Stochastic Dominance: Investment Decision Making under Uncertainty / Edition 2

Stochastic Dominance: Investment Decision Making under Uncertainty / Edition 2

by Haim Levy
     
 

ISBN-10: 0387293027

ISBN-13: 9780387293028

Pub. Date: 02/23/2006

Publisher: Springer US

This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this process: the shastic 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,

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Overview

This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this process: the shastic 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 shastic dominance rules coincide with the mean-variance rule and considers how contradictions between these two approaches may occur.

Product Details

ISBN-13:
9780387293028
Publisher:
Springer US
Publication date:
02/23/2006
Series:
Studies in Risk and Uncertainty Series, #12
Edition description:
2nd ed. 2006
Pages:
439
Product dimensions:
6.14(w) x 9.21(h) x 0.04(d)

Table of Contents

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

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