Adequate decision rules for portfolio choice problems:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Basingstoke, Hampshire ; New York, NY
Palgrave
2002
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| Schriftenreihe: | Finance and capital markets
|
| Schlagworte: | |
| Online-Zugang: | Table of contents Publisher description Inhaltsverzeichnis |
| Beschreibung: | XIII, 114 S. graph. Darst. 24 cm |
| ISBN: | 0333994329 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804138168127062016 |
|---|---|
| adam_text | Contents
List of Figures jx
Preface x
List of Abbreviations xii
1 Introduction 7
2 Risk and Decision 5
2.1 Decision Theory and Portfolio Choice 5
2.2 Decision Rules 8
3 Analysis of Prominent Decision Rules 15
3.1 Characterisation of Decision Rules Prominent in
Portfolio Choice 15
3.2 Expected Gain, Bernoulli s Moral Expectation, and
Bayes s Rule 17
3.3 Expected Utility 22
3.4 Markowitz s n-o 2 Rule 29
3.5 Safety First Rules 40
3.6 More Recent Contributions 51
CONTENTS
4 Adequate Decision Rules for Portfolio Choice 72
4.1 Criteria of Adequacy 72
4.2 Decision Rules Adequate for Single-Period
Investments 78
4.3 Decision Rules Adequate for Finitely Often Repeated
Investments 84
4.4 Decision Rules Adequate for Infinitely Often Repeated
Investments 94
5 Conclusions 99
References 106
Index 113
List of Figures
3.1 Portfolio choice in Markowitz s model 32
3.2 Portfolio choice in Tobin s model 34
3.3 Portfolio choice in Roy s model 44
3.4 Portfolio choice in Roy s model with a risk-free asset 45
3.5 Portfolio choice in Telser s model 46
3.6 Portfolio choice in Telser s model with d* Tf 47
3.7 Portfolio choice in Kataoka s model 50
3.8 Portfolio choice in Kataoka s model with a risk-free asset 51
3.9 Portfolio choice with the i-WM rule 65
4.1 Portfolio choice with the CP rule 82
4.2 Portfolio choice with the CP rule with a risk-free asset 84
4.3 Portfolio choice with the CP rule under possible forced
premature termination 93
|
| adam_txt |
Contents
List of Figures jx
Preface x
List of Abbreviations xii
1 Introduction 7
2 Risk and Decision 5
2.1 Decision Theory and Portfolio Choice 5
2.2 Decision Rules 8
3 Analysis of Prominent Decision Rules 15
3.1 Characterisation of Decision Rules Prominent in
Portfolio Choice 15
3.2 Expected Gain, Bernoulli's Moral Expectation, and
Bayes's Rule 17
3.3 Expected Utility 22
3.4 Markowitz's n-o"2 Rule 29
3.5 Safety First Rules 40
3.6 More Recent Contributions 51
CONTENTS
4 Adequate Decision Rules for Portfolio Choice 72
4.1 Criteria of Adequacy 72
4.2 Decision Rules Adequate for Single-Period
Investments 78
4.3 Decision Rules Adequate for Finitely Often Repeated
Investments 84
4.4 Decision Rules Adequate for Infinitely Often Repeated
Investments 94
5 Conclusions 99
References 106
Index 113
List of Figures
3.1 Portfolio choice in Markowitz's model 32
3.2 Portfolio choice in Tobin's model 34
3.3 Portfolio choice in Roy's model 44
3.4 Portfolio choice in Roy's model with a risk-free asset 45
3.5 Portfolio choice in Telser's model 46
3.6 Portfolio choice in Telser's model with d* Tf 47
3.7 Portfolio choice in Kataoka's model 50
3.8 Portfolio choice in Kataoka's model with a risk-free asset 51
3.9 Portfolio choice with the \i-WM rule 65
4.1 Portfolio choice with the CP rule 82
4.2 Portfolio choice with the CP rule with a risk-free asset 84
4.3 Portfolio choice with the CP rule under possible forced
premature termination 93 |
| any_adam_object | 1 |
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| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
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| illustrated | Illustrated |
| index_date | 2024-07-02T22:33:48Z |
| indexdate | 2024-07-09T21:23:54Z |
| institution | BVB |
| isbn | 0333994329 |
| language | English |
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| physical | XIII, 114 S. graph. Darst. 24 cm |
| publishDate | 2002 |
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| publisher | Palgrave |
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| series2 | Finance and capital markets |
| spelling | Goodall, Thilo 1965- Verfasser (DE-588)124105564 aut Adequate decision rules for portfolio choice problems Thilo Goodall Basingstoke, Hampshire ; New York, NY Palgrave 2002 XIII, 114 S. graph. Darst. 24 cm txt rdacontent n rdamedia nc rdacarrier Finance and capital markets Zugl.: Freiburg (Breisgau), Univ., Diss., 2000 Mathematisches Modell Portfolio management -- Mathematical models Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Entscheidungsmodell (DE-588)4121201-0 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Portfolio Selection (DE-588)4046834-3 s Entscheidungsmodell (DE-588)4121201-0 s DE-604 http://www.loc.gov/catdir/toc/hol031/2002020830.html Table of contents http://www.loc.gov/catdir/description/hol031/2002020830.html Publisher description HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016845498&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Goodall, Thilo 1965- Adequate decision rules for portfolio choice problems Mathematisches Modell Portfolio management -- Mathematical models Portfolio Selection (DE-588)4046834-3 gnd Entscheidungsmodell (DE-588)4121201-0 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4121201-0 (DE-588)4113937-9 |
| title | Adequate decision rules for portfolio choice problems |
| title_auth | Adequate decision rules for portfolio choice problems |
| title_exact_search | Adequate decision rules for portfolio choice problems |
| title_exact_search_txtP | Adequate decision rules for portfolio choice problems |
| title_full | Adequate decision rules for portfolio choice problems Thilo Goodall |
| title_fullStr | Adequate decision rules for portfolio choice problems Thilo Goodall |
| title_full_unstemmed | Adequate decision rules for portfolio choice problems Thilo Goodall |
| title_short | Adequate decision rules for portfolio choice problems |
| title_sort | adequate decision rules for portfolio choice problems |
| topic | Mathematisches Modell Portfolio management -- Mathematical models Portfolio Selection (DE-588)4046834-3 gnd Entscheidungsmodell (DE-588)4121201-0 gnd |
| topic_facet | Mathematisches Modell Portfolio management -- Mathematical models Portfolio Selection Entscheidungsmodell Hochschulschrift |
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