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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 : 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 : 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 : 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 : 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 : 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 : 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 : 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 : Emmanuel Jurczenko
Publisher : John Wiley & Sons
ISBN 13 : 0470057998
Total Pages : 258 pages
Book Rating : 4.4/5 (7 download)
Download or read book Multi-moment Asset Allocation and Pricing Models written by Emmanuel Jurczenko and published by John Wiley & Sons. This book was released on 2006-10-02 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.
Author : Wolfgang Eichhorn
Publisher : Springer Science & Business Media
ISBN 13 : 3642790372
Total Pages : 1021 pages
Book Rating : 4.6/5 (427 download)
Download or read book Models and Measurement of Welfare and Inequality written by Wolfgang Eichhorn and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 1021 pages. Available in PDF, EPUB and Kindle. Book excerpt: The literature on economic problems connected with measuring and modelling of welfare and inequality has grown rapidly within the last decade. Since this literature is scattered throughout a great number of journals on economics, economic theory, econometrics, and statisties, it is difficult to get an adequate picture of the present state of the art. Therefore books should appear from time to time, which offer a representative cross-section of the latest results of research on: the subject. This book offers such material. It contains 54 articles by 84 authors from four of the five continents. Each paper has been reviewed by two referees. As a conse quence, the contributions of this book are revised versions, or, in many cases, revised revisions of the original papers. The book is divided into four parts. Part I: Measurement of Inequality and Poverty This part contains eleven papers on theory and empirical applications of inequa lity and/or poverty measures. Two contributions deal with, among other things, experimental findings on questions concerning the acceptance of distributional axioms. Part II: Taxation and Redistribution Distributional or, rather, redistributional aspects play an important role in Part II. The topics of the 14 papers included in this part range from tax progressivity and redistribution, allocative consequences of splitting under income taxation, and connections between income tax and cost-of-living indices to merit goods and welfarism as well as to welfare aspects of tax reforms.
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).
