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Author : 蔡安玫
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)
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:
Author : Haim Shalit
Publisher :
ISBN 13 :
Total Pages : 84 pages
Book Rating : 4.:/5 (214 download)
Download or read book Marginal Conditional Stochastic Dominance written by Haim Shalit and published by . This book was released on 1990 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : K. Victor Chow
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Marginal Conditional Stochastic Dominance, Statistical Inference and Measuring Portfolio Performance written by K. Victor Chow and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A simple statistical test is developed for marginal conditional stochastic dominance (MCSD). The MCSD is an extension of second degree stochastic dominance. As such, without specification of the return-generating process, it can rank securities according to marginal changes of return distributions conditionally to the distribution of the market proxy, thereby, proving a powerful technique for measuring portfolio performance. Although the MCSD test is asymptotic and conservative, under both the hypotheses of homoscedasticity and heteroscedasticity, it has power to detect the dominance alternative for samples with more than 300 observations. For an illustration, the MCSD test is applied to international equity markets. The test is able to show that nine of twenty-eight equity markets are dominated by the world market.
Author : Haim Levy
Publisher : Springer
ISBN 13 : 3319217089
Total Pages : 517 pages
Book Rating : 4.3/5 (192 download)
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)
Author : Wei-Han Liu
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Conditional Stochastic Dominance written by Wei-Han Liu and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We highlight the loss-averse property of general investors and propose a new ranking criterion, conditional stochastic dominance (CSD), at the first two orders. We discuss the definitions and propositions. We also introduce an example to show that CSD provides intuitive ranking but not the almost stochastic dominance (ASD) Leshno and Levy (2002) suggested. Furthermore, we select six representative covered call strategy indexes and the Standard & Poor's 500 aggregate market index functions as the benchmark for empirical analysis. The estimation outcomes indicate that CSD outperforms ASD in providing a refined picture of the performance comparisons and showing the specific properties of covered call strategy indexes.
Author : G. A. Whitmore
Publisher :
ISBN 13 :
Total Pages : 424 pages
Book Rating : 4.F/5 ( download)
Download or read book Stochastic Dominance written by G. A. Whitmore and published by . This book was released on 1978 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theoretical foundations of stochastic dominance; Portfolio applications: empirical studies; Portfolio applications: computational aspects; Applications to financial management and capital markets; Applications in economic theory and analysis.
Author : Miguel A. Delgado
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (931 download)
Download or read book Conditional Stochastic Dominance Testing written by Miguel A. Delgado and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jesus Gonzalo
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (931 download)
Download or read book Conditional Stochastic Dominance Tests in Dynamic Settings written by Jesus Gonzalo and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Richard McElreath
Publisher : CRC Press
ISBN 13 : 1315362619
Total Pages : 488 pages
Book Rating : 4.3/5 (153 download)
Download or read book Statistical Rethinking written by Richard McElreath and published by CRC Press. This book was released on 2018-01-03 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistical Rethinking: A Bayesian Course with Examples in R and Stan builds readers’ knowledge of and confidence in statistical modeling. Reflecting the need for even minor programming in today’s model-based statistics, the book pushes readers to perform step-by-step calculations that are usually automated. This unique computational approach ensures that readers understand enough of the details to make reasonable choices and interpretations in their own modeling work. The text presents generalized linear multilevel models from a Bayesian perspective, relying on a simple logical interpretation of Bayesian probability and maximum entropy. It covers from the basics of regression to multilevel models. The author also discusses measurement error, missing data, and Gaussian process models for spatial and network autocorrelation. By using complete R code examples throughout, this book provides a practical foundation for performing statistical inference. Designed for both PhD students and seasoned professionals in the natural and social sciences, it prepares them for more advanced or specialized statistical modeling. Web Resource The book is accompanied by an R package (rethinking) that is available on the author’s website and GitHub. The two core functions (map and map2stan) of this package allow a variety of statistical models to be constructed from standard model formulas.
Author : John H. Cochrane
Publisher : Now Publishers Inc
ISBN 13 : 1933019158
Total Pages : 117 pages
Book Rating : 4.9/5 (33 download)
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Author : Wing-Keung Wong
Publisher : Mdpi AG
ISBN 13 : 9783036530802
Total Pages : 232 pages
Book Rating : 4.5/5 (38 download)
Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Author : Roman Vershynin
Publisher : Cambridge University Press
ISBN 13 : 1108415199
Total Pages : 299 pages
Book Rating : 4.1/5 (84 download)
Download or read book High-Dimensional Probability written by Roman Vershynin and published by Cambridge University Press. This book was released on 2018-09-27 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: An integrated package of powerful probabilistic tools and key applications in modern mathematical data science.
Author : Haim Levy
Publisher : Springer Science & Business Media
ISBN 13 : 0387293116
Total Pages : 439 pages
Book Rating : 4.3/5 (872 download)
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.
Author : Samuel Kotz
Publisher : Springer Science & Business Media
ISBN 13 : 146120173X
Total Pages : 358 pages
Book Rating : 4.4/5 (612 download)
Download or read book The Laplace Distribution and Generalizations written by Samuel Kotz and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes the inferential and modeling advantages that this distribution, together with its generalizations and modifications, offers. The exposition systematically unfolds with many examples, tables, illustrations, and exercises. A comprehensive index and extensive bibliography also make this book an ideal text for a senior undergraduate and graduate seminar on statistical distributions, or for a short half-term academic course in statistics, applied probability, and finance.
Author : John Y. Campbell
Publisher : OUP Oxford
ISBN 13 : 019160691X
Total Pages : 272 pages
Book Rating : 4.1/5 (916 download)
Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Author : Jon A. Christopherson
Publisher : McGraw Hill Professional
ISBN 13 : 0071733183
Total Pages : 14 pages
Book Rating : 4.0/5 (717 download)
Download or read book Portfolio Performance Measurement and Benchmarking, Chapter 12 - Conditional Performance Evaluation written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is a chapter from Portfolio Performance Measurement and Benchmarking, which will help you create a system you can use to accurately measure your performance. The authors highlight common mechanical problems involved in building benchmarks and clearly illustrate the resulting fallouts. The failure to choose the right investing performance benchmarks often leads to bad decisions or inaction and, inevitably, lost profits. In this book you will discover a foundation for benchmark construction and discuss methods for all different asset classes and investment styles.
Author : M. Ayhan Kose
Publisher : World Bank Publications
ISBN 13 : 1464815453
Total Pages : 403 pages
Book Rating : 4.4/5 (648 download)
Download or read book Global Waves of Debt written by M. Ayhan Kose and published by World Bank Publications. This book was released on 2021-03-03 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global economy has experienced four waves of rapid debt accumulation over the past 50 years. The first three debt waves ended with financial crises in many emerging market and developing economies. During the current wave, which started in 2010, the increase in debt in these economies has already been larger, faster, and broader-based than in the previous three waves. Current low interest rates mitigate some of the risks associated with high debt. However, emerging market and developing economies are also confronted by weak growth prospects, mounting vulnerabilities, and elevated global risks. A menu of policy options is available to reduce the likelihood that the current debt wave will end in crisis and, if crises do take place, will alleviate their impact.
