Download or read book Handbook of the Fundamentals of Financial Decision Making written by Leonard C. MacLean and published by World Scientific. This book was released on 2013 with total page 941 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2 nd edition published in 2006).

Download or read book Agent Based Models in Economics written by Domenico Delli Gatti and published by Cambridge University Press. This book was released on 2018-03-22 with total page 261 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first step-by-step introduction to the methodology of agent-based models in economics, their mathematical and statistical analysis, and real-world applications.

Download or read book Computational Economics Heterogeneous Agent Modeling written by Cars Hommes and published by Elsevier. This book was released on 2018-06-27 with total page 836 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Computational Economics: Heterogeneous Agent Modeling, Volume Four, focuses on heterogeneous agent models, emphasizing recent advances in macroeconomics (including DSGE), finance, empirical validation and experiments, networks and related applications. Capturing the advances made since the publication of Volume Two (Tesfatsion & Judd, 2006), it provides high-level literature with sections devoted to Macroeconomics, Finance, Empirical Validation and Experiments, Networks, and other applications, including Innovation Diffusion in Heterogeneous Populations, Market Design and Electricity Markets, and a final section on Perspectives on Heterogeneity. - Helps readers fully understand the dynamic properties of realistically rendered economic systems - Emphasizes detailed specifications of structural conditions, institutional arrangements and behavioral dispositions - Provides broad assessments that can lead researchers to recognize new synergies and opportunities

Download or read book Prospect Theory written by Peter P. Wakker and published by Cambridge University Press. This book was released on 2010-07-22 with total page 519 pages. Available in PDF, EPUB and Kindle. Book excerpt: Prospect Theory: For Risk and Ambiguity, provides a comprehensive and accessible textbook treatment of the way decisions are made both when we have the statistical probabilities associated with uncertain future events (risk) and when we lack them (ambiguity). The book presents models, primarily prospect theory, that are both tractable and psychologically realistic. A method of presentation is chosen that makes the empirical meaning of each theoretical model completely transparent. Prospect theory has many applications in a wide variety of disciplines. The material in the book has been carefully organized to allow readers to select pathways through the book relevant to their own interests. With numerous exercises and worked examples, the book is ideally suited to the needs of students taking courses in decision theory in economics, mathematics, finance, psychology, management science, health, computer science, Bayesian statistics, and engineering.

Download or read book An Agent Based Model of Heterogeneous Demand written by Matthias Müller and published by Springer. This book was released on 2017-06-14 with total page 173 pages. Available in PDF, EPUB and Kindle. Book excerpt: Matthias Müller makes a case for the particular role of the demand side in research on innovation. Based on a complex agent-based simulation model, he analyzes the versatile mutual relationships between consumers and producers within the innovation process. Instead of oversimplifying the demand side, the book aims to apply important aspects which too often are only applied to the supply side, e.g., the heterogeneity and bounded rationality of economic actors embedded in networks. The results offer a new perspective on the innovation process, proving that the demand side and consumers are important drivers of innovation, which must be included in future research for a full picture.

Download or read book Network Theory and Agent Based Modeling in Economics and Finance written by Anindya S. Chakrabarti and published by Springer Nature. This book was released on 2019-10-23 with total page 454 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the latest findings on network theory and agent-based modeling of economic and financial phenomena. In this context, the economy is depicted as a complex system consisting of heterogeneous agents that interact through evolving networks; the aggregate behavior of the economy arises out of billions of small-scale interactions that take place via countless economic agents. The book focuses on analytical modeling, and on the econometric and statistical analysis of the properties emerging from microscopic interactions. In particular, it highlights the latest empirical and theoretical advances, helping readers understand economic and financial networks, as well as new work on modeling behavior using rich, agent-based frameworks. Innovatively, the book combines observational and theoretical insights in the form of networks and agent-based models, both of which have proved to be extremely valuable in understanding non-linear and evolving complex systems. Given its scope, the book will capture the interest of graduate students and researchers from various disciplines (e.g. economics, computer science, physics, and applied mathematics) whose work involves the domain of complexity theory.

Download or read book Beautiful Cycles A Theory and a Model Implying a Curious Role for Interest written by Mr. Marco Gross and published by International Monetary Fund. This book was released on 2021-03-05 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: Where do economic cycles come from? This paper contemplates an utmost minimalistic model and underlying theory that rest on two assumptions for letting them emerge endogenously: (1) the presence of interest-bearing debt; and (2) a degree of downward nominal wage rigidity. Despite its parsimony, the model generates well-behaved, self-evolving limit cycles and replicates six essential empirical facts: (1) booms are long- while recessions short-lived; (2) leverage is procyclical; (3) firm profit and wage shares in GDP are counter- and procyclical, respectively; (4) Phillips curves are downward-sloping and convex, and Okun’s law relation is replicated; (5) default cascades arise endogenously at the turning points to recessions; (6) lending spreads are countercyclical. One can refer to the model as being of a Dynamic Stochastic General Disequilibrium (DSGD) kind.

Download or read book Investor Behavior written by H. Kent Baker and published by John Wiley & Sons. This book was released on 2014-02-10 with total page 645 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINNER, Business: Personal Finance/Investing, 2015 USA Best Book Awards FINALIST, Business: Reference, 2015 USA Best Book Awards Investor Behavior provides readers with a comprehensive understanding and the latest research in the area of behavioral finance and investor decision making. Blending contributions from noted academics and experienced practitioners, this 30-chapter book will provide investment professionals with insights on how to understand and manage client behavior; a framework for interpreting financial market activity; and an in-depth understanding of this important new field of investment research. The book should also be of interest to academics, investors, and students. The book will cover the major principles of investor psychology, including heuristics, bounded rationality, regret theory, mental accounting, framing, prospect theory, and loss aversion. Specific sections of the book will delve into the role of personality traits, financial therapy, retirement planning, financial coaching, and emotions in investment decisions. Other topics covered include risk perception and tolerance, asset allocation decisions under inertia and inattention bias; evidenced based financial planning, motivation and satisfaction, behavioral investment management, and neurofinance. Contributions will delve into the behavioral underpinnings of various trading and investment topics including trader psychology, stock momentum, earnings surprises, and anomalies. The final chapters of the book examine new research on socially responsible investing, mutual funds, and real estate investing from a behavioral perspective. Empirical evidence and current literature about each type of investment issue are featured. Cited research studies are presented in a straightforward manner focusing on the comprehension of study findings, rather than on the details of mathematical frameworks.

Download or read book Insurance and Behavioral Economics written by Howard C. Kunreuther and published by Cambridge University Press. This book was released on 2013-01-28 with total page 343 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the behavior of individuals at risk and insurance industry policy makers involved in selling, buying and regulation.

Download or read book Handbook of the Economics of Finance written by G. Constantinides and published by Elsevier. This book was released on 2003-11-04 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: Arbitrage, State Prices and Portfolio Theory / Philip h. Dybvig and Stephen a. Ross / - Intertemporal Asset Pricing Theory / Darrell Duffle / - Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance / Wayne E. Ferson / - Consumption-Based Asset Pricing / John y Campbell / - The Equity Premium in Retrospect / Rainish Mehra and Edward c. Prescott / - Anomalies and Market Efficiency / William Schwert / - Are Financial Assets Priced Locally or Globally? / G. Andrew Karolyi and Rene M. Stuli / - Microstructure and Asset Pricing / David Easley and Maureen O'hara / - A Survey of Behavioral Finance / Nicholas Barberis and Richard Thaler / - Derivatives / Robert E. Whaley / - Fixed-Income Pricing / Qiang Dai and Kenneth J. Singleton.

Download or read book Agent Based Models in Economics written by Domenico Delli Gatti and published by Cambridge University Press. This book was released on 2018-03-22 with total page 261 pages. Available in PDF, EPUB and Kindle. Book excerpt: In contrast to mainstream economics, complexity theory conceives the economy as a complex system of heterogeneous interacting agents characterised by limited information and bounded rationality. Agent Based Models (ABMs) are the analytical and computational tools developed by the proponents of this emerging methodology. Aimed at students and scholars of contemporary economics, this book includes a comprehensive toolkit for agent-based computational economics, now quickly becoming the new way to study evolving economic systems. Leading scholars in the field explain how ABMs can be applied fruitfully to many real-world economic examples and represent a great advancement over mainstream approaches. The essays discuss the methodological bases of agent-based approaches and demonstrate step-by-step how to build, simulate and analyse ABMs and how to validate their outputs empirically using the data. They also present a wide set of applications of these models to key economic topics, including the business cycle, labour markets, and economic growth.

Download or read book The Law and Economics of Irrational Behavior written by Francesco Parisi and published by Stanford University Press. This book was released on 2005 with total page 634 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of essays explores the most relevant developments at the interface of economics and psychology, giving special attention to models of irrational behavior, and draws the relevant implications of such models for the design of legal rules and institutions. The application of economic models of irrational behavior to law is especially challenging because specific departures from rational behavior differ markedly from one another. Furthermore, the analytical and deductive instruments of economic theory have to be reshaped to deal with the fragmented and heterogeneous findings of psychological research, turning towards a more experimental and inductive methodology. This volume brings together pioneering scholars in this area, along with some of the most exciting developments in the field of legal and economic theory. Areas of application include criminal law and sentencing, tort law, contract law, corporate law, and financial markets.

Download or read book Handbooks in Operations Research and Management Science Financial Engineering written by John R. Birge and published by Elsevier. This book was released on 2007-11-16 with total page 1026 pages. Available in PDF, EPUB and Kindle. Book excerpt: The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.

Download or read book Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Download or read book Agent Mediated Electronic Commerce Designing Trading Strategies and Mechanisms for Electronic Markets written by Sofia Ceppi and published by Springer. This book was released on 2014-11-15 with total page 181 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains 12 thoroughly refereed and revised papers detailing recent advances in research on designing trading agents and mechanisms for agent-mediated e-commerce. They were originally presented at three events: the Workshop on Agent-Mediated Electronic Commerce (AMEC 2013), co-located with AAMAS 2013 in Saint Paul, MN, USA, in May 2013; the Workshop on Trading Agent Design and Analysis (TADA 2013), co-located with AAAI 2013 in Bellevue, WA, USA, in July 2013; and the Joint Workshop on Trading Agent Design and Analysis (TADA 2014) and Agent-Mediated Electronic Commerce (AMEC 2014), co-located with AAMAS 2014 in Paris, France, in May 2014. Given the breadth of research topics in this field, the range of topics addressed in these papers is correspondingly broad. These include the study of theoretical issues related to the design of interaction protocols and marketplaces; the design and analysis of automated trading strategies used by individual agents; and the deployment of such strategies, in times as part of an entry to the trading agent competition.

Download or read book Portfolios and Investments written by Michael Frömmel and published by BoD – Books on Demand. This book was released on 2013-09-27 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book is concerned with the theory of portfolios, as well as with investing in assets and securities and offers a general introduction, rather than a toolbox for making money. It will help its readers to better understand investing. The book is structured in two parts. Part I introduces the student into fundamental principles of portfolio theory and investment analysis, such as the Markowitz portfolio selection approach, factor models, basic evaluation techniques and portfolio management. Part II extends the material to more advanced topics and focuses on inefficient markets, including topics including technical analysis and momentum effects, behavioural finance, bubbles and herding, portfolio management in inefficient markets and market microstructure. followed by an appendix consisting of primers to some econometric approaches.

Download or read book Handbook of Exchange Rates written by Jessica James and published by John Wiley & Sons. This book was released on 2012-05-29 with total page 674 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.