| 書目名稱 | Stochastic Dominance | | 副標題 | Investment Decision | | 編輯 | Haim Levy | | 視頻video | http://file.papertrans.cn/878/877924/877924.mp4 | | 概述 | Includes supplementary material: | | 叢書名稱 | Studies in Risk and Uncertainty | | 圖書封面 |  | | 描述 | 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. | | 出版日期 | Book 20062nd edition | | 關(guān)鍵詞 | Investment; algorithm; algorithms; decision making; utility; utility theory | | 版次 | 2 | | doi | https://doi.org/10.1007/0-387-29311-6 | | isbn_softcover | 978-1-4419-3983-8 | | isbn_ebook | 978-0-387-29311-0Series ISSN 0926-972X | | issn_series | 0926-972X | | copyright | Springer-Verlag US 2006 |
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