Stochastic Dominance - Investment Decision Making under Uncertainty (Studies in Risk and Uncertainty) [Hardcover]

Haim Levy (Editor)

Book Description

ISBN-10: 0792382609 | ISBN-13: 978-0792382607 | Publication Date: November 30, 1998 | Edition: 1st

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.

Editorial Reviews

Review

From the reviews of the second edition: "This book is an economics book about stochastic dominance. … is certainly a valuable reference for graduate students interested in decision making under uncertainty. It investigates and compares different approaches and presents many examples. Moreover, empirical studies and experimental results play an important role in this book, which makes it interesting to read." (Nicole Bäuerle, Mathematical Reviews, Issue 2007 d) --This text refers to an alternate Hardcover edition.

From the Back Cover

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. --This text refers to an alternate Hardcover edition.

Product Details

• Hardcover: 396 pages
• Publisher: Springer; 1st edition (November 30, 1998)
• Language: English
• ISBN-10: 0792382609
• ISBN-13: 978-0792382607
• Product Dimensions: 9.6 x 6.5 x 1.2 inches
• Shipping Weight: 1.8 pounds
• Amazon Best Sellers Rank: #1,680,267 in Books (See Top 100 in Books)

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