Stochastic dominance and applications to finance, risk and economics

This accessible guide helps readers build a useful repertoire of mathematicaltools in decision making under uncertainty, especially in investment science.It uses real data and statistical procedures, such as hypothesis testing, to show how SD theory is applied in financial situations. The book introduces utility theory for decision making under risk and discusses various research issues, such as how to use empirical data to arrive at decisions and how to conduct statistical tests when the data is coarse. It also explores numerous applications, including financial diversification, evaluating hedge funds, and incomeinequality. INDICE: 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.

• ISBN: 978-1-4200-8266-1
• Editorial: Chapman & Hall/CRC Statistics and Mathematics
• Encuadernacion: Cartoné
• Páginas: 455
• Fecha Publicación: 14/10/2009
• Nº Volúmenes: 1
• Idioma: Inglés