Skip to main content
SpringerLink
Log in

Stochastic Dominance

Investment Decision Making under Uncertainty

  • Book
  • © 1998

Overview

Authors:
  1. Haim Levy

    1. The Hebrew University of Jerusalem, Israel

    View author publications

    You can also search for this author in PubMed   Google Scholar

Part of the book series: Studies in Risk and Uncertainty (SIRU, volume 12)

This is a preview of subscription content, log in via an institution to check access.

Access this book

Log in via an institution
eBook USD 74.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever

Tax calculation will be finalised at checkout

Other ways to access

Licence this eBook for your library

Institutional subscriptions

Table of contents (14 chapters)

  1. Front Matter

    Pages i-4
    Download chapter PDF

  2. On the Measurement of Risk

    • Haim Levy
    Pages 5-19

  3. Expected Utility Theory

    • Haim Levy
    Pages 21-39

  4. Stochastic Dominance Decision Rules

    • Haim Levy
    Pages 41-126

  5. Stochastic Dominance: The Quantile

    • Haim Levy
    Pages 127-162

  6. Algorithms for Stochastic Dominance

    • Haim Levy
    Pages 163-188

  7. Stochastic Dominance with Specific Distributions

    • Haim Levy
    Pages 189-214

  8. The Empirical Studies

    • Haim Levy
    Pages 215-228

  9. Applications of Stochastic Dominance Rules

    • Haim Levy
    Pages 229-244

  10. Stochastic Dominance and Risk Measures

    • Haim Levy
    Pages 245-257

  11. Stochastic Dominance and Diversification

    • Haim Levy
    Pages 259-279

  12. Decision Making and the Investment Horizon

    • Haim Levy
    Pages 281-300

  13. The CAPM and Stochastic Dominance

    • Haim Levy
    Pages 301-317

  14. Non-Expected Utility and Stochastic Dominance

    • Haim Levy
    Pages 319-336

  15. Future Research

    • Haim Levy
    Pages 337-347

  16. Back Matter

    Pages 349-379
    Download chapter PDF
Back to top

Keywords

About this book

This book is devoted to investment decision-making under uncertainty. The book covers three basic approaches to this process: a) The stochastic dominance approach, developed on the foundation of von­ Neumann and Morgenstern' expected utility paradigm. 2 b) The mean-variance approach developed by Markowitz on the foundation of von-Neumann and Morgenstem's expected utility or simply on the assumption of a utility function based on mean and variance. c) The non-expected utility approach, focusing on prospect theory and its modi­ fied version, cumulative prospect theory. This theory is based on an experi­ mental finding that subjects participating in laboratory experiments often violate expected utility maximization: They tend to use · subjective probability beliefs that differ systematically from the objective probabilities and to base their decisions on changes in wealth rather than on total wealth. The above approaches are discussed and compared in this book. W e also discuss cases in which stochastic dominance rules coincide with the mean-variance rule and cases in which contradictions between these two approaches may occur. We then discuss the relationship between stochastic dominance rules and prospect theory, and establish 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.

Authors and Affiliations

  • The Hebrew University of Jerusalem, Israel

    Haim Levy

Bibliographic Information

  • Book Title: Stochastic Dominance

  • Book Subtitle: Investment Decision Making under Uncertainty

  • Authors: Haim Levy

  • Series Title: Studies in Risk and Uncertainty

  • DOI: https://doi.org/10.1007/978-1-4757-2840-8

  • Publisher: Springer New York, NY

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer Science+Business Media New York 1998

  • eBook ISBN: 978-1-4757-2840-8Published: 09 March 2013

  • Series ISSN: 0926-972X

  • Edition Number: 1

  • Number of Pages: XII, 379

  • Number of Illustrations: 27 b/w illustrations

  • Topics: Finance, general, Microeconomics

Publish with us

Policies and ethics

Back to top

Search

Navigation