Haim Levy – Stochastic Dominance: Investment Decision Making under Uncertainty

Description

Stochastic Dominance: Investment Decision Making under Uncertainty (2nd Edition)

By: Haim Levy

Publisher: Springer (2006)

Edition Number: 2

Number Of Pages: 440

Format: Ebook (PDF)

Part of the Studies in Risk and Uncertainty book series (SIRU, volume 12)

Description

Stochastic Dominance 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.

Table Of Contents

Front Matter
Pages i-6

• On the Measurement of Risk
  Pages 7-24
• Expected Utility Theory
  Pages 25-48
• Stochastic Dominance Decision Rules
  Pages 49-141
• Stochastic Dominance: The Quantile
  Pages 143-172
• Algorithms for Stochastic Dominance
  Pages 173-195
• Stochastic Dominance with Specific Distributions
  Pages 197-222
• The Empirical Studies
  Pages 223-240
• Applications of Stochastic Dominance Rules
  Pages 241-256
• Stochastic Dominance and Risk Measures
  Pages 257-269
• Stochastic Dominance and Diversification
  Pages 271-291
• Decision Making and the Investment Horizon
  Pages 293-312
• The CAMP and Stochastic Dominance
  Pages 313-329
• Almost Stochastic Dominance (ASD)
  Pages 331-351
• Non-Expected Utility and Stochastic Dominance
  Pages 353-371
• Stochastic Dominance and Prospect Theory
  Pages 373-393
• Future Research
  Pages 395-405

Back Matter
Pages 407-439

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Sales page: https://link.springer.com/book/10.1007/0-387-29311-6#about
Archive: https://archive.ph/k86Rm