Stochastic Dominance
Springer International Publishing (Verlag)
978-3-319-21707-9 (ISBN)
This fully updated third edition is devoted to the analysis of various Stochastic Dominance (SD) decision rules. It discusses the pros and cons of each of the alternate SD rules, the application of these rules to various research areas like statistics, agriculture, medicine, measuring income inequality and the poverty level in various countries, and of course, to investment decision-making under uncertainty. The book features changes and additions to the various chapters, and also includes two completely new chapters. One deals with asymptotic SD and the relation between FSD and the maximum geometric mean (MGM) rule (or the maximum growth portfolio). The other new chapter discusses bivariate SD rules where the individual's utility is determined not only by his own wealth, but also by his standing relative to his peer group.
Stochastic Dominance: Investment Decision Making under Uncertainty, 3rd Ed. covers the following basic issues: the SD approach, asymptotic SD rules, the mean-variance (MV) approach, as well as the non-expected utility approach. The non-expected utility approach focuses on Regret Theory (RT) and mainly on prospect theory (PT) and its modified version, cumulative prospect theory (CPT) which assumes S-shape preferences. In addition to these issues the book suggests a new stochastic dominance rule called the Markowitz stochastic dominance (MSD) rule corresponding to all reverse-S-shape preferences. It also discusses the concept of the multivariate expected utility and analyzed in more detail the bivariate expected utility case.
From the reviews of the second edition:
"This book is an economics book about stochastic dominance. ... is certainly a valuable reference for graduate students interested in decision making under uncertainty. It investigates and compares different approaches and presents many examples. Moreover, empirical studies and experimental results play an important role in this book, which
makes it interesting to read." (Nicole Bäuerle, Mathematical Reviews, Issue 2007 d)Haim Levy is Miles Robinson Professor of Business Administration at the Hebrew University of Jerusalem and Dean of the Academic Center of Law and Business, Israel. The author of hundreds of articles in leading academic journals and about 20 books, he has obtained the ranking of the most prolific researcher in finance in the world covering the 40 years through 1986 and the most prolific researcher in finance in the world in the core 16 finance journals covering the 50-year period through 2005. He has also developed economic models for equilibrium asset pricing in an imperfect market. Professor Levy received the Hebrew University's Prize for Excellence in Research in 1996 and the Emet Prize in 2006. He has served as economic adviser to the Bank of Israel and held a University Professor position at the University of Florida and visiting academic positions at the University of California, Berkeley and the Wharton School, University of Pennsylvania. He received his Ph.D. from the Hebrew University in 1969 and has held a full professorship there since 1976.
Risk: Is There a Unique Objective Measure?.- Expected Utility Theory.- Stochastic Dominance Decision Rules.- Stochastic Dominance: The Quantile Approach.- Algorithms for Stochastic Dominance.- Stochastic Dominance with Specific Distributions.- Almost Stochastic Dominance (ASD).- Stochastic Dominance and Risk Measures.- Stochastic Dominance and Diversification.- The CAPM and Stochastic Dominance.- The Empirical Studies: Dominance and Significance Tests.- Applications of Stochastic Dominance Rules.- Mean-Variance, Stochastic Dominance and the Investment Horizon.- Stock Versus Bonds: A Stochastic Dominance Approach.- Non-Expected Utility and Stochastic Dominance.- Stochastic Dominance and Prospect Theory.- Multivariate Utility Functions.- Future Research.
| Erscheint lt. Verlag | 12.11.2015 |
|---|---|
| Zusatzinfo | XXII, 505 p. |
| Verlagsort | Cham |
| Sprache | englisch |
| Maße | 155 x 235 mm |
| Gewicht | 927 g |
| Themenwelt | Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung |
| Wirtschaft ► Volkswirtschaftslehre | |
| Schlagworte | Cumulative Prospect Theory • Mean-Variance Approach • Non-Expected Utility • Prospect Stochastic Dominance • Prospect Theory • Risk • Stochastic Dominance |
| ISBN-10 | 3-319-21707-0 / 3319217070 |
| ISBN-13 | 978-3-319-21707-9 / 9783319217079 |
| Zustand | Neuware |
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