Download or read book Multivalued Stochastic Dominance to Determine the Efficient Set of Assets written by Grazyna Trzpiot and published by . This book was released on 1998 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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:

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)

Download or read book Gains from Diversification written by Martin Egozcue and published by . This book was released on 2008 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: By incorporating both majorization theory and stochastic dominance theory, this paper presents a general theory and a unifying framework for determining the diversification preferences of risk-averse investors and conditions under which they would unanimously judge a particular asset to be superior. In particular, we develop a theory for comparing the preferences of different convex combinations of assets that characterize a portfolio to give higher expected utility by second-order stochastic dominance. Our findings also provide additional methodology for determining the second-order stochastic dominance efficient set.

Download or read book Financial Modelling written by Andrzej M. J. Skulimowski and published by . This book was released on 1999 with total page 510 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Multivariate Tests for Stochastic Dominance Efficiency of a Given Portfolio written by Thierry Post and published by . This book was released on 2005 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop empirical tests for stochastic dominance efficiency of a given investment portfolio relative to all possible portfolios formed from a set of assets. Our tests use multivariate statistical methods, which results in good statistical power properties and increases the comparability with existing mean-variance tests. Using our tests, we demonstrate that the mean-variance inefficiency of the CRSP all-share index relative to beta-sorted portfolios can be explained by tail risk not captured by variance.

Download or read book Advances in the use of stochastic dominance in asset pricing written by Philippe Johannes Petrus Marie Versijp and published by Rozenberg Publishers. This book was released on 2007 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Dominance written by Haim Levy and published by Kluwer Academic Pub. This book was released on 1998-01-01 with total page 379 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. These approaches are discussed and compared in this book. In addition, this volume examines cases in which stochastic dominance rules coincide with the mean-variance rule and cases in which contradictions between these two approaches may occur. It then discusses the relationship between stochastic dominance rules and prospect theory, and establishes 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. This book is intended for Ph.D students, advanced MBA students specializing in finance, and advanced MA economics students interested in the economics of uncertainty. The book can be used as a supplementary book in post-graduate courses on portfolio selection and investment decision-making under uncertainty.

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.

Download or read book Stochastic Dominance written by and published by . This book was released on 2009 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Dominance Efficiency Criteria and Efficinet Portfolios written by Haim Levy and published by . This book was released on 1974 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Empirical Tests for Stochastic Dominance Efficiency written by Thierry Post and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We derive empirical tests for the stochastic dominance efficiency of a given portfolio with respect to all possible portfolios constructed from a set of assets. The tests can be computed using straightforward linear programming. Bootstrapping techniques and asymptotic distribution theory can approximate the sampling properties of the test results and allow for statistical inference. Our results could provide a stimulus to the further proliferation of stochastic dominance for the problem of portfolio selection and evaluation. Using our tests, the Fama and French market portfolio is significantly inefficient relative to benchmark portfolios formed on market capitalization and book-to-market equity ratio.

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

Download or read book Testing for Stochastic Dominance Efficiency written by Olivier Scaillet and published by . This book was released on 2005 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Acta Universitatis Lodziensis written by and published by . This book was released on 2004 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Note on Asset Proportions Stochastic Dominance and the 50 Rule written by Ephraim Clark and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we look at the cumulative conditional expected outcome of two dependent assets. We then develop a conditional stochastic dominance relation between the two assets. We use this to determine the composition of an optimal portfolio. We show that for any concave von Neumann-Morgenstern utility function the proportion of wealth invested in the dominant asset will be greater than 50%. We call this the 50% rule.

Download or read book Handbook of Multivalued Analysis written by Shouchuan Hu and published by Springer Science & Business Media. This book was released on 2013-11-21 with total page 941 pages. Available in PDF, EPUB and Kindle. Book excerpt: In volume I we developed the tools of "Multivalued Analysis. " In this volume we examine the applications. After all, the initial impetus for the development of the theory of set-valued functions came from its applications in areas such as control theory and mathematical economics. In fact, the needs of control theory, in particular the study of systems with a priori feedback, led to the systematic investigation of differential equations with a multi valued vector field (differential inclusions). For this reason, we start this volume with three chapters devoted to set-valued differential equations. However, in contrast to the existing books on the subject (i. e. J. -P. Aubin - A. Cellina: "Differential Inclusions," Springer-Verlag, 1983, and Deimling: "Multivalued Differential Equations," W. De Gruyter, 1992), here we focus on "Evolution Inclusions," which are evolution equations with multi valued terms. Evolution equations were raised to prominence with the development of the linear semigroup theory by Hille and Yosida initially, with subsequent im portant contributions by Kato, Phillips and Lions. This theory allowed a successful unified treatment of some apparently different classes of nonstationary linear par tial differential equations and linear functional equations. The needs of dealing with applied problems and the natural tendency to extend the linear theory to the nonlinear case led to the development of the nonlinear semigroup theory, which became a very effective tool in the analysis of broad classes of nonlinear evolution equations.