Stochastic Dominance: Investment Decision Making under Uncertainty
This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this process: a) The stochastic dominance approach, developed on the foundation of von Neumann and Morgenstern' expected utility paradigm. 2 b) The mean-variance approach developed b...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
New York, NY
Springer US
1998
|
| Ausgabe: | 1st ed. 1998 |
| Schriftenreihe: | Studies in Risk and Uncertainty
12 |
| Schlagworte: | |
| Online-Zugang: | BTU01 URL des Erstveröffentlichers |
| Zusammenfassung: | This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this process: a) The stochastic dominance approach, developed on the foundation of von Neumann and Morgenstern' expected utility paradigm. 2 b) The mean-variance approach developed by Markowitz on the foundation of von-Neumann and Morgenstem's expected utility or simply on the assumption of a utility function based on mean and variance. c) The non-expected utility approach, focusing on prospect theory and its modi fied version, cumulative prospect theory. This theory is based on an experi mental finding that subjects participating in laboratory experiments often violate expected utility maximization: They tend to use · subjective probability beliefs that differ systematically from the objective probabilities and to base their decisions on changes in wealth rather than on total wealth. The above approaches are discussed and compared in this book. W e also discuss cases in which stochastic dominance rules coincide with the mean-variance rule and cases in which contradictions between these two approaches may occur. We then discuss the relationship between stochastic dominance rules and prospect theory, and establish a new investment decision rule which combines the two and which we call prospect stochastic dominance. Although all three approaches are discussed, most of the book is devoted to the stochastic dominance paradigm |
| Beschreibung: | 1 Online-Ressource (XII, 379 p. 27 illus) |
| ISBN: | 9781475728408 |
| DOI: | 10.1007/978-1-4757-2840-8 |
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| edition | 1st ed. 1998 |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T15:15:36Z |
| indexdate | 2024-07-10T08:56:08Z |
| institution | BVB |
| isbn | 9781475728408 |
| language | English |
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| spelling | Stochastic Dominance Investment Decision Making under Uncertainty edited by Haim Levy 1st ed. 1998 New York, NY Springer US 1998 1 Online-Ressource (XII, 379 p. 27 illus) txt rdacontent c rdamedia cr rdacarrier Studies in Risk and Uncertainty 12 This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this process: a) The stochastic dominance approach, developed on the foundation of von Neumann and Morgenstern' expected utility paradigm. 2 b) The mean-variance approach developed by Markowitz on the foundation of von-Neumann and Morgenstem's expected utility or simply on the assumption of a utility function based on mean and variance. c) The non-expected utility approach, focusing on prospect theory and its modi fied version, cumulative prospect theory. This theory is based on an experi mental finding that subjects participating in laboratory experiments often violate expected utility maximization: They tend to use · subjective probability beliefs that differ systematically from the objective probabilities and to base their decisions on changes in wealth rather than on total wealth. The above approaches are discussed and compared in this book. W e also discuss cases in which stochastic dominance rules coincide with the mean-variance rule and cases in which contradictions between these two approaches may occur. We then discuss the relationship between stochastic dominance rules and prospect theory, and establish a new investment decision rule which combines the two and which we call prospect stochastic dominance. Although all three approaches are discussed, most of the book is devoted to the stochastic dominance paradigm Finance, general Microeconomics Finance Investitionsentscheidung (DE-588)4162244-3 gnd rswk-swf Entscheidungstheorie (DE-588)4138606-1 gnd rswk-swf Entscheidung bei Unsicherheit (DE-588)4070864-0 gnd rswk-swf Stochastische Dominanz (DE-588)4219516-0 gnd rswk-swf Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Finanzanalyse (DE-588)4133000-6 gnd rswk-swf Finanzanalyse (DE-588)4133000-6 s Stochastischer Prozess (DE-588)4057630-9 s Investitionsentscheidung (DE-588)4162244-3 s Entscheidungstheorie (DE-588)4138606-1 s DE-604 Entscheidung bei Unsicherheit (DE-588)4070864-0 s Stochastische Dominanz (DE-588)4219516-0 s Levy, Haim edt Erscheint auch als Druck-Ausgabe 9781475728422 Erscheint auch als Druck-Ausgabe 9780792382607 Erscheint auch als Druck-Ausgabe 9781475728415 https://doi.org/10.1007/978-1-4757-2840-8 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Stochastic Dominance Investment Decision Making under Uncertainty Finance, general Microeconomics Finance Investitionsentscheidung (DE-588)4162244-3 gnd Entscheidungstheorie (DE-588)4138606-1 gnd Entscheidung bei Unsicherheit (DE-588)4070864-0 gnd Stochastische Dominanz (DE-588)4219516-0 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Finanzanalyse (DE-588)4133000-6 gnd |
| subject_GND | (DE-588)4162244-3 (DE-588)4138606-1 (DE-588)4070864-0 (DE-588)4219516-0 (DE-588)4057630-9 (DE-588)4133000-6 |
| title | Stochastic Dominance Investment Decision Making under Uncertainty |
| title_auth | Stochastic Dominance Investment Decision Making under Uncertainty |
| title_exact_search | Stochastic Dominance Investment Decision Making under Uncertainty |
| title_exact_search_txtP | Stochastic Dominance Investment Decision Making under Uncertainty |
| title_full | Stochastic Dominance Investment Decision Making under Uncertainty edited by Haim Levy |
| title_fullStr | Stochastic Dominance Investment Decision Making under Uncertainty edited by Haim Levy |
| title_full_unstemmed | Stochastic Dominance Investment Decision Making under Uncertainty edited by Haim Levy |
| title_short | Stochastic Dominance |
| title_sort | stochastic dominance investment decision making under uncertainty |
| title_sub | Investment Decision Making under Uncertainty |
| topic | Finance, general Microeconomics Finance Investitionsentscheidung (DE-588)4162244-3 gnd Entscheidungstheorie (DE-588)4138606-1 gnd Entscheidung bei Unsicherheit (DE-588)4070864-0 gnd Stochastische Dominanz (DE-588)4219516-0 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Finanzanalyse (DE-588)4133000-6 gnd |
| topic_facet | Finance, general Microeconomics Finance Investitionsentscheidung Entscheidungstheorie Entscheidung bei Unsicherheit Stochastische Dominanz Stochastischer Prozess Finanzanalyse |
| url | https://doi.org/10.1007/978-1-4757-2840-8 |
| work_keys_str_mv | AT levyhaim stochasticdominanceinvestmentdecisionmakingunderuncertainty |