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Author : Ani Vladimirova Guerdjikova
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (141 download)
Download or read book Case-based Decision Theory and Financial Markets written by Ani Vladimirova Guerdjikova and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ani Vladimirova Guerdjikova
Publisher :
ISBN 13 :
Total Pages : 698 pages
Book Rating : 4.:/5 (181 download)
Download or read book Case-based Decision Theory and Financial Markets written by Ani Vladimirova Guerdjikova and published by . This book was released on 2004 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Case-Based Decision Theory and Financial Markets written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The dissertation applies the case-based decision theory proposed by Gilboa and Schmeidler (1995) to financial markets. It considers both an individual portfolio choice problem, and interaction of case-based investors in a market environment. It is shown that case-based decisions can explain empirically observed phenomena such as predictability of returns, excessive volatility, bubbles and high frequency of trades. Moreover, it can be shown that case-based investors can survive in the presence of expected utility maximizers in the market and can influence asset prices.
Author : Ani Guerdjikova
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (731 download)
Download or read book Case-based Decision Theory written by Ani Guerdjikova and published by . This book was released on 2002 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Itzhak Gilboa
Publisher : Cambridge University Press
ISBN 13 : 9780521003117
Total Pages : 214 pages
Book Rating : 4.0/5 (31 download)
Download or read book A Theory of Case-Based Decisions written by Itzhak Gilboa and published by Cambridge University Press. This book was released on 2001-07-26 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work, a paradigm for modelling decision-making under uncertainty, describes the general theory and its relationship to planning, repeated choice problems, inductive inference, and learning; and highlights its mathematical and philosophical foundations.
Author : Leonard C. MacLean
Publisher : World Scientific
ISBN 13 : 9814417351
Total Pages : 941 pages
Book Rating : 4.8/5 (144 download)
Download or read book Handbook of the Fundamentals of Financial Decision Making written by Leonard C. MacLean and published by World Scientific. This book was released on 2013 with total page 941 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 2 nd edition published in 2006).
Author : Mark J. Machina
Publisher : Springer Science & Business Media
ISBN 13 : 1475745923
Total Pages : 373 pages
Book Rating : 4.4/5 (757 download)
Download or read book Beliefs, Interactions and Preferences written by Mark J. Machina and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: Beliefs, Interactions and Preferences in Decision Making mixes a selection of papers, presented at the Eighth Foundations and Applications of Utility and Risk Theory (`FUR VIII') conference in Mons, Belgium, together with a few solicited papers from well-known authors in the field. This book addresses some of the questions that have recently emerged in the research on decision-making and risk theory. In particular, authors have modeled more and more as interactions between the individual and the environment or between different individuals the emergence of beliefs as well as the specific type of information treatment traditionally called `rationality'. This book analyzes several cases of such an interaction and derives consequences for the future of decision theory and risk theory. In the last ten years, modeling beliefs has become a specific sub-field of decision making, particularly with respect to low probability events. Rational decision making has also been generalized in order to encompass, in new ways and in more general situations than it used to be fitted to, multiple dimensions in consequences. This book deals with some of the most conspicuous of these advances. It also addresses the difficult question to incorporate several of these recent advances simultaneously into one single decision model. And it offers perspectives about the future trends of modeling such complex decision questions. The volume is organized in three main blocks: The first block is the more `traditional' one. It deals with new extensions of the existing theory, as is always demanded by scientists in the field. A second block handles specific elements in the development of interactions between individuals and their environment, as defined in the most general sense. The last block confronts real-world problems in both financial and non-financial markets and decisions, and tries to show what kind of contributions can be brought to them by the type of research reported on here.
Author : Jonas Ekblom
Publisher : Linköping University Electronic Press
ISBN 13 : 9176852024
Total Pages : 36 pages
Book Rating : 4.1/5 (768 download)
Download or read book Decision Making under Uncertainty in Financial Markets written by Jonas Ekblom and published by Linköping University Electronic Press. This book was released on 2018-09-13 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis addresses the topic of decision making under uncertainty, with particular focus on financial markets. The aim of this research is to support improved decisions in practice, and related to this, to advance our understanding of financial markets. Stochastic optimization provides the tools to determine optimal decisions in uncertain environments, and the optimality conditions of these models produce insights into how financial markets work. To be more concrete, a great deal of financial theory is based on optimality conditions derived from stochastic optimization models. Therefore, an important part of the development of financial theory is to study stochastic optimization models that step-by-step better capture the essence of reality. This is the motivation behind the focus of this thesis, which is to study methods that in relation to prevailing models that underlie financial theory allow additional real-world complexities to be properly modeled. The overall purpose of this thesis is to develop and evaluate stochastic optimization models that support improved decisions under uncertainty on financial markets. The research into stochastic optimization in financial literature has traditionally focused on problem formulations that allow closed-form or `exact' numerical solutions; typically through the application of dynamic programming or optimal control. The focus in this thesis is on two other optimization methods, namely stochastic programming and approximate dynamic programming, which open up opportunities to study new classes of financial problems. More specifically, these optimization methods allow additional and important aspects of many real-world problems to be captured. This thesis contributes with several insights that are relevant for both financial and stochastic optimization literature. First, we show that the modeling of several real-world aspects traditionally not considered in the literature are important components in a model which supports corporate hedging decisions. Specifically, we document the importance of modeling term premia, a rich asset universe and transaction costs. Secondly, we provide two methodological contributions to the stochastic programming literature by: (i) highlighting the challenges of realizing improved decisions through more stages in stochastic programming models; and (ii) developing an importance sampling method that can be used to produce high solution quality with few scenarios. Finally, we design an approximate dynamic programming model that gives close to optimal solutions to the classic, and thus far unsolved, portfolio choice problem with constant relative risk aversion preferences and transaction costs, given many risky assets and a large number of time periods.
Author : Leonard C Maclean
Publisher : World Scientific
ISBN 13 : 981441736X
Total Pages : 941 pages
Book Rating : 4.8/5 (144 download)
Download or read book Handbook Of The Fundamentals Of Financial Decision Making (In 2 Parts) written by Leonard C Maclean and published by World Scientific. This book was released on 2013-05-10 with total page 941 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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).
Author : Brit Grosskopf
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (129 download)
Download or read book An Experiment on Case-Based Decision Making written by Brit Grosskopf and published by . This book was released on 2008 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: We experimentally investigate the disposition of decision makers to use case-based reasoning as suggested by Case-Based Decision Theory (Gilboa and Schmeidler, 1995). Our subjects face a monopoly decision problem about which they have very limited information. Information is presented in a manner which makes similarity judgements according to the feature matching model of Tversky (1977) very plausible. In a 2x2 between-subject design, we vary whether information about the current market is given, in addition to a history, or not. Furthermore, we investigate the impact feedback has on behavior in several independent markets by either giving immediate feedback about obtained profits or not. The results provide some support for the predictions of Case-Based Decision Theory, particularly when no immediate feedback is given. We also find evidence that other simple heuristics are used.
Author : Pierre Massotte
Publisher : John Wiley & Sons
ISBN 13 : 1119694981
Total Pages : 293 pages
Book Rating : 4.1/5 (196 download)
Download or read book Complex Decision-Making in Economy and Finance written by Pierre Massotte and published by John Wiley & Sons. This book was released on 2020-01-09 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: Pertinent to modern industry, administration, finance and society, the most pressing issue for firms today is how to reapproach the way we think and work in business. With topics ranging from improving productivity and coaxing economic growth after periods of market inactivity, Complex Decision-Making in Economy and Finance offers pragmatic solutions for dealing with the critical levels of disorder and chaos that have developed throughout the modern age. This book examines how to design complex products and systems, the benefits of collective intelligence and self-organization, and the best methods for handling risks in problematic environments. It also analyzes crises and how to manage them. This book is of benefit to companies and public bodies with regards to saving assets, reviving fortunes and laying the groundwork for robust, sustainable societal dividends. Examples, case studies, practical hints and guidelines illustrate the topics, particularly in finance.
Author : Itzhak Gilboa
Publisher :
ISBN 13 : 9781280162244
Total Pages : 199 pages
Book Rating : 4.1/5 (622 download)
Download or read book Theory of Case-Based Decisions written by Itzhak Gilboa and published by . This book was released on 2001 with total page 199 pages. Available in PDF, EPUB and Kindle. Book excerpt: Gilboa and Schmeidler provide a new paradigm for modelling decision making under uncertainty, one which suggests that people make decisions by analogies to past cases. The authors describe the general theory and its relationship to planning, repeated choice problems, inductive inference, and learning.
Author : Diana R. Harrington
Publisher :
ISBN 13 :
Total Pages : 808 pages
Book Rating : 4.:/5 (31 download)
Download or read book Case Studies in Financial Decision Making written by Diana R. Harrington and published by . This book was released on 1989 with total page 808 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Vasyl Golosnoy
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (112 download)
Download or read book General Uncertainty in Portfolio Selection: a Case-based Decision Approach written by Vasyl Golosnoy and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Often a portfolio investor can hardly imagine all states of nature relevant to his investment problem, causing general uncertainty concerning an asset allocation model. We quantify general uncertainty as the weakness of an investor's belief in a conventional portfolio procedure, then we develop the case-based decision-making approach for determining the optimal belief degree. The economic effect of the proposed case-based methodology is investigated in the empirical study. The empirical results suggest two successful patterns of case-based decisions that could be linked to the issue of market efficiency. Moreover, our case-based modeling reflects some behavioral phenomena observed on financial markets
Author : Werner Franciscus Marcel De Bondt
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.X/5 (2 download)
Download or read book Financial Decision-making in Markets and Firms written by Werner Franciscus Marcel De Bondt and published by . This book was released on 1994 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: In its attempt to model financial markets and the behavior of firms, modern finance theory starts from a set of normatively appealing axioms about individual behavior. Specifically, people are said to be risk-averse expected utility maximizers and unbiased Bayesian forecasters, i.e., agents make rational choices based on rational expectations. The rational paradigm may be criticized, however, because (1) the assumptions are descriptively false and incomplete, and (2) the theory often lacks predictive power. One way to make progress is to characterize actual decision- making behavior. Efforts along these lines are made by behavioral economists and psychologists. This paper provides a selective review of recent work in behavioral finance. First, we ask why economists should be concerned with the psychology of decision-making. Next, we discuss a series of key behavioral concepts, e.g., people's well-known tendencies to give too much weight to vivid information and to show excessive self-confidence. The body of the paper illustrates the relevance of these concepts to important topics in investment theory and corporate finance. In each case, behavioral finance offers a new perspective on results that are anomalous within the standard approach.
Author : Itzhak Gilboa
Publisher : Cambridge University Press
ISBN 13 : 052151732X
Total Pages : 216 pages
Book Rating : 4.5/5 (215 download)
Download or read book Theory of Decision Under Uncertainty written by Itzhak Gilboa and published by Cambridge University Press. This book was released on 2009-03-16 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes the classical axiomatic theories of decision under uncertainty, as well as critiques thereof and alternative theories. It focuses on the meaning of probability, discussing some definitions and surveying their scope of applicability. The behavioral definition of subjective probability serves as a way to present the classical theories, culminating in Savage's theorem. The limitations of this result as a definition of probability lead to two directions - first, similar behavioral definitions of more general theories, such as non-additive probabilities and multiple priors, and second, cognitive derivations based on case-based techniques.
Author : Hugh H. Schwartz
Publisher : Praeger
ISBN 13 :
Total Pages : 248 pages
Book Rating : 4.F/5 ( download)
Download or read book Rationality Gone Awry? written by Hugh H. Schwartz and published by Praeger. This book was released on 1998-09-24 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text offers a perspective on increasing evidence of financial and economic anomalies and argues for a comprehensive behavioural framework for economies and finance that shows how factors allied to psychological and sociological issues are relevant.
