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Author : Peter C. Fishburn
Publisher :
ISBN 13 :
Total Pages : 14 pages
Book Rating : 4.:/5 (227 download)
Download or read book Stochastic Dominance and Moments of Distributions written by Peter C. Fishburn and published by . This book was released on 1978 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : George O'Brien
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Multivariate Stochastic Dominance and Moments written by George O'Brien and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The sequence ≥nd of nth degree stochastic dominances for d-dimensional distribution functions is defined. It is shown that, under some regularity conditions, ≥nd implies ≥nd-1 for the (d-1) - dimensional marginals. Also some necessary conditions for ≥nd are established. These conditions, which involve moments, are analogous to the ones proved by Fishburn (1980b) and O'Brien (1984) for univariate distributions.
Author : Xu Guo
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (13 download)
Download or read book Moment Conditions for Almost Stochastic Dominance written by Xu Guo and published by . This book was released on 2013 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study establishes necessary conditions for Almost Stochastic Dominance criteria of various orders. These conditions take the form of restrictions on algebraic combinations of moments of the probability distributions in question. The relevant set of conditions depends on the relevant order of ASD but not on the critical value for the admissible violation area. These conditions can help to reduce the information requirement and computational burden in practical applications. A numerical example and an empirical application to historical stock market data illustrate the moment conditions. The first four moment conditions in particular seem appealing for many applications.
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 : 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 : 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 : Yoon-Jae Whang
Publisher : Cambridge University Press
ISBN 13 : 1108472796
Total Pages : 279 pages
Book Rating : 4.1/5 (84 download)
Download or read book Econometric Analysis of Stochastic Dominance written by Yoon-Jae Whang and published by Cambridge University Press. This book was released on 2019-01-31 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a comprehensive analysis of stochastic dominance through coverage of concepts, methods of estimation, inferential tools, and applications.
Author : David Vernon Widder
Publisher : Princeton University Press
ISBN 13 : 1400876451
Total Pages : 417 pages
Book Rating : 4.4/5 (8 download)
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.
Author : George L. O'Brien
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book Multivariate stochastic dominance and moments written by George L. O'Brien and published by . This book was released on 1988 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Karl Mosler
Publisher : Springer Science & Business Media
ISBN 13 : 3642499724
Total Pages : 385 pages
Book Rating : 4.6/5 (424 download)
Download or read book Stochastic Orders and Applications written by Karl Mosler and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: A bibliography on stochastic orderings. Was there a real need for it? In a time of reference databases as the MathSci or the Science Citation Index or the Social Science Citation Index the answer seems to be negative. The reason we think that this bibliog raphy might be of some use stems from the frustration that we, as workers in the field, have often experienced by finding similar results being discovered and proved over and over in different journals of different disciplines with different levels of mathematical so phistication and accuracy and most of the times without cross references. Of course it would be very unfair to blame an economist, say, for not knowing a result in mathematical physics, or vice versa, especially when the problems and the languages are so far apart that it is often difficult to recognize the analogies even after further scrutiny. We hope that collecting the references on this topic, regardless of the area of application, will be of some help, at least to pinpoint the problem. We use the term stochastic ordering in a broad sense to denote any ordering relation on a space of probability measures. Questions that can be related to the idea of stochastic orderings are as old as probability itself. Think for instance of the problem of comparing two gambles in order to decide which one is more favorable.
Author : Daniel Baier
Publisher : Springer Science & Business Media
ISBN 13 : 3540269819
Total Pages : 620 pages
Book Rating : 4.5/5 (42 download)
Download or read book Innovations in Classification, Data Science, and Information Systems written by Daniel Baier and published by Springer Science & Business Media. This book was released on 2006-06-06 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volume presents innovations in data analysis and classification and gives an overview of the state of the art in these scientific fields and applications. Areas that receive considerable attention in the book are discrimination and clustering, data analysis and statistics, as well as applications in marketing, finance, and medicine. The reader will find material on recent technical and methodological developments and a large number of applications demonstrating the usefulness of the newly developed techniques.
Author : Peter C. Fishburn
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (227 download)
Download or read book Continua of Stochastic Dominance Relations for Bounded Probability Distributions written by Peter C. Fishburn and published by . This book was released on 1976 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Notions of first degree and second degree stochastic dominance in decision making under risk have been developed and used for more than a decade. This report extends these notions to Alpha-degree stochastic dominance for every real number Alpha equal to or greater than unity. The extensions are accomplished using a standard version of fractional integral, and classes of utility functions that are congruent with the stochastic dominance relations are identified. (Author).
Author : Howard M. Taylor
Publisher : Academic Press
ISBN 13 : 1483269272
Total Pages : 410 pages
Book Rating : 4.4/5 (832 download)
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.
Author : Sushil Bikhchandani
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Stochastic Dominance Under Bayesian Learning written by Sushil Bikhchandani and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The concept of first-order stochastic dominance defined on distributions is inadequate in models with learning. We extend this concept to the space of distributions on distributions. We discuss conditions under which for all common observations one person's beliefs (over a set of probability distributions) dominate another person's beliefs by first-order stochastic dominance. We obtain sufficient conditions for this partial order and show that the sufficient conditions are necessary, provided that the underlying distributions satisfy an additional assumption. These conditions can be verified without taking any observations. Applications are discussed.
Author : Peter C. Fishburn
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (227 download)
Download or read book Convex Stochastic Dominance with Continuous Distribution Functions written by Peter C. Fishburn and published by . This book was released on 1973 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theorems are developed for first-degree and second-degree stochastic dominance involving convex combinations of probability distribution functions. Potential applications of the theorems are discussed. (Author).
Author : Yoram Kroll
Publisher :
ISBN 13 :
Total Pages : 128 pages
Book Rating : 4.3/5 (555 download)
Download or read book Stochastic Dominance written by Yoram Kroll and published by . This book was released on 1979 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
