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Central Moments Stochastic Dominance And The Moment Rules
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Book Synopsis Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications by : Wing-Keung Wong
Download or read book Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications written by Wing-Keung Wong and published by MDPI. This book was released on 2020-12-15 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: The topics studied in this Special Issue include a wide range of areas in finance, economics, tourism, management, marketing, and education. The topics in finance include stock market, volatility and excess returns, REIT, warrant and options, herding behavior and trading strategy, supply finance, and corporate finance. The topics in economics including economic growth, income poverty, and political economics.
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 Economics Letters Volume 45,No.1 May 1994 ISSN:0165-1765 by : Eric Maskin,Editor
Download or read book Economics Letters Volume 45,No.1 May 1994 ISSN:0165-1765 written by Eric Maskin,Editor and published by . This book was released on with total page 978 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Measurement of Market Risk by : Pierre-Yves Moix
Download or read book The Measurement of Market Risk written by Pierre-Yves Moix and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 281 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a revised version of my doctoral dissertation submitted to the University of St. Gallen in October 1999. I would like to thank Dr. oec. Marc Wildi whose careful reading of much of the text led to many improvements. All errors remain mine. Pfiiffikon SZ, Switzerland, March 2001 Pierre-Yves Moix Preface to the dissertation "Education is man's going forward from cocksure ignorance to thoughtful uncertainty" Don Clark's Scrapbook quoted in Wonnacott and Wonnacott (1990). After several years of banking practice, I decided to give up some of my certitudes and considered this thesis project a good opportunity to study some of the quantitative tools necessary for the modelling of uncertainty. lowe very much to Prof. Dr. Karl Frauendorfer, the referee of my thesis, for the time he took to read the manuscript and for the numerous valuable suggestions he made. I am also very grateful to Prof. Dr. Klaus Spremann who kindly accepted to co-refer my thesis and who strengthened my inter est in finance during my study period. During my time at the Institute for Operations Research of the University of St. Gallen (lfU-HSG) I had the opportunity to participate in the project "RiskLab" which provides a very profitable link between finance practice and academics. I would especially like to thank Dr. Christophe Rouvinez from Credit Suisse for his comments and all the data he provided so generously.
Book Synopsis The Impact of Price Uncertainty by : Donald V. Coes
Download or read book The Impact of Price Uncertainty written by Donald V. Coes and published by Routledge. This book was released on 2017-04-21 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 1979. This book addresses three questions regarding uncertainty in economic life: how do we define uncertainty and use the concept meaningfully to provide conclusions; how can the level of uncertainty associated with a particular variable of economic interest be measured; and does experience provide any support for the view that uncertainty really matters. It develops a theory of the effect of price uncertainty on production and trade, takes a graphical approach to look at effects of a mean preserving spread to create rules for ordering distributions, and finishes with an econometric analysis of the effects of Brazil’s adoption of a crawling peg in reducing real exchange rate uncertainty. This is an important early study into the significance of uncertainty.
Book Synopsis Economists' Mathematical Manual by : Knut Sydsaeter
Download or read book Economists' Mathematical Manual written by Knut Sydsaeter and published by Springer Science & Business Media. This book was released on 2011-10-20 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents mathematical formulas and theorems commonly used in economics. It offers the first grouping of this material for a specifically economist audience, and it includes formulas like Roy’s identity and Leibniz's rule.
Download or read book THEORIES OF COMPETITION written by and published by . This book was released on 1988 with total page 684 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Journal of Banking & Finance written by and published by . This book was released on 1988 with total page 670 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Author :Konstantin Borovkov Publisher :World Scientific Publishing Company ISBN 13 :9814571180 Total Pages :499 pages Book Rating :4.8/5 (145 download)
Book Synopsis Elements Of Stochastic Modelling (2nd Edition) by : Konstantin Borovkov
Download or read book Elements Of Stochastic Modelling (2nd Edition) written by Konstantin Borovkov and published by World Scientific Publishing Company. This book was released on 2014-06-30 with total page 499 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the expanded second edition of a successful textbook that provides a broad introduction to important areas of stochastic modelling. The original text was developed from lecture notes for a one-semester course for third-year science and actuarial students at the University of Melbourne. It reviewed the basics of probability theory and then covered the following topics: Markov chains, Markov decision processes, jump Markov processes, elements of queueing theory, basic renewal theory, elements of time series and simulation.The present edition adds new chapters on elements of stochastic calculus and introductory mathematical finance that logically complement the topics chosen for the first edition. This makes the book suitable for a larger variety of university courses presenting the fundamentals of modern stochastic modelling. Instead of rigorous proofs we often give only sketches of the arguments, with indications as to why a particular result holds and also how it is related to other results, and illustrate them by examples. Wherever possible, the book includes references to more specialised texts on respective topics that contain both proofs and more advanced material.
Book Synopsis Proceedings of the Annual Meeting of the Academy of Management by : Academy of Management
Download or read book Proceedings of the Annual Meeting of the Academy of Management written by Academy of Management and published by . This book was released on 1979-08 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Risk and Uncertainty by : Svetlozar T. Rachev
Download or read book Risk and Uncertainty written by Svetlozar T. Rachev and published by John Wiley & Sons. This book was released on 2011-04-22 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization The finance industry is seeing increased interest in new risk measures and techniques for portfolio optimization when parameters of the model are uncertain. This groundbreaking book extends traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or performance measures into one framework. Throughout these pages, the expert authors explain the fundamentals of probability metrics, outline new approaches to portfolio optimization, and discuss a variety of essential risk measures. Using numerous examples, they illustrate a range of applications to optimal portfolio choice and risk theory, as well as applications to the area of computational finance that may be useful to financial engineers. They also clearly show how stochastic models, risk assessment, and optimization are essential to mastering risk, uncertainty, and performance measurement. Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization provides quantitative portfolio managers (including hedge fund managers), financial engineers, consultants, and academic researchers with answers to the key question of which risk measure is best for any given problem.
Book Synopsis The Complete Guide to Portfolio Performance by : Pascal François
Download or read book The Complete Guide to Portfolio Performance written by Pascal François and published by John Wiley & Sons. This book was released on 2024-04-23 with total page 1095 pages. Available in PDF, EPUB and Kindle. Book excerpt: An intuitive and effective desk reference for performance measurement in asset and wealth management In The Complete Guide to Portfolio Performance: Appraise, Analyse, Act, a team of finance professors with extended practical experience deliver a hands-on desk reference for asset and wealth managers suitable for everyday use. Intuitively organized and full of concrete examples of the real-world implementation of the concepts discussed within, the book provides a comprehensive coverage of all important portfolio performance matters across 18 chapters of actionable and clearly described content. The authors have provided relevant cross-referencing where appropriate, “Key Takeaways and Equations” sections at the end of each chapter, and pointers to additional resources for anyone interested in pursuing further research. You'll also find: Discussions of more than a hundred classical and modern performance measures organized logically and with a focus on their applications Strategies for selecting appropriate performance measures based on your situation as a manager or investor Explanations of analytical techniques (statistical approaches, attribution, fund ratings...) enabling a comprehensive use of performance-related information Applications of portfolio performance criteria in concrete investment decision-making processes Highly actionable and logically organized material that's easy to find at a moment's notice A full set of pedagogical powerpoint slides and excel worksheets with all data and formulas Perfect for investors, portfolio managers, advisors, analysts, and regulators, The Complete Guide to Portfolio Performance is also a must-read reference for students and practitioners of asset and wealth management, as well as those pursuing certification such as CFA, CIPM, CIIA, and CAIA.
Book Synopsis Laplace Transform (PMS-6) by : David Vernon Widder
Download or read book Laplace Transform (PMS-6) written by David Vernon Widder and published by Princeton University Press. This book was released on 2015-12-08 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: Book 6 in the Princeton Mathematical Series. Originally published in 1941. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.
Book Synopsis An Introduction to Stochastic Modeling by : Howard M. Taylor
Download or read book An Introduction to Stochastic Modeling written by Howard M. Taylor and published by Academic Press. This book was released on 2014-05-10 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Stochastic Modeling provides information pertinent to the standard concepts and methods of stochastic modeling. This book presents the rich diversity of applications of stochastic processes in the sciences. Organized into nine chapters, this book begins with an overview of diverse types of stochastic models, which predicts a set of possible outcomes weighed by their likelihoods or probabilities. This text then provides exercises in the applications of simple stochastic analysis to appropriate problems. Other chapters consider the study of general functions of independent, identically distributed, nonnegative random variables representing the successive intervals between renewals. This book discusses as well the numerous examples of Markov branching processes that arise naturally in various scientific disciplines. The final chapter deals with queueing models, which aid the design process by predicting system performance. This book is a valuable resource for students of engineering and management science. Engineers will also find this book useful.
Book Synopsis Handbook of Heavy Tailed Distributions in Finance by : S.T Rachev
Download or read book Handbook of Heavy Tailed Distributions in Finance written by S.T Rachev and published by Elsevier. This book was released on 2003-03-05 with total page 707 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. The goal is to have a broad group of outstanding volumes in various areas of finance. The Handbook of Heavy Tailed Distributions in Finance is the first handbook to be published in this series.This volume presents current research focusing on heavy tailed distributions in finance. The contributions cover methodological issues, i.e., probabilistic, statistical and econometric modelling under non- Gaussian assumptions, as well as the applications of the stable and other non -Gaussian models in finance and risk management.
Book Synopsis Scientific and Technical Aerospace Reports by :
Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1995 with total page 602 pages. Available in PDF, EPUB and Kindle. Book excerpt: Lists citations with abstracts for aerospace related reports obtained from world wide sources and announces documents that have recently been entered into the NASA Scientific and Technical Information Database.
