Bokus
Stochastic Dominance

Häftad, Engelska, 2010

Stochastic Dominance

Av Haim Levy

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Beskrivning
This second edition of Stochastic Dominance is devoted to investment decision­ making under uncertainty. The book covers four basic approaches to this process: a) The stochastic dominance (SD) approach, developed on the foundation of von-Neumann and Morgenstem^ expected utiHty paradigm. b) The mean-variance approach developed by Markowitz^ on the foundation of von-Neumann and Morgenstern's expected utility or simply on the assumption of a utility function based on mean and variance. c) The "almost" stochastic dominance (ASD) rules and the "almost" me- variance rule (AMV). No matter whether one employs objective or subjective probabilities, the common stochastic dominance criteria and the mean variance rule may lead to paradoxes: they are unable to rank prospect A w^hich yields $1 with a probability of 0.01 and a million dollars with probability of 0.99, and prospect B which yields $2 with certainty. This is an absurdity as in any sample of subjects one takes, 100% of subjects choose A. The "almost" stochastic dominance criteria and "almost" mean variance rule, which have been recently been developed by Leshno and Levy in 2002^, suggest a remedy to such paradoxes.
Produktinformation
  • Utgivningsdatum: 2010-11-25
  • Mått: 155 x 235 x undefined mm
  • Vikt: 686 g
  • Format: Häftad
  • Språk: Engelska
  • Antal sidor: 439
  • Förlag: Springer-Verlag New York Inc.
  • Serie: Studies in Risk and Uncertainty
  • ISBN: 9781441939838
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