Description
Taylor & Francis Ltd Stochastic Dominance And Applications To Finance Risk And Economics 2009 Edition by Songsak Sriboonchita
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 ApplicationsThe 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. Utility in Decision Theory Choice under certainty Basic probability background Choice under uncertainty Utilities and risk attitudesFoundations of Stochastic Dominance Some preliminary mathematics Deriving representations of preferences Stochastic dominance (SD)Issues in Stochastic Dominance A closer look at the mean-variance rule Multivariate SDStochastic dominance via quantile functionsFinancial Risk Measures The problem of risk modelingSome popular risk measures Desirable properties of risk measuresChoquet Integrals as Risk Measures Extended theory of measures Capacities The Choquet integral Basic properties of the Choquet integral Comonotonicity Notes on copulas A characterization theorem A class of coherent risk measures Consistency with SDFoundational Statistics for Stochastic Dominance From theory to applications Structure of statistical inference Generalities on statistical estimation Nonparametric estimationBasics of hypothesis testingModels and Data in Econometrics Justifications of models Coarse dataModeling dependence structureSome additional statistical toolsApplications to Finance Diversification Diversification on convex combinations Prospect and Markowitz SD Market rationality and efficiencySD and rationality of momentum effectApplications to Risk Management Measures of profit/loss for risk analysis REITs and stocks and fixed-income assets Evaluating hedge funds performance Evaluating iShare performanceApplications to Economics Indifference curves/location-scale (LS) family LS family for n random seed sources Elasticity of risk aversion and trade Income inequalityAppendix: Stochastic Dominance TestsBibliographyIndexExercises appear at the end of each chapter.