This fully updated third edition is devoted to the analysis of various
Stochastic Dominance (SD) decision rules. It discusses the pros and
cons of each of the alternate SD rules, the application of these rules
to various research areas like statistics, agriculture, medicine,
measuring income inequality and the poverty level in various
countries, and of course, to investment decision-making under
uncertainty. The book features changes and additions to the various
chapters, and also includes two completely new chapters. One deals
with asymptotic SD and the relation between FSD and the maximum
geometric mean (MGM) rule (or the maximum growth portfolio). The other
new chapter discusses bivariate SD rules where the individual’s
utility is determined not only by his own wealth, but also by his
standing relative to his peer group. Stochastic Dominance: Investment
Decision Making under Uncertainty, 3rd Ed. covers the following basic
issues: the SD approach, asymptotic SD rules, the mean-variance (MV)
approach, as well as the non-expected utility approach. The
non-expected utility approach focuses on Regret Theory (RT) and mainly
on prospect theory (PT) and its modified version, cumulative prospect
theory (CPT) which assumes S-shape preferences. In addition to these
issues the book suggests a new stochastic dominance rule called the
Markowitz stochastic dominance (MSD) rule corresponding to all
reverse-S-shape preferences. It also discusses the concept of the
multivariate expected utility and analyzed in more detail the
bivariate expected utility case. 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)
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Produktdetaljer
ISBN
9783319217086
Publisert
2018
Utgave
3. utgave
Utgiver
Vendor
Springer
Språk
Product language
Engelsk
Format
Product format
Digital bok
Forfatter