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Author : Enrico De Giorgi
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book Second Order Stochastic Dominance, Reward-risk Portfolio Selection and the CAPM written by Enrico De Giorgi and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Enrico De Giorgi
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (254 download)
Download or read book Second Order Stochastic Dominance, Reward-risk Portfolio Selection and the CAPM written by Enrico De Giorgi and published by . This book was released on 2005 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Enrico G. De Giorgi
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (129 download)
Download or read book Reward-risk Portfolio Selection and Stochastic Dominance written by Enrico G. De Giorgi and published by . This book was released on 2005 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: The portfolio selection problem is traditionally modelled by two different approaches. The first one is based on an axiomatic model of risk-averse preferences, where decision makers are assumed to possess an expected utility function and the portfolio choice consists in maximizing the expected utility over the set of feasible portfolios. The second approach, first proposed by Markowitz (1952), is very intuitive and reduces the portfolio choice to a set of two criteria, reward and risk, with possible tradeoff analysis. Usually the reward-risk model is not consistent with the first approach, even when the decision is independent from the specific form of the risk-averse expected utility function, i.e. when one investment dominates another one by second order stochastic dominance. In this paper we generalize the reward-risk model for portfolio selection. We define reward measures and risk measures by giving a set of properties these measures should satisfy. One of these properties will be the consistency with second order stochastic dominance, to obtain a link with the expected utility portfolio selection. We characterize reward and risk measures and we discuss the implication for portfolio selection.
Author : Enrico De Giorgi
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (249 download)
Download or read book Reward-risk Portfolio Selection and Stochastic Dominance written by Enrico De Giorgi and published by . This book was released on 2002 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Enrico Giovanni De Giorgi (Wirtschaftsmathematiker)
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (89 download)
Download or read book Reward-risk Portfolio Selection and Stochastic Dominance written by Enrico Giovanni De Giorgi (Wirtschaftsmathematiker) and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Leili Javanmardi
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Portfolio Selection by Second Order Stochastic Dominance Based on the Risk Aversion Degree of Investors written by Leili Javanmardi and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrey M. Lizyayev
Publisher : Rozenberg Publishers
ISBN 13 : 9036101875
Total Pages : 136 pages
Book Rating : 4.0/5 (361 download)
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:
Author : Andreas Schyra
Publisher : Springer Science & Business Media
ISBN 13 : 365800696X
Total Pages : 246 pages
Book Rating : 4.6/5 (58 download)
Download or read book Indices as Benchmarks in the Portfolio Management written by Andreas Schyra and published by Springer Science & Business Media. This book was released on 2012-12-11 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on a very extensive literature review the book delineates the previous scientific and practical applications of indices as benchmarks for single asset classes as stocks, commodities, German governmental bonds and cash as well as especially for multi asset portfolios. According to the specific influencing factors of the Eurozone a recommendation of allocating equity portfolios with respect to industrial or regional factors is given by an empirical analysis. As most common and significant benchmark index for the Eurozone, the Dow Jones Euro STOXX 50 is analysed according to index effects. This serves as comparison and consideration of the active anticipations of index membership exchanges and a simple index investment during short- and long-term periods. Furthermore a correlation weighted equity index, established by different TMI industry indices of the Eurozone is calculated, which serves as benefit for diversification opportunities of two multidimensionally diversified and systamatically allocated multi asset portfolios. These portfolios are composed with reference towards the Portfolio Selection Theory by Harry M. Markowitz to test its practical relevance and validity during the challenging years from 2001 and 2010.
Author : Gagari Chakrabarti
Publisher : Springer
ISBN 13 : 8132220269
Total Pages : 110 pages
Book Rating : 4.1/5 (322 download)
Download or read book Green Investing written by Gagari Chakrabarti and published by Springer. This book was released on 2014-08-28 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book seeks to answer the essential question of the investment-worthiness of green instruments. It is evident that investing in green and energy-efficient firms will be the most profitable choice for wise investors in the years to come. The reconciliation of the social choice for green technology and investors’ choice for gray technology will be automatically achieved once green firms become more profitable than gray ones, in the Indian context. As there has been very little research done in this area, especially in the Indian context, this book addresses that gap. In order to do so, it follows the development of five different portfolios consisting of 100% green, 75% green-25% gray, 50% green-50% gray, 25% green-75% gray and 100% gray stocks, and attempts to answer questions such as: Do green portfolios entail less relative own-risk as compared to their gray counterparts? How effectively do green portfolios avoid market risk? Are green portfolios inherently more stable? Do green portfolios have a higher probability of surviving a financial crisis? Is the performance of green portfolios backed by their fundamentals? Is there any particular technical trading strategy that can ensure a consistently above-average return from these portfolios?
Author : Thorsten Hens
Publisher : Springer Science & Business Media
ISBN 13 : 3540361480
Total Pages : 377 pages
Book Rating : 4.5/5 (43 download)
Download or read book Financial Economics written by Thorsten Hens and published by Springer Science & Business Media. This book was released on 2010-07-01 with total page 377 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial economics is a fascinating topic where ideas from economics, mathematics and, most recently, psychology are combined to understand financial markets. This book gives a concise introduction into this field and includes for the first time recent results from behavioral finance that help to understand many puzzles in traditional finance. The book is tailor made for master and PhD students and includes tests and exercises that enable the students to keep track of their progress. Parts of the book can also be used on a bachelor level. Researchers will find it particularly useful as a source for recent results in behavioral finance and decision theory.
Author : Philippe Johannes Petrus Marie Versijp
Publisher : Rozenberg Publishers
ISBN 13 : 9051709358
Total Pages : 128 pages
Book Rating : 4.0/5 (517 download)
Download or read book Advances in the use of stochastic dominance in asset pricing written by Philippe Johannes Petrus Marie Versijp and published by Rozenberg Publishers. This book was released on 2007 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Rajendra Bhatia
Publisher : World Scientific
ISBN 13 : 9814462934
Total Pages : 4137 pages
Book Rating : 4.8/5 (144 download)
Download or read book Proceedings Of The International Congress Of Mathematicians 2010 (Icm 2010) (In 4 Volumes) - Vol. I: Plenary Lectures And Ceremonies, Vols. Ii-iv: Invited Lectures written by Rajendra Bhatia and published by World Scientific. This book was released on 2011-06-06 with total page 4137 pages. Available in PDF, EPUB and Kindle. Book excerpt: ICM 2010 proceedings comprises a four-volume set containing articles based on plenary lectures and invited section lectures, the Abel and Noether lectures, as well as contributions based on lectures delivered by the recipients of the Fields Medal, the Nevanlinna, and Chern Prizes. The first volume will also contain the speeches at the opening and closing ceremonies and other highlights of the Congress.
Author :
Publisher :
ISBN 13 :
Total Pages : 472 pages
Book Rating : 4.3/5 (91 download)
Download or read book Kybernetika written by and published by . This book was released on 2008 with total page 472 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 : 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 : James E. Hodder
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (699 download)
Download or read book Improved Portfolio Choice Using Second Order Stochastic Dominance written by James E. Hodder and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Songsak Sriboonchita
Publisher : CRC Press
ISBN 13 : 9781420082678
Total Pages : 455 pages
Book Rating : 4.0/5 (826 download)
Download or read book Stochastic Dominance and Applications to Finance, Risk and Economics written by Songsak Sriboonchita and published by CRC Press. This book was released on 2009-10-19 with total page 455 pages. Available in PDF, EPUB and Kindle. Book excerpt: Drawing from many sources in the literature, Stochastic Dominance and Applications to Finance, Risk and Economics illustrates how stochastic dominance (SD) can be used as a method for risk assessment in decision making. It provides basic background on SD for various areas of applications. Useful Concepts and Techniques for Economics ApplicationsThe
