Advances in the use of stochastic dominance in asset pricing
Author: Philippe Johannes Petrus Marie Versijp
Publisher: Rozenberg Publishers
Published: 2007
Total Pages: 128
ISBN-13: 9051709358
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Author: Philippe Johannes Petrus Marie Versijp
Publisher: Rozenberg Publishers
Published: 2007
Total Pages: 128
ISBN-13: 9051709358
DOWNLOAD EBOOKAuthor: Andrey M. Lizyayev
Publisher: Rozenberg Publishers
Published: 2010
Total Pages: 136
ISBN-13: 9036101875
DOWNLOAD EBOOKAuthor: Haim Levy
Publisher: Springer
Published: 2015-10-31
Total Pages: 517
ISBN-13: 3319217089
DOWNLOAD EBOOKThis fully updated third edition is devoted to the analysis of various Stochastic Dominance (SD) decision rules. It discusses the pros and cons of each of the alternate SD rules, the application of these rules to various research areas like statistics, agriculture, medicine, measuring income inequality and the poverty level in various countries, and of course, to investment decision-making under uncertainty. The book features changes and additions to the various chapters, and also includes two completely new chapters. One deals with asymptotic SD and the relation between FSD and the maximum geometric mean (MGM) rule (or the maximum growth portfolio). The other new chapter discusses bivariate SD rules where the individual’s utility is determined not only by his own wealth, but also by his standing relative to his peer group. Stochastic Dominance: Investment Decision Making under Uncertainty, 3rd Ed. covers the following basic issues: the SD approach, asymptotic SD rules, the mean-variance (MV) approach, as well as the non-expected utility approach. The non-expected utility approach focuses on Regret Theory (RT) and mainly on prospect theory (PT) and its modified version, cumulative prospect theory (CPT) which assumes S-shape preferences. In addition to these issues the book suggests a new stochastic dominance rule called the Markowitz stochastic dominance (MSD) rule corresponding to all reverse-S-shape preferences. It also discusses the concept of the multivariate expected utility and analyzed in more detail the bivariate expected utility case. 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)
Author: Rene Segers
Publisher: Rozenberg Publishers
Published: 2009
Total Pages: 160
ISBN-13: 9036101042
DOWNLOAD EBOOKMonitoring involves the collection, analysis and evaluation of information over time. For many professionals, monitoring is a central aspect of their work. For example, policy- makers closely watch the e®ects of their current policies to set the right course for reform. Likewise, physicians monitor the well-being of their patients to adjust their treatments when necessary. In business, n̄ancial investors monitor stock prices and interest rates to optimally time their investments, while marketing managers watch their customers' needs and wants to frame their marketing e®orts. The above examples illustrate that monitoring is crucial in many disciplines to make the right decisions at the right moment. For this reason, there has always been a need for improved monitoring methods. With the advent of increasingly powerful computers and advanced analytical techniques, monitoring systems can nowadays process large amounts of information and have become fully automated where desired. A large body of moni- toring methods originate from academics. Especially during the past four decades, many insights from various ēlds such as economics, statistics, psychometrics and econometrics found their way into everyday monitoring practice. With the overwhelming availability of information in some cases, but also the intrinsic lack of information in other cases, the area is continuously faced with new and highly relevant research challenges. The aim of this thesis is to contribute to the development of new monitoring methods by o®ering potential solutions to some of these challenges. The challenges studied in this thesis arise from all three aspects of monitoring, that is from the collection, the analysis as well as from the evaluation of information.
Author: Roger Lord
Publisher: Rozenberg Publishers
Published: 2008
Total Pages: 211
ISBN-13: 9051709099
DOWNLOAD EBOOKAuthor: Tijmen Roderik Danie͏̈ls
Publisher: Rozenberg Publishers
Published: 2009
Total Pages: 234
ISBN-13: 9036101328
DOWNLOAD EBOOKAuthor: Francesco Ravazzolo
Publisher: Rozenberg Publishers
Published: 2007
Total Pages: 198
ISBN-13: 9051709145
DOWNLOAD EBOOKBelieving in a single model may be dangerous, and addressing model uncertainty by averaging different models in making forecasts may be very beneficial. In this thesis we focus on forecasting financial time series using model averaging schemes as a way to produce optimal forecasts. We derive and discuss in simulation exercises and empirical applications model averaging techniques that can reproduce stylized facts of financial time series, such as low predictability and time-varying patterns. We emphasize that model averaging is not a "magic" methodology which solves a priori problems of poorly forecasting. Averaging techniques have an essential requirement: individual models have to fit data. In the first section we provide a general outline of the thesis and its contributions to previ ous research. In Chapter 2 we focus on the use of time varying model weight combinations. In Chapter 3, we extend the analysis in the previous chapter to a new Bayesian averaging scheme that models structural instability carefully. In Chapter 4 we focus on forecasting the term structure of U.S. interest rates. In Chapter 5 we attempt to shed more light on forecasting performance of stochastic day-ahead price models. We examine six stochastic price models to forecast day-ahead prices of the two most active power exchanges in the world: the Nordic Power Exchange and the Amsterdam Power Exchange. Three of these forecasting models include weather forecasts. To sum up, the research finds an increase of forecasting power of financial time series when parameter uncertainty, model uncertainty and optimal decision making are included.
Author: Monique de Haan (economie.)
Publisher: Rozenberg Publishers
Published: 2008
Total Pages: 123
ISBN-13: 9036100933
DOWNLOAD EBOOKAuthor: Vera Kartseva
Publisher: Rozenberg Publishers
Published: 2008
Total Pages: 352
ISBN-13: 9051708610
DOWNLOAD EBOOKAuthor: Marcos Poplawski Ribeiro
Publisher: Rozenberg Publishers
Published: 2008
Total Pages: 316
ISBN-13: 9051709803
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