Stochastic Dominance: Investment Decision Making under Uncertaintyby Haim Levy
Pub. Date: 11/28/1998
Publisher: Springer London, Limited
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
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.
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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