Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Almost First Stochastic Dominance
Download Almost First Stochastic Dominance full books in PDF, epub, and Kindle. Read online Almost First Stochastic Dominance ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Almost First Stochastic Dominance by : James Huang
Download or read book Almost First Stochastic Dominance written by James Huang and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we apply the recently developed concept of almost first stochastic dominance to derive option bounds given the prices of any number of concurrently expiring options. Almost first stochastic dominance is adjusted first stochastic dominance which bars extreme utility functions that cause practical paradoxes. We show that the optimal almost first stochastic dominance option bounds are given by piecewise constant pricing kernels. The number of the segments of the optimal piecewise constant pricing kernel depends on the number of observed options. We then use the above model to test almost first stochastic dominance using data from options markets.
Book Synopsis Revisiting Almost Marginal Conditional Stochastic Dominance by : 蔡安玫
Download or read book Revisiting Almost Marginal Conditional Stochastic Dominance written by 蔡安玫 and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Almost First-degree Stochastic Dominance for Transformations and Its Application in Insurance Strategy by : Feng Zhao
Download or read book Almost First-degree Stochastic Dominance for Transformations and Its Application in Insurance Strategy written by Feng Zhao and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Dominance written by Haim Levy and published by Springer. This book was released on 2015-10-31 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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)
Book Synopsis Moment Conditions for Almost Stochastic Dominance by : Xu Guo
Download or read book Moment Conditions for Almost Stochastic Dominance written by Xu Guo and published by . This book was released on 2013 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study establishes necessary conditions for Almost Stochastic Dominance criteria of various orders. These conditions take the form of restrictions on algebraic combinations of moments of the probability distributions in question. The relevant set of conditions depends on the relevant order of ASD but not on the critical value for the admissible violation area. These conditions can help to reduce the information requirement and computational burden in practical applications. A numerical example and an empirical application to historical stock market data illustrate the moment conditions. The first four moment conditions in particular seem appealing for many applications.
Book Synopsis Studies in the Economics of Uncertainty by : Thomas B. Fomby
Download or read book Studies in the Economics of Uncertainty written by Thomas B. Fomby and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 233 pages. Available in PDF, EPUB and Kindle. Book excerpt: Studies in the Economics of Uncertainty presents some new developments in the economics of uncertainty produced by leading scholars in the field. The contributions to this Festschrift in honor of Professor Josef Hadar of Southern Methodist University cover a broad range of topics centered on the principle of Stochastic Dominance. Topics covered range from theoretical and statistical developments on Stochastic Dominance to new applications of the Stochastic Dominance Theory. The intended audience includes researchers interested in recent developments in tools used for decision-making under uncertainty as well as economists currently applying Stochastic Dominance principles to the analysis of the Theory of Firm, International Trade, and the Theory of Finance.
Book Synopsis Stochastic dominance in portfolio analysis and asset pricing by : Andrey M. Lizyayev
Download or read book Stochastic dominance in portfolio analysis and asset pricing written by Andrey M. Lizyayev and published by Rozenberg Publishers. This book was released on 2010 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Almost Prospect and Markowitz Stochastic Dominance by : Raymond Honfu Chan
Download or read book Almost Prospect and Markowitz Stochastic Dominance written by Raymond Honfu Chan and published by . This book was released on 2018 with total page 3 pages. Available in PDF, EPUB and Kindle. Book excerpt: Levy and Wiener (1998), L ...
Book Synopsis Generalized Almost Stochastic Dominance by : Rachel J. Huang
Download or read book Generalized Almost Stochastic Dominance written by Rachel J. Huang and published by . This book was released on 2014 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Almost stochastic dominance allows small violations of stochastic dominance rules to avoid situations where most decision makers prefer one alternative to another but stochastic dominance cannot rank them. While the idea behind almost stochastic dominance is quite promising, it has not caught on in practice. Implementation issues and inconsistencies between integral conditions and their associated utility classes contribute to this situation. We develop generalized almost second-degree stochastic dominance and almost second-degree risk in terms of the appropriate utility classes and their corresponding integral conditions, and extend these concepts to higher degrees. We address implementation issues and show that generalized almost stochastic dominance inherits the appealing properties of stochastic dominance. Finally, we defiijne convex generalized almost stochastic dominance to deal with risk-loving preferences. Generalized almost stochastic dominance could be useful in decision analysis, in empirical research (e.g., in fiijnance), and in theoretical analyses of applied situations.
Book Synopsis A Probability Metrics Approach to Financial Risk Measures by : Svetlozar T. Rachev
Download or read book A Probability Metrics Approach to Financial Risk Measures written by Svetlozar T. Rachev and published by John Wiley & Sons. This book was released on 2011-03-10 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Probability Metrics Approach to Financial Risk Measures relates the field of probability metrics and risk measures to one another and applies them to finance for the first time. Helps to answer the question: which risk measure is best for a given problem? Finds new relations between existing classes of risk measures Describes applications in finance and extends them where possible Presents the theory of probability metrics in a more accessible form which would be appropriate for non-specialists in the field Applications include optimal portfolio choice, risk theory, and numerical methods in finance Topics requiring more mathematical rigor and detail are included in technical appendices to chapters
Book Synopsis Consistent Tests for Almost Stochastic Dominance by : Xu Guo
Download or read book Consistent Tests for Almost Stochastic Dominance written by Xu Guo and published by . This book was released on 2015 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leshno and Levy (2002) introduce the concept of the first and second order of almost stochastic dominance (ASD) for most decision makers. There are many studies investigating the properties of this concept. Many empirical applications are also conducted based on it. However, there is no formal statistical inference procedure up to now. In this paper, we aim to develop consistent test statistics for the first three order of ASD. Two numerical approaches are proposed to determine the critical values.
Book Synopsis First Degree Stochastic Dominance for Discontinuous Functions by : L. P. Hansen
Download or read book First Degree Stochastic Dominance for Discontinuous Functions written by L. P. Hansen and published by . This book was released on 1977 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Sufficient Conditions for Multivariate Almost Stochastic Dominance Under Dependence Uncertainty by : Alfred Müller
Download or read book Sufficient Conditions for Multivariate Almost Stochastic Dominance Under Dependence Uncertainty written by Alfred Müller and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Innovations In Insurance, Risk- And Asset Management - Proceedings Of The Innovations In Insurance, Risk- And Asset Management Conference by : Kathrin Glau
Download or read book Innovations In Insurance, Risk- And Asset Management - Proceedings Of The Innovations In Insurance, Risk- And Asset Management Conference written by Kathrin Glau and published by World Scientific. This book was released on 2018-09-14 with total page 468 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers recent developments in the interdisciplinary fields of actuarial science, quantitative finance, risk- and asset management. The authors are leading experts from academia and practice who participated in Innovations in Insurance, Risk- and Asset Management, an international conference held at the Technical University of Munich in 2017.The topics covered include the mathematics of extreme risks, systemic risk, model uncertainty, interest rate and hybrid models, alternative investments, dynamic investment strategies, quantitative risk management, asset liability management, liability driven investments, and behavioral finance.This timely selection of topics is highly relevant for the financial industry and addresses current issues both from an academic as well as from a practitioner's point of view.
Download or read book Stochastic Dominance written by Haim Levy and published by Springer Science & Business Media. This book was released on 2006-08-25 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. Each approach is discussed and compared. In addition, this volume examines cases in which stochastic dominance rules coincide with the mean-variance rule and considers how contradictions between these two approaches may occur.
Book Synopsis Extreme Points of First-order Stochastic Dominance Intervals by : Kai Hao Yang
Download or read book Extreme Points of First-order Stochastic Dominance Intervals written by Kai Hao Yang and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book ECAI 2020 written by G. De Giacomo and published by IOS Press. This book was released on 2020-09-11 with total page 3122 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the proceedings of the 24th European Conference on Artificial Intelligence (ECAI 2020), held in Santiago de Compostela, Spain, from 29 August to 8 September 2020. The conference was postponed from June, and much of it conducted online due to the COVID-19 restrictions. The conference is one of the principal occasions for researchers and practitioners of AI to meet and discuss the latest trends and challenges in all fields of AI and to demonstrate innovative applications and uses of advanced AI technology. The book also includes the proceedings of the 10th Conference on Prestigious Applications of Artificial Intelligence (PAIS 2020) held at the same time. A record number of more than 1,700 submissions was received for ECAI 2020, of which 1,443 were reviewed. Of these, 361 full-papers and 36 highlight papers were accepted (an acceptance rate of 25% for full-papers and 45% for highlight papers). The book is divided into three sections: ECAI full papers; ECAI highlight papers; and PAIS papers. The topics of these papers cover all aspects of AI, including Agent-based and Multi-agent Systems; Computational Intelligence; Constraints and Satisfiability; Games and Virtual Environments; Heuristic Search; Human Aspects in AI; Information Retrieval and Filtering; Knowledge Representation and Reasoning; Machine Learning; Multidisciplinary Topics and Applications; Natural Language Processing; Planning and Scheduling; Robotics; Safe, Explainable, and Trustworthy AI; Semantic Technologies; Uncertainty in AI; and Vision. The book will be of interest to all those whose work involves the use of AI technology.
