Overview
This second edition of Stochastic Dominance is devoted to investment decision making under uncertainty. The book covers four basic approaches to this process: a) The stochastic dominance (SD) approach, developed on the foundation of von-Neumann and Morgenstem^ expected utiHty paradigm. b) The mean-variance approach developed by Markowitz^ on the foundation of von-Neumann and Morgenstern's expected utility or simply on the assumption of a utility function based on mean and variance. c) The ""almost"" stochastic dominance (ASD) rules and the ""almost"" me- variance rule (AMV). No matter whether one employs objective or subjective probabilities, the common stochastic dominance criteria and the mean variance rule may lead to paradoxes: they are unable to rank prospect A w^hich yields $1 with a probability of 0.01 and a million dollars with probability of 0.99, and prospect B which yields $2 with certainty. This is an absurdity as in any sample of subjects one takes, 100% of subjects choose A. The ""almost"" stochastic dominance criteria and ""almost"" mean variance rule, which have been recently been developed by Leshno and Levy in 2002^, suggest a remedy to such paradoxes.
Full Product Details
Author: Haim Levy
Publisher: Springer-Verlag New York Inc.
Imprint: Springer-Verlag New York Inc.
Edition: Softcover reprint of hardcover 2nd ed. 2006
Volume: 12
Dimensions:
Width: 15.50cm
, Height: 2.30cm
, Length: 23.50cm
Weight: 0.694kg
ISBN: 9781441939838
ISBN 10: 1441939830
Pages: 439
Publication Date: 25 November 2010
Audience:
Professional and scholarly
,
Professional & Vocational
Format: Paperback
Publisher's Status: Active
Availability: Out of print, replaced by POD
We will order this item for you from a manufatured on demand supplier.
Reviews
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 Bauerle, Mathematical Reviews, Issue 2007 d)
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 Bauerle, Mathematical Reviews, Issue 2007 d)
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 Bauerle, Mathematical Reviews, Issue 2007 d)
