Stochastic dominance and applications to finance, risk and economics

Author(s)

Bibliographic Information

Stochastic dominance and applications to finance, risk and economics

Songsak Sriboonchita ... [et al.]

CRC Press, c2010

  • : hbk

Available at  / 17 libraries

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Note

Other authors: Wing-Keung Wong, Sompong Dhompongsa, Hung T. Nguyen

Some copies have different pagination: xii, 442 p.

Description and Table of Contents

Description

Drawing from many sources in the literature, Stochastic Dominance and Applications to Finance, Risk and Economics illustrates how stochastic dominance (SD) can be used as a method for risk assessment in decision making. It provides basic background on SD for various areas of applications. Useful Concepts and Techniques for Economics Applications The majority of the text presents a systematic exposition of SD, emphasizing rigor and generality. It covers utility theory, multivariate SD, quantile functions, risk modeling, Choquet integrals, other risk measures, statistical inference, nonparametric estimation, hypothesis testing, and econometrics. The remainder of the book explores new applications of SD in finance, risk, and economics. At the beginning of each economic concept, the authors clearly explain only the necessary mathematics so readers are not overburdened with learning nonessential, arduous mathematics. This accessible guide helps readers build a useful repertoire of mathematical tools in decision making under uncertainty, especially in investment science. It provides thorough coverage on the theory of SD, along with many applications to economics and other fields where risk is crucial.

Table of Contents

Utility in Decision Theory. Foundations of Stochastic Dominance. Issues in Stochastic Dominance. Financial Risk Measures. Choquet Integrals as Risk Measures. Foundational Statistics for Stochastic Dominance. Models and Data in Econometrics. Applications to Finance. Applications to Risk Management. Applications to Economics. Appendix. Bibliography. Index.

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