Stochastic Dominance: Investment Decision Making under Uncertainty / Edition 2

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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.

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Editorial Reviews

From the Publisher

From the reviews of the second edition:

"This book is an economics book about shastic 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)

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Product Details

  • ISBN-13: 9780387293028
  • Publisher: Springer US
  • Publication date: 2/23/2006
  • Series: Studies in Risk and Uncertainty Series, #12
  • Edition description: 2nd ed. 2006
  • Edition number: 2
  • Pages: 439
  • Product dimensions: 9.21 (w) x 6.14 (h) x 1.06 (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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