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Title
Stochastic dominance : investment decision making under uncertainty / Haim Levy.
Edition
Third edition.
ISBN
9783319217086 (electronic book)
3319217089 (electronic book)
9783319217079
3319217070
Published
Cham : Springer, 2016.
Language
English
Description
1 online resource
Other Standard Identifiers
10.1007/978-3-319-21708-6 doi
Call Number
HG4529 .L484 2016
Dewey Decimal Classification
332.601/51922
Summary
This 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.
Bibliography, etc. Note
Includes bibliographical references and index.
Access Note
Access limited to authorized users.
Digital File Characteristics
text file PDF
Source of Description
Online resource; title from PDF title page (viewed November 5, 2015).
Risk: 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.
