Haim Levy (ed.)

Stochastic Dominance

Investment Decision Making under Uncertainty
Herausgegeben:Levy, Haim

• Gebundenes Buch

Produktbeschreibung

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

Produktdetails

• Studies in Risk and Uncertainty 12
• Verlag: Springer, Berlin
• 2nd ed.
• Seitenzahl: 439
• Englisch
• Abmessung: 235mm x 155mm
• Gewicht: 816g
• ISBN-13: 9780387293028
• ISBN-10: 0387293027
• Artikelnr.: 21743449

Autorenporträt

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 Hebre

w University in 1969 and has held a full professorship there since 1976.

Inhaltsangabe

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

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On the Measurement of Risk.- Expected Utility Theory.- Stochastic Dominance Decision Rules.- Stochastic Dominance: The Quantile.- Algorithms for Stochastic Dominance.- Stochastic Dominance with Specific Distributions.- The Empirical Studies.- Applications of Stochastic Dominance Rules.- Stochastic Dominance and Risk Measures.- Stochastic Dominance and Diversification.- Decision Making and the Investment Horizon.- The CAMP and Stochastic Dominance.- Almost Stochastic Dominance (ASD).- Non-Expected Utility and Stochastic Dominance.- Stochastic Dominance and Prospect Theory.- Future Research.

Rezensionen

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)