. 14. Future Research.