Stochastic Dominance: Investment Decision Making under Uncertainty

Stochastic Dominance: Investment Decision Making under Uncertainty

by Haim Levy
     
 

ISBN-10: 0792382609

ISBN-13: 9780792382607

Pub. Date: 11/28/1998

Publisher: Springer London, Limited

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.

These approaches are discussed and compared in this book. In addition, this volume examines cases in which stochastic dominance rules coincide with the mean-variance rule and cases in

Overview

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.

These approaches are discussed and compared in this book. In addition, this volume examines cases in which stochastic dominance rules coincide with the mean-variance rule and cases in which contradictions between these two approaches may occur. It then discusses the relationship between stochastic dominance rules and prospect theory, and establishes a new investment decision rule which combines the two and which we call prospect stochastic dominance. Although all three approaches are discussed, most of the book is devoted to the stochastic dominance paradigm.

Product Details

ISBN-13:
9780792382607
Publisher:
Springer London, Limited
Publication date:
11/28/1998
Series:
Studies in Risk and Uncertainty
Pages:
396
Product dimensions:
6.49(w) x 9.62(h) x 1.18(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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