Handbook Of The Fundamentals Of Financial Decision Making (In 2 Parts) (inbunden)
Inbunden (Hardback)
Antal sidor
World Scientific Publishing Co Pte Ltd
247 x 165 x 63 mm
1950 g
Antal komponenter
2 Hardbacks
Handbook Of The Fundamentals Of Financial Decision Making (In 2 Parts) (inbunden)

Handbook Of The Fundamentals Of Financial Decision Making (In 2 Parts)

In 2 Volumes

Inbunden Engelska, 2013-07-10
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This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2nd edition published in 2006).
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MacLean and Ziemba have assembled the essential reference work on financial decision making. The contents are tastefully and expertly selected, spanning the field comprehensively from axiomatic foundations to illustrative and useful applications. -- Darrell Duffie "Dean Witter Distinguished Professor of Finance, Stanford University" These two parts contain a superb collection of papers covering the fundamental topics of asset pricing theory. Organized from the basic theories to complex optimal dynamic trading strategies, these readings are a complete one-stop and essential set of references for any serious scholar or user of these models. -- Robert Jarrow "Ronald P & Susan E Lynch Professor of Investment Management, Professor of Finance, Samuel Curtis Johnson Graduate School of Management, Cornell University" This handbook is a good compendium of some of the classic papers on decision making under uncertainty. It would be a useful addition to the library of any financial economist. -- Marti G Subrahmanyam "Charles E Merrill Professor of Finance and Economics, New York University" This is not the usual collection of important articles published in finance, it is a definite collection that nobody involved in financial-decision making, in particular portfolio management, should be without! -- Roger J-B Wets "Professor of Mathematics, University of California, Davis"

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Volume I: Decision Making Under Uncertainty: Arbitrage: The Arbitrage Theory of Capital Asset Pricing (S A Ross); The Fundamental Theorem of Asset Pricing in R. Cont (W Schachermayer); Risk Neutral Pricing in R. Cont (W Schachermayer); Using Tucker's Theorem of the Alternative to Provide a Framework for Proving Basic Arbitrage Results (M Kallio and W T Ziemba); Utility Theory: A General Theory of Subjective Probabilities and Expected Utilities (P Fishburn); Prospect Theory: An Analysis of Decisions under Risk (A Tversky and D Kahneman); Prospect Theory: Much Ado About Nothing (M Levy and H Levy); Prospect Theory and Mean-Variance Analysis (M Levy and H Levy); Substitution, Risk Aversion and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (L G Epstein and S E Zin); Risk Aversion and Expected Utility Theory: A Calibration Theorem (M Rabin); Non-Expected Utility Theory in J L Tengels and B Sundt (M Machina); Risk Aversion and Static Portfolio Theory: Risk Aversion in the Small and in the Large (J W Pratt); Univariate and Multivariate Measures of Risk Aversion and Risk Premiums (Y Li and W T Ziemba); The Effect of Errors in Mean and Co-Variance Estimates on Optimal Portfolio Choice (V Chopra and W T Ziemba); Calculation of Investment Portfolios With Risk Free Borrowing and Lending (W T Ziemba, C Parkan and F J Brooks-Hill); Comparison of Alternative Utility Functions in Portfolio Selection Problems (J G Kallberg and W T Ziemba); Characterizations of Optimal Portfolios by Univariate and Multivariate Risk Aversion (Y Li and W T Ziemba); Choosing Investment Portfolios When the Returns Have Stable Distributions (W T Ziemba); Covariance Complexity and Rates of Return on Assets (L C MacLean, M Foster and W T Ziemba); Anomalies: Risk Aversion (M Rabin and R A Thaler); Stochastic Dominance: The Efficiency Analysis of Choices Involving Risk (G Hanoch and H Levy); Stochastic Dominance, Efficiency Criteria, and Efficient Portfolios: The Multi-Period Case (H Levy); Volume II: From Decision Making to Measurement and Dynamic Modeling: Risk Measures: The Innovest Austrian Pension Fund Planning Model InnoALM (A Geyer and W T Ziemba); Axiomatic Convex Risk Measures (R T Rockafellar and W T Ziemba); Convex Risk Measures: Basic Facts, Law Invariance and Beyond, Asymptotics for Large Portfolios (H Follmer and T Knispel); Modeling and Optimization of Risk (P Krokhmal, M Zabarankin and S Uryasev); Dynamic Portfolio Theory and Tactical Asset Allocation: Utility and Goal Based Consumption-Investment Models: DEA-Based Firm Strengths and Market Efficiency in US and Japan (C Edirisinghe, X Zhang and S-C Shyi); The Kelly Strategy for Investing: Risk and Reward (L C MacLean and W T Ziemba); Reaching Goals by a Deadline: Digital Options and Continuous-Time Active Portfolio Management (S Browne); Beating a Moving Target: Optimal Portfolio Strategies for Outperforming a Stochastic Benchmark (S Browne); Stochastic Differential Portfolio Games (S Browne); Fractional Kelly Strategies in Continuous Time: Recent Developments (M Davis and S Lleo); Growth-Optimal Investments and Numeraire Portfolios Under Transactions Costs (W Bahsoun, I V Evstigneev and M I Taksar); A Multivariate Model of Strategic Asset Allocation (J Y Campbell, Y I Chou and L Viceira); Maximizing Capital Growth With Black Swan Protection (S Mizusawa and E O Thorp, E O Thorp and Associates) .