ENGLISH

Stochastic Dominance: Investment Decision Making under Uncertainty (Studies in Risk and Uncertainty)

By Haim Levy

Book information

Year
2006
ISBN
0387293027, 9780387293028, 9780387293110
Open Library ID
OL7445164M
Language
english
Format
PDF
Filesize
16 MB (17049032 bytes)
Edition
2nd
Pages
454\442
Topic
Economy
Time added
2011-06-04 13:46:07

Description

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. Each approach is discussed and compared. In addition, this volume examines cases in which stochastic dominance rules coincide with the mean-variance rule and considers how contradictions between these two approaches may occur.

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