Stochastic Dominance: Investment Decision Making Under Uncertainty - Couverture rigide

Couverture rigide

ISBN 10 : 0792382609 ISBN 13 : 9780792382607

Editeur : Kluwer Academic Publishers, 1998

Synopsis

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. This book is intended for Ph.D students, advanced MBA students specializing in finance, and advanced MA economics students interested in the economics of uncertainty. The book can be used as a supplementary book in post-graduate courses on portfolio selection and investment decision-making under uncertainty.

Détails de l'édition

• Éditeur: Kluwer Academic Publishers
• Date d'édition: 1998
• Langue: anglais
• ISBN 10: 0792382609
• ISBN 13: 9780792382607
• Reliure: Relié
• Nombre de pages: 396
• Éditeur: Levy Haim
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible