Haim Levy - Stochastic Dominance: Investment Decision Making under Uncertainty

Haim Levy - Stochastic Dominance: Investment Decision Making under Uncertainty digital download. Info: [eBook (PDF)]. Stochastic Dominance is devoted to...

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Haim Levy - Stochastic Dominance: Investment Decision Making under Uncertainty

Type: Digital download

Format: [eBook (PDF)]

Salepage: https://link.springer.com/book/10.1007/0-387-29311-6#about

Archive: https://archive.ph/k86Rm

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)


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