Stochastic Dominance (2nd Ed., Softcover reprint of hardcover 2nd ed. 2006)
Investment Decision Making under Uncertainty
Studies in Risk and Uncertainty Series, Vol. 12

Coordinator: Levy Haim

Language: English

210.99 €

In Print (Delivery period: 15 days).

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Stochastic Dominance (2nd Ed.)
Publication date:
439 p. · 15.5x23.5 cm · Paperback

Approximative price 152.92 €

Subject to availability at the publisher.

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Stochastic dominance : Investment decisi on making under uncertainty, (Studies in risk & uncertainty, Vol. 12), (2nd Ed.)
Publication date:
400 p. · Hardback

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. Each approach is discussed and compared. In addition, this volume examines cases in which stochastic dominance rules coincide with the mean-variance rule and considers how contradictions between these two approaches may occur.

Preface. 1. On the Measurement of Risk. 2. Expected Utility Theory. 3. Stochastic Dominance Decision Rules. 4. Stochastic Dominance: The Quantile Approach. 5. Algorithms for Stochastic Dominance. 6. Stochastic Dominance with Specific Distributions. 7. The Empirical Studies. 8. Applications of Stochastic Dominance Rules. 9. Stochastic Dominance and Risk Measures. 10. Stochastic Dominance and Diversification. 11. Decision Making and the Investment Horizon. 12. The CAPM and Stochastic Dominance. 13. Non-Expected Utility and Stochastic Dominance. 14. Future Research.

Includes supplementary material: sn.pub/extras