東華大學圖書館 |

語系: 繁體中文

說明(常見問題)

回圖書館首頁

手機版館藏查詢

登入

回首頁 到查詢結果 [ author_sort:"levy, haim." ]

切換: 標籤 | MARC模式 | ISBD

Stochastic dominance = investment de...

Levy, Haim.

FindBook

Google Book

Amazon

博客來

Stochastic dominance = investment decision making under uncertainty /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Stochastic dominance/ by Haim Levy.
其他題名:	investment decision making under uncertainty /
作者:	Levy, Haim.
出版者:	Cham :Springer International Publishing : : 2016.,
面頁冊數:	xxii, 505 p. :ill., digital ;24 cm.
內容註:	Risk: Is There a Unique Objective Measure? -- Expected Utility Theory -- Stochastic Dominance Decision Rules -- Stochastic Dominance: The Quantile Approach -- Algorithms for Stochastic Dominance -- Stochastic Dominance with Specific Distributions -- Almost Stochastic Dominance (ASD) -- Stochastic Dominance and Risk Measures -- Stochastic Dominance and Diversification -- The CAPM and Stochastic Dominance -- The Empirical Studies: Dominance and Significance Tests -- Applications of Stochastic Dominance Rules -- Mean-Variance, Stochastic Dominance and the Investment Horizon -- Stock Versus Bonds: A Stochastic Dominance Approach -- Non-Expected Utility and Stochastic Dominance -- Stochastic Dominance and Prospect Theory -- Multivariate Utility Functions -- Future Research.
Contained By:	Springer eBooks
標題:	Investment analysis - Mathematics. -
電子資源:	http://dx.doi.org/10.1007/978-3-319-21708-6
ISBN:	9783319217086$q(electronic bk.)

Stochastic dominance = investment decision making under uncertainty /
Levy, Haim.

Stochastic dominanceinvestment decision making under uncertainty /[electronic resource] :by Haim Levy. - 3rd ed. - Cham :Springer International Publishing :2016. - xxii, 505 p. :ill., digital ;24 cm.

Risk: Is There a Unique Objective Measure? -- Expected Utility Theory -- Stochastic Dominance Decision Rules -- Stochastic Dominance: The Quantile Approach -- Algorithms for Stochastic Dominance -- Stochastic Dominance with Specific Distributions -- Almost Stochastic Dominance (ASD) -- Stochastic Dominance and Risk Measures -- Stochastic Dominance and Diversification -- The CAPM and Stochastic Dominance -- The Empirical Studies: Dominance and Significance Tests -- Applications of Stochastic Dominance Rules -- Mean-Variance, Stochastic Dominance and the Investment Horizon -- Stock Versus Bonds: A Stochastic Dominance Approach -- Non-Expected Utility and Stochastic Dominance -- Stochastic Dominance and Prospect Theory -- Multivariate Utility Functions -- Future Research.

This updated 3rd 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 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. The book 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. "In this book, Prof. Levy presents his in-depth insights on a wide range of SD-related topics such as the MV approach, almost MV rule, CAPM statistics, the bivariate and multivariate expected utility, and diversification. He also formulates the SD rules in terms of distribution quantiles so that he can extend the SD theories to analyze riskless assets, discuss some open problems in SD, and illustrate the applications of SD in different areas. As such, researchers who would like to understand the SD theories systematically will find this book a valuable reference while practitioners will learn a lot on how SD theories can be applied in real life problems." -Wong Wing Keung, Hong Kong Baptist University "This book is a standard reference for scholars and practitioners in finance and economics. Recent years have witnessed important progress in theory and methods for applying Haim Levy's brain child to portfolio management and asset pricing. I am thrilled by the brilliant synthesis and perspectives offered in this book. Standing on Haim's shoulders, the reader will discover a wealth of new academic and commercial applications. A must-read." -Thierry Post, Koc University.

ISBN: 9783319217086$q(electronic bk.)

Standard No.: 10.1007/978-3-319-21708-6doiSubjects--Topical Terms:

658091
Investment analysis
--Mathematics.

LC Class. No.: HG4529

Dewey Class. No.: 332.60151922

Stochastic dominance = investment decision making under uncertainty /
LDR:04418nmm a2200325 a 4500 001 2028935
003 DE-He213
005 20160727132405.0
006 m d
007 cr nn 008maaau
008 160908s2016 gw s 0 eng d
020 $a 9783319217086$q(electronic bk.)
020 $a 9783319217079$q(paper)
024 7 $a 10.1007/978-3-319-21708-6 $2 doi
035 $a 978-3-319-21708-6
040 $a GP $c GP
041 0 $a eng
050 4 $a HG4529
072 7 $a KFF $2 bicssc
072 7 $a BUS027000 $2 bisacsh
082 0 4 $a 332.60151922 $2 22
090 $a HG4529 $b .L668 2016
100 1 $a Levy, Haim. $3 646735
245 1 0 $a Stochastic dominance $h [electronic resource] : $b investment decision making under uncertainty / $c by Haim Levy.
250 $a 3rd ed.
260 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2016.
300 $a xxii, 505 p. : $b ill., digital ; $c 24 cm.
505 0 $a Risk: Is There a Unique Objective Measure? -- Expected Utility Theory -- Stochastic Dominance Decision Rules -- Stochastic Dominance: The Quantile Approach -- Algorithms for Stochastic Dominance -- Stochastic Dominance with Specific Distributions -- Almost Stochastic Dominance (ASD) -- Stochastic Dominance and Risk Measures -- Stochastic Dominance and Diversification -- The CAPM and Stochastic Dominance -- The Empirical Studies: Dominance and Significance Tests -- Applications of Stochastic Dominance Rules -- Mean-Variance, Stochastic Dominance and the Investment Horizon -- Stock Versus Bonds: A Stochastic Dominance Approach -- Non-Expected Utility and Stochastic Dominance -- Stochastic Dominance and Prospect Theory -- Multivariate Utility Functions -- Future Research.
520 $a This updated 3rd 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 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. The book 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. "In this book, Prof. Levy presents his in-depth insights on a wide range of SD-related topics such as the MV approach, almost MV rule, CAPM statistics, the bivariate and multivariate expected utility, and diversification. He also formulates the SD rules in terms of distribution quantiles so that he can extend the SD theories to analyze riskless assets, discuss some open problems in SD, and illustrate the applications of SD in different areas. As such, researchers who would like to understand the SD theories systematically will find this book a valuable reference while practitioners will learn a lot on how SD theories can be applied in real life problems." -Wong Wing Keung, Hong Kong Baptist University "This book is a standard reference for scholars and practitioners in finance and economics. Recent years have witnessed important progress in theory and methods for applying Haim Levy's brain child to portfolio management and asset pricing. I am thrilled by the brilliant synthesis and perspectives offered in this book. Standing on Haim's shoulders, the reader will discover a wealth of new academic and commercial applications. A must-read." -Thierry Post, Koc University.
650 0 $a Investment analysis $x Mathematics. $3 658091
650 0 $a Stochastic processes. $3 520663
650 0 $a Statistical decision. $3 533208
650 1 4 $a Finance. $3 542899
650 2 4 $a Finance, general. $3 2162279
650 2 4 $a Microeconomics. $3 549163
650 2 4 $a Operation Research/Decision Theory. $3 1620900
710 2 $a SpringerLink (Online service) $3 836513
773 0 $t Springer eBooks
856 4 0 $u http://dx.doi.org/10.1007/978-3-319-21708-6
950 $a Economics and Finance (Springer-41170)