Stochastic Dominance: Investment Decision Making Under Uncertainty: v. 12 (Studies in Risk and Uncertainty) - Hardcover

Hardcover

ISBN 10: 0792382609 ISBN 13: 9780792382607

Publisher: Kluwer Academic Publishers, 1998

Synopsis

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. These approaches are discussed and compared in this book. In addition, this volume examines cases in which stochastic dominance rules coincide with the mean-variance rule and cases in which contradictions between these two approaches may occur. It then discusses the relationship between stochastic dominance rules and prospect theory, and establishes a new investment decision rule which combines the two and which we call prospect stochastic dominance. Although all three approaches are discussed, most of the book is devoted to the stochastic dominance paradigm. This book is intended for Ph.D students, advanced MBA students specializing in finance, and advanced MA economics students interested in the economics of uncertainty. The book can be used as a supplementary book in post-graduate courses on portfolio selection and investment decision-making under uncertainty.

About this title

Review

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 Bäuerle, Mathematical Reviews, Issue 2007 d)

About the Author

Haim Levy is Miles Robinson Professor of Business Administration at the Hebrew University of Jerusalem and Dean of the Academic Center of Law and Business, Israel. The author of hundreds of articles in leading academic journals and about twenty books, he has obtained the ranking of the most prolific researcher in finance in the world covering the forty years through 1986 and the most prolific researcher in finance in the world in the core sixteen finance journals covering the fifty-year period through 2005. A co-author with Nobel Laureates Harry Markowitz and Paul Samuelson, Professor Levy's major research contributions have been to the field of stochastic dominance, which sets forth the criteria for decision making under conditions of uncertainty, in both expected utility and prospect theory paradigms. He has also developed economic models for equilibrium asset pricing in an imperfect market. Professor Levy received the Hebrew University's Prize for Excellence in Research in 1996 and the Emet Prize in 2006. He has served as economic adviser to the Bank of Israel and held a University Professor position at the University of Florida and visiting academic positions at the University of California, Berkeley and the Wharton School, University of Pennsylvania. He received his Ph.D. from the Hebrew University in 1969 and has held a full professorship there since 1976.

Edition details

• Publisher: Kluwer Academic Publishers
• Publication date: 1998
• Language: English
• ISBN 10: 0792382609
• ISBN 13: 9780792382607
• Binding: Hardcover
• Number of pages: 396
• Editor: Levy Haim