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000890075 019__ $$a927972003$$a1018385162$$a1066461360
000890075 020__ $$a9783319217086$$q(electronic book)
000890075 020__ $$a3319217089$$q(electronic book)
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000890075 0247_ $$a10.1007/978-3-319-21708-6$$2doi
000890075 035__ $$aSP(OCoLC)ocn927404626
000890075 035__ $$aSP(OCoLC)927404626$$z(OCoLC)927972003$$z(OCoLC)1018385162$$z(OCoLC)1066461360
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000890075 049__ $$aISEA
000890075 050_4 $$aHG4529$$b.L484 2016
000890075 08204 $$a332.601/51922$$223
000890075 1001_ $$aLevy, Haim,$$eauthor.
000890075 24510 $$aStochastic dominance :$$binvestment decision making under uncertainty /$$cHaim Levy.
000890075 250__ $$aThird edition.
000890075 264_1 $$aCham :$$bSpringer,$$c2016.
000890075 300__ $$a1 online resource
000890075 336__ $$atext$$btxt$$2rdacontent
000890075 337__ $$acomputer$$bc$$2rdamedia
000890075 338__ $$aonline resource$$bcr$$2rdacarrier
000890075 347__ $$atext file$$bPDF$$2rda
000890075 504__ $$aIncludes bibliographical references and index.
000890075 5050_ $$aRisk: Is There a Unique Objective Measure? -- Expected Utility Theory -- Stochastic Dominance Decision Rules -- Stochastic Dominance: The Quantile Approach -- Algorithms for Stochastic Dominance -- Stochastic Dominance with Specific Distributions -- Almost Stochastic Dominance (ASD) -- Stochastic Dominance and Risk Measures -- Stochastic Dominance and Diversification -- The CAPM and Stochastic Dominance -- The Empirical Studies: Dominance and Significance Tests -- Applications of Stochastic Dominance Rules -- Mean-Variance, Stochastic Dominance and the Investment Horizon -- Stock Versus Bonds: A Stochastic Dominance Approach -- Non-Expected Utility and Stochastic Dominance -- Stochastic Dominance and Prospect Theory -- Multivariate Utility Functions -- Future Research.
000890075 506__ $$aAccess limited to authorized users.
000890075 520__ $$aThis updated 3rd edition is devoted to the analysis of various Stochastic Dominance (SD) decision rules. It discusses the pros and cons of each of the alternate SD rules, the application of these rules to various research areas like statistics, agriculture, medicine, measuring income inequality and the poverty level in various countries, and of course, to investment decision-making under uncertainty. The book features changes and additions to the chapters, and also includes two completely new chapters. One deals with asymptotic SD and the relation between FSD and the maximum geometric mean (MGM) rule (or the maximum growth portfolio). The other new chapter discusses bivariate SD rules where the individualℓ́ℓs utility is determined not only by his own wealth, but also by his standing relative to his peer group. The book covers the following basic issues: the SD approach, asymptotic SD rules, the mean-variance (MV) approach, as well as the non-expected utility approach. The non-expected utility approach focuses on Regret Theory (RT) and mainly on prospect theory (PT) and its modified version, cumulative prospect theory (CPT) which assumes S-shape preferences. In addition to these issues the book suggests a new stochastic dominance rule called the Markowitz stochastic dominance (MSD) rule corresponding to all reverse-S-shape preferences. It also discusses the concept of the multivariate expected utility and analyzed in more detail the bivariate expected utility case.
000890075 588__ $$aOnline resource; title from PDF title page (viewed November 5, 2015).
000890075 650_0 $$aInvestment analysis$$xMathematics.
000890075 650_0 $$aStochastic processes.
000890075 650_0 $$aStatistical decision.
000890075 77608 $$iErscheint auch als:$$nDruck-Ausgabe$$aLevy, Haim. Stochastic Dominance .$$tInvestment Decision Making under Uncertainty
000890075 852__ $$bebk
000890075 85640 $$3SpringerLink$$uhttps://univsouthin.idm.oclc.org/login?url=http://link.springer.com/10.1007/978-3-319-21708-6$$zOnline Access$$91397441.1
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000890075 980__ $$aBIB
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