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Author : Anil Arya
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (269 download)
Download or read book Risk Aversion and Stochastic Dominance in the "discrete Result Set" Case written by Anil Arya and published by . This book was released on 1992 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : Jack Meyer
Publisher :
ISBN 13 :
Total Pages : 196 pages
Book Rating : 4.F/5 ( download)
Download or read book Stochastic Dominance, Increasing Risk and Risk Aversion written by Jack Meyer and published by . This book was released on 1974 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : W. T. Ziemba
Publisher : Academic Press
ISBN 13 : 1483273997
Total Pages : 736 pages
Book Rating : 4.4/5 (832 download)
Download or read book Stochastic Optimization Models in Finance written by W. T. Ziemba and published by Academic Press. This book was released on 2014-05-12 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Optimization Models in Finance focuses on the applications of stochastic optimization models in finance, with emphasis on results and methods that can and have been utilized in the analysis of real financial problems. The discussions are organized around five themes: mathematical tools; qualitative economic results; static portfolio selection models; dynamic models that are reducible to static models; and dynamic models. This volume consists of five parts and begins with an overview of expected utility theory, followed by an analysis of convexity and the Kuhn-Tucker conditions. The reader is then introduced to dynamic programming; stochastic dominance; and measures of risk aversion. Subsequent chapters deal with separation theorems; existence and diversification of optimal portfolio policies; effects of taxes on risk taking; and two-period consumption models and portfolio revision. The book also describes models of optimal capital accumulation and portfolio selection. This monograph will be of value to mathematicians and economists as well as to those interested in economic theory and mathematical economics.
Author : Stylianos Perrakis
Publisher : Springer
ISBN 13 : 3030115909
Total Pages : 277 pages
Book Rating : 4.0/5 (31 download)
Download or read book Stochastic Dominance Option Pricing written by Stylianos Perrakis and published by Springer. This book was released on 2019-05-03 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book illustrates the application of the economic concept of stochastic dominance to option markets and presents an alternative option pricing paradigm to the prevailing no arbitrage simultaneous equilibrium in the frictionless underlying and option markets. This new methodology was developed primarily by the author, working independently or jointly with other co-authors, over the course of more than thirty years. Among others, it yields the fundamental Black-Scholes-Merton option value when markets are complete, presents a new approach to the pricing of rare event risk, and uncovers option mispricing that leads to tradeable strategies in the presence of transaction costs. In the latter case it shows how a utility-maximizing investor trading in the market and a riskless bond, subject to proportional transaction costs, can increase his/her expected utility by overlaying a zero-net-cost portfolio of options bought at their ask price and written at their bid price, irrespective of the specific form of the utility function. The book contains a unified presentation of these methods and results, making it a highly readable supplement for educators and sophisticated professionals working in the popular field of option pricing. It also features a foreword by George Constantinides, the Leo Melamed Professor of Finance at the Booth School of Business, University of Chicago, USA, who was a co-author in several parts of the book.
Author : Sanjit Dhami
Publisher : Oxford University Press
ISBN 13 : 0192572547
Total Pages : 336 pages
Book Rating : 4.1/5 (925 download)
Download or read book The Foundations of Behavioral Economic Analysis written by Sanjit Dhami and published by Oxford University Press. This book was released on 2019-02-14 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: This first volume of The Foundations of Behavioral Economic Analysis covers the opening topic found in this definitive introduction to the subject: the behavioral economics of risk, uncertainty, and ambiguity. It is an essential guide for advanced undergraduate and postgraduate students seeking a concise and focused text on this important subject, and examines how the decision maker chooses his optimal action in the presence of risk, uncertainty, and ambiguity. This updated extract from Dhami's leading textbook allows the reader to pursue subsections of this vast and rapidly growing field and to tailor their reading to their specific interests in behavioural economics.
Author : Sanjit S. Dhami
Publisher : Oxford University Press
ISBN 13 : 0198715528
Total Pages : 1799 pages
Book Rating : 4.1/5 (987 download)
Download or read book The Foundations of Behavioral Economic Analysis written by Sanjit S. Dhami and published by Oxford University Press. This book was released on 2016 with total page 1799 pages. Available in PDF, EPUB and Kindle. Book excerpt: It considers the evidence against the exponential discounted utility model and describes several behavioral models such as hyperbolic discounting, attribute based models and the reference time theory. Part IV describes the evidence on classical game theory and considers several models of behavioral game theory, including level-k and cognitive hierarchy models, quantal response equilibrium, and psychological game theory. Part V considers behavioral models of learning that include evolutionary game theory, classical models of learning, experience weighted attraction model, learning direction theory, and stochastic social dynamics. Part VI studies the role of emotions; among other topics it considers projection bias, temptation preferences, happiness economics, and interaction between emotions and cognition. Part VII considers bounded rationality. The three main topics considered are judgment heuristics and biases, mental accounting, and behavioral finance.
Author : Darinka Dentcheva
Publisher : Springer Nature
ISBN 13 : 3031579887
Total Pages : 462 pages
Book Rating : 4.0/5 (315 download)
Download or read book Risk-Averse Optimization and Control written by Darinka Dentcheva and published by Springer Nature. This book was released on with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : Steven Brams
Publisher : Springer Science & Business Media
ISBN 13 : 3540791280
Total Pages : 412 pages
Book Rating : 4.5/5 (47 download)
Download or read book The Mathematics of Preference, Choice and Order written by Steven Brams and published by Springer Science & Business Media. This book was released on 2009-02-11 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt: Peter Fishburn has had a splendidly productive career that led to path-breaking c- tributions in a remarkable variety of areas of research. His contributions have been published in a vast literature, ranging through journals of social choice and welfare, decision theory, operations research, economic theory, political science, mathema- cal psychology, and discrete mathematics. This work was done both on an individual basis and with a very long list of coauthors. The contributions that Fishburn made can roughly be divided into three major topical areas, and contributions to each of these areas are identi?ed by sections of this monograph. Section 1 deals with topics that are included in the general areas of utility, preference, individual choice, subjective probability, and measurement t- ory. Section 2 covers social choice theory, voting models, and social welfare. S- tion 3 deals with more purely mathematical topics that are related to combinatorics, graph theory, and ordered sets. The common theme of Fishburn’s contributions to all of these areas is his ability to bring rigorous mathematical analysis to bear on a wide range of dif?cult problems.
Author : John Quiggin
Publisher : Springer Science & Business Media
ISBN 13 : 9401121826
Total Pages : 208 pages
Book Rating : 4.4/5 (11 download)
Download or read book Generalized Expected Utility Theory written by John Quiggin and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic analysis of choice under uncertainty has been dominated by the expected utility (EU) model, yet the EU model has never been without critics. Psychologists accumulated evidence that individual choices under uncertainty were inconsistent with the predictions of the EU model. Applied work in areas such as finance was dominated by the simpler mean-variance analysis. In the 1980s this skepticism was dispelled as a number of generalizations of EU were proposed, most of which were capable of explaining evidence inconsistent with EU, while preserving transitivity and dominance. Generalized expected utility is now a flourishing subfield of economics, with dozens of competing models and considerable literature exploring their theoretical properties and comparing their empirical performance. But the EU model remains the principal tool for the analysis of choice under uncertainty. There is a view that generalized models are too difficult to handle or incapable of generating sharp results. This creates a need to show that the new models can be used in the kinds of economic analysis for which EU has been used, and that they can yield new and interesting results. This book meets this need by describing one of the most popular generalized models -- the rank-dependent expected utility model (RDEU), also known as anticipated utility, EU with rank-dependent preferences, the dual theory of choice under uncertainty, and simply as rank-dependent utility. As the many names indicate, the model has been approached in many ways by many scientists and for this reason, consideration of a single model sheds light on many of the concerns that have motivated the development of generalized utility models. The popularity of the RDEU model rests on its simplicity and tractability. The standard tools of analysis developed for EU theory may be applied to the RDEU model, but since RDEU admits behavior inconsistent with EU, the field of potential applications is widened. As such, the RDEU model is not as much a competitor to EU as an extension based on less restrictive assumptions.
Author : C.T. Leonides
Publisher : Elsevier
ISBN 13 : 0323162371
Total Pages : 272 pages
Book Rating : 4.3/5 (231 download)
Download or read book Control and Dynamic Systems V30: Advances in Algorithms and Computational Techniques in Dynamic System Control Part 3 of 3 written by C.T. Leonides and published by Elsevier. This book was released on 2012-12-02 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Control and Dynamic Systems: Advances in Theory in Applications, Volume 30: Advances in Algorithms and Computational Techniques in Dynamic Systems Control, Part 3 of 3 discusses developments in algorithms and computational techniques for control and dynamic systems. This volume begins with the issue of decision making or optimal control in the natural environment. It then discusses large-scale systems composed of multiple sensors; algorithms for systems with multiplicative noise; stochastic differential games; Markovian targets; low-cost microcomputer and true digital control systems; and algorithms for the design of teleoperated systems. This book is an important reference for practitioners in the field who want a comprehensive source of techniques with significant applied implications.
Author : Alexander Shapiro
Publisher : SIAM
ISBN 13 : 1611976596
Total Pages : 540 pages
Book Rating : 4.6/5 (119 download)
Download or read book Lectures on Stochastic Programming: Modeling and Theory, Third Edition written by Alexander Shapiro and published by SIAM. This book was released on 2021-08-19 with total page 540 pages. Available in PDF, EPUB and Kindle. Book excerpt: An accessible and rigorous presentation of contemporary models and ideas of stochastic programming, this book focuses on optimization problems involving uncertain parameters for which stochastic models are available. Since these problems occur in vast, diverse areas of science and engineering, there is much interest in rigorous ways of formulating, analyzing, and solving them. This substantially revised edition presents a modern theory of stochastic programming, including expanded and detailed coverage of sample complexity, risk measures, and distributionally robust optimization. It adds two new chapters that provide readers with a solid understanding of emerging topics; updates Chapter 6 to now include a detailed discussion of the interchangeability principle for risk measures; and presents new material on formulation and numerical approaches to solving periodical multistage stochastic programs. Lectures on Stochastic Programming: Modeling and Theory, Third Edition is written for researchers and graduate students working on theory and applications of optimization, with the hope that it will encourage them to apply stochastic programming models and undertake further studies of this fascinating and rapidly developing area.
Author : Vivek H. Dehejia
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (254 download)
Download or read book Risk Aversion, Stochastic Dominance, and Rules of Thumb written by Vivek H. Dehejia and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : C. A. Brebbia
Publisher : WIT Press
ISBN 13 : 1845641043
Total Pages : 577 pages
Book Rating : 4.8/5 (456 download)
Download or read book Risk Analysis VI written by C. A. Brebbia and published by WIT Press. This book was released on 2008 with total page 577 pages. Available in PDF, EPUB and Kindle. Book excerpt: Covering a series of important topics which are of current research interest and have practical applications, this book examines all aspects of risk analysis and hazard mitigation, ranging from specific assessment of risk to mitigation associated with both natural and anthropogenic hazards.
Author : Haim Levy
Publisher : World Scientific
ISBN 13 : 9811250162
Total Pages : 494 pages
Book Rating : 4.8/5 (112 download)
Download or read book Stocks, Bonds, And The Investment Horizon: Decision-making For The Long Run written by Haim Levy and published by World Scientific. This book was released on 2022-04-28 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: A century ago, life expectancy was roughly 40 years, hence all income could be consumed, as for most people, there was no need to save for retirement. Today, things have drastically changed: Life expectancy exceeds 80 years in many countries, and one should expect to live and consume many years after retirement. Thus, we have many investors with various investment horizons, where the length of the investment horizon becomes a crucial factor in determining the best investment diversification.This book analyzes the effect of the investment horizon on the optimal diversification, specifically between stocks and bonds: Should a young investor and an older investor have the same portfolio? Is it recommended to savers for retirement to change the asset allocation between stocks and bonds as they grow older, as life cycle mutual funds do in practice? Is the idiom 'stocks for the long run' backed by scientific evidence? We analyze for which horizons it is recommended to employ the popular Mean-Variance rule and for which horizons employing this rule induces an economic distortion, hence a loss to the investors. It is shown that all relevant parameters for investment choice (means, variances, and correlations) change in a non-linear way with the horizon, a fact that makes the investment horizon crucial for investment choices. Similarly, the popular Sharpe, Treynor, and Jensen performance indices vary with the assumed horizon even in the case of independence over time. To analyze all the above issues, we employ the Mean-Variance rule and Stochastic Dominance rules, as well as direct expected utility calculations.
Author : Jordi Caballé
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (535 download)
Download or read book Stochastic dominance and absolute risk aversion[ written by Jordi Caballé and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
