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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Stochastic Dominance: Investment Decision Making Under Uncertainty

Stochastic Dominance: Investment Decision Making Under Uncertainty

Levy, Haim

Paperback

Series: Studies in Risk and Uncertainty, Book 12

EconomicsInvesting & Finance

Currently unavailable to order

ISBN10: 1441939830
ISBN13: 9781441939838
Publisher: Springer
Published: Nov 25 2010
Pages: 439
Weight: 1.40
Height: 0.92 Width: 6.10 Depth: 9.25
Language: English
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.

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