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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:
Author : Margaret Flood
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (173 download)
Download or read book Restricted Absolute Risk Aversion Stochastic Dominance written by Margaret Flood and published by . This book was released on 1985* with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Dominance and Absolute Risk Aversion /Jordi Caballé and Joan Esteban written by and published by . This book was released on 2002 with total page 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 : Thomas B. Fomby
Publisher : Springer Science & Business Media
ISBN 13 : 1461389224
Total Pages : 233 pages
Book Rating : 4.4/5 (613 download)
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 : 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
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 : Helei Qu
Publisher :
ISBN 13 :
Total Pages : 188 pages
Book Rating : 4.3/5 (129 download)
Download or read book Independent Increases in Risk and Their Comparative Statics written by Helei Qu and published by . This book was released on 1994 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yi Fang
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (13 download)
Download or read book Higher Order Stochastic Dominance and Aggregate Investor Preferences written by Yi Fang and published by . This book was released on 2016 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper finds necessary and sufficient conditions of Nth-order stochastic dominance (SD) for risk aversion and develops linear tests for Nth-order SD. We introduce a linear FDSD (fourth-order SD and decreasing absolute risk aversion SD) test for standard risk aversion. A positive research shows that higher order risk attitude cannot explain pricing errors of the small size and high value benchmark portfolios. The empirical results also suggests that any Nth-order SD criterion might not be superior to MV rule when the MV kernel does not violate non-satiation. FDSD has the best discriminate power and substantially improves the pricing kernel.
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 : Garth A. Carman
Publisher :
ISBN 13 :
Total Pages : 228 pages
Book Rating : 4.3/5 (129 download)
Download or read book An Application of Stochastic Dominance with Respect to a Function written by Garth A. Carman and published by . This book was released on 1982 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Markku Kallio
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (13 download)
Download or read book Extensions on Stochastic Dominance Efficiency Tests written by Markku Kallio and published by . This book was released on 2018 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider second, third, fourth and fifth order stochastic dominance (SSD, TSD, FOSD and FISD, respectively) as well as decreasing absolute risk aversion (DARA) stochastic dominance (DSD). For comparison with DSD we also consider stochastic dominance (ESD) based on CARA utility functions. Their relevance in practice arises from empirical evidence on individual preferences fitting to preference models underlying such stochastic dominance relations. Assuming a known, discrete and finite probability distribution we derive necessary and sufficient efficiency tests under the six types of stochastic dominance. Simple arguments yield well-known SSD and TSD efficiency tests which are subsequently used to develop new FOSD, FISD, DSD and ESD efficiency tests. We provide numerical demonstration using stock market data of the US.
Author : Louis Eeckhoudt
Publisher : Princeton University Press
ISBN 13 : 1400829216
Total Pages : 245 pages
Book Rating : 4.4/5 (8 download)
Download or read book Economic and Financial Decisions under Risk written by Louis Eeckhoudt and published by Princeton University Press. This book was released on 2011-10-30 with total page 245 pages. Available in PDF, EPUB and Kindle. Book excerpt: An understanding of risk and how to deal with it is an essential part of modern economics. Whether liability litigation for pharmaceutical firms or an individual's having insufficient wealth to retire, risk is something that can be recognized, quantified, analyzed, treated--and incorporated into our decision-making processes. This book represents a concise summary of basic multiperiod decision-making under risk. Its detailed coverage of a broad range of topics is ideally suited for use in advanced undergraduate and introductory graduate courses either as a self-contained text, or the introductory chapters combined with a selection of later chapters can represent core reading in courses on macroeconomics, insurance, portfolio choice, or asset pricing. The authors start with the fundamentals of risk measurement and risk aversion. They then apply these concepts to insurance decisions and portfolio choice in a one-period model. After examining these decisions in their one-period setting, they devote most of the book to a multiperiod context, which adds the long-term perspective most risk management analyses require. Each chapter concludes with a discussion of the relevant literature and a set of problems. The book presents a thoroughly accessible introduction to risk, bridging the gap between the traditionally separate economics and finance literatures.
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 : Tapan Biswas
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (53 download)
Download or read book Stochastic dominance and comparative risk aversion written by Tapan Biswas and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Valerio Potì
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book A Minimum Discrepancy Formulation of Stochastic Dominance Analysis and Implications for Asset Pricing written by Valerio Potì and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we offer a MD (Minimum Discrepancy) reformulation of the estimation and inference problem that arises in SD analysis, delivering a method that retains the desirable properties of optimal GMM while offering better higher order ones and, most importantly, without requiring the estimation of the weighting matrix, which is typically unstable and, especially when the cross-section of test-asset payoffs is large compared to the sample period length, subject to substantial sampling error. Moreover, when testing for stochastic dominance/efficiency of a given evaluated portfolio, our method makes it straightforward to impose a no short sales restriction on the admissible allocations to the test assets. While important in practice in certain circumstance, this is instead very hard, if not impossible, in a traditional GMM setting. In an empirical application using 51 years of data on portfolios formed sorting stocks on size and size and book-to-market, we find that, under decreasing absolute risk aversion (DARA) as well as more restrictive parametric specifications of the utility function, the market portfolio is stochastically dominated by the size and book to market portfolios while it compares favorably to the size portfolios.
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.
