Stochastic Dominance

Investment Decision Making under Uncertainty

Haim Levy

440 pages, parution le 30/04/2006 (2^eme édition)

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Résumé

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.

Sommaire

Preface
On the Measurement of Risk
Expected Utility Theory
Stochastic Dominance Decision Rules
Stochastic Dominance: The Quantile Approach
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 CAPM and Stochastic Dominance
Non-Expected Utility and Stochastic Dominance
Future Research

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Haim Levy
Parution	30/04/2006
Édition	2^eme édition
Nb. de pages	440
Format	16 x 24
Couverture	Relié
Poids	911g
Intérieur	Noir et Blanc
EAN13	9780387293028
ISBN13	978-0-387-29302-8