Stochastic Dominance: Investment Decision Making under Uncertainty

✍ Scribed by Myles Robinson Professor of Finance Haim Levy (auth.)

• Publisher: Springer US
• Year: 2006
• Tongue: English
• Leaves: 441
• Series: Studies in Risk and Uncertainty 12
• Edition: 2
• Category: Library

✦ Synopsis

Stochastic Dominanceis 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, cumulativeprospect 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

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

✦ Subjects

Finance /Banking; Microeconomics; Operations Research/Decision Theory