Stochastic Dominance
Investment Decision Making Under Uncertainty
Seiten
2006
|
2nd ed. 2006
Springer-Verlag New York Inc.
978-0-387-29302-8 (ISBN)
Springer-Verlag New York Inc.
978-0-387-29302-8 (ISBN)
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Discusses investment decision-making under uncertainty. This 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.
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.
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.
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.
Reihe/Serie | Studies in Risk and Uncertainty ; 12 |
---|---|
Zusatzinfo | biography |
Verlagsort | New York, NY |
Sprache | englisch |
Maße | 156 x 234 mm |
Gewicht | 813 g |
Themenwelt | Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik |
Wirtschaft ► Betriebswirtschaft / Management ► Allgemeines / Lexika | |
Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung | |
ISBN-10 | 0-387-29302-7 / 0387293027 |
ISBN-13 | 978-0-387-29302-8 / 9780387293028 |
Zustand | Neuware |
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