Stochastic Dominance
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Stochastic Dominance
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Author : Haim Levy
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-08-25
Stochastic Dominance written by Haim Levy and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-08-25 with Business & Economics categories.
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.
Stochastic Dominance
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Author : G. A. Whitmore
language : en
Publisher:
Release Date : 1978
Stochastic Dominance written by G. A. Whitmore and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1978 with Business & Economics categories.
Theoretical foundations of stochastic dominance; Portfolio applications: empirical studies; Portfolio applications: computational aspects; Applications to financial management and capital markets; Applications in economic theory and analysis.
Stochastic Dominance In Portfolio Analysis And Asset Pricing
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Author : Andrey M. Lizyayev
language : en
Publisher: Rozenberg Publishers
Release Date : 2010
Stochastic Dominance In Portfolio Analysis And Asset Pricing written by Andrey M. Lizyayev and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
Econometric Analysis Of Stochastic Dominance
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Author : Yoon-Jae Whang
language : en
Publisher: Cambridge University Press
Release Date : 2019-01-31
Econometric Analysis Of Stochastic Dominance written by Yoon-Jae Whang and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-01-31 with Business & Economics categories.
Provides a comprehensive analysis of stochastic dominance through coverage of concepts, methods of estimation, inferential tools, and applications.
Stochastic Dominance And Applications To Finance Risk And Economics
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Author : Songsak Sriboonchita
language : en
Publisher: CRC Press
Release Date : 2009-10-19
Stochastic Dominance And Applications To Finance Risk And Economics written by Songsak Sriboonchita and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-10-19 with Business & Economics categories.
Drawing from many sources in the literature, Stochastic Dominance and Applications to Finance, Risk and Economics illustrates how stochastic dominance (SD) can be used as a method for risk assessment in decision making. It provides basic background on SD for various areas of applications. Useful Concepts and Techniques for Economics ApplicationsThe
Stochastic Dominance
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Author : Haim Levy
language : en
Publisher: Springer
Release Date : 2008-11-01
Stochastic Dominance written by Haim Levy and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-11-01 with Business & Economics categories.
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.
Stochastic Dominance
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Author :
language : en
Publisher:
Release Date : 1978
Stochastic Dominance written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1978 with categories.
Stochastic Dominance Option Pricing
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Author : Stylianos Perrakis
language : en
Publisher: Springer
Release Date : 2019-05-03
Stochastic Dominance Option Pricing written by Stylianos Perrakis and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-05-03 with Business & Economics categories.
This book illustrates the application of the economic concept of stochastic dominance to option markets and presents an alternative option pricing paradigm to the prevailing no arbitrage simultaneous equilibrium in the frictionless underlying and option markets. This new methodology was developed primarily by the author, working independently or jointly with other co-authors, over the course of more than thirty years. Among others, it yields the fundamental Black-Scholes-Merton option value when markets are complete, presents a new approach to the pricing of rare event risk, and uncovers option mispricing that leads to tradeable strategies in the presence of transaction costs. In the latter case it shows how a utility-maximizing investor trading in the market and a riskless bond, subject to proportional transaction costs, can increase his/her expected utility by overlaying a zero-net-cost portfolio of options bought at their ask price and written at their bid price, irrespective of the specific form of the utility function. The book contains a unified presentation of these methods and results, making it a highly readable supplement for educators and sophisticated professionals working in the popular field of option pricing. It also features a foreword by George Constantinides, the Leo Melamed Professor of Finance at the Booth School of Business, University of Chicago, USA, who was a co-author in several parts of the book.
Stochastic Dominance And Applications To Finance Risk And Economics
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Author : Songsak Sriboonchitta
language : en
Publisher:
Release Date : 2009*
Stochastic Dominance And Applications To Finance Risk And Economics written by Songsak Sriboonchitta and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009* with categories.
Stochastic Dominance Increasing Risk And Risk Aversion
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Author : Jack Meyer
language : en
Publisher:
Release Date : 1974
Stochastic Dominance Increasing Risk And Risk Aversion written by Jack Meyer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1974 with Risk categories.