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Książka Stochastic Dominance Haim Levy

Stochastic Dominance

Investment Decision Making under Uncertainty

Autor: Haim Levy
Język: Angielski
Oprawa: Twarda
Wydawca: Springer International Publishing AG
Dostępność: Dostępna u dostawcy
Wysyłamy za 10-13 dni
683.52 zł
This fully updated third edition is devoted to the analysis of various Stochastic Dominance (SD) dec...

Informacje o książce

Autor
Haim Levy
Język
Angielski
Oprawa
Książka - Twarda
Data wydania
2015
strony
505
EAN
9783319217079
ISBN
3319217070
Enbook ID
09372126
Wydawca
Springer International Publishing AG
Waga
9103
Wymiary
155 x 235 x 36

Pełny opis

This fully updated third 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 various 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 individual's utility is determined not only by his own wealth, but also by his standing relative to his peer group.§§Stochastic Dominance: Investment Decision Making under Uncertainty, 3 rd Ed. 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 (.§§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)§

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