Handbook of the fundamentals of financial decision making /

This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II. Part I is concerned with Decision Making Under...

Descripción completa

Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: MacLean, L. C. (Leonard C.), Ziemba, W. T.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hackensack, NJ : World Scientific Pub., ©2013.
Colección:World Scientific handbook in financial economic series ; v. 4.
Temas:
Investments > Decision making.
Finance > Decision making.
Risk management.
Uncertainty.
Risk Management
Investissements > Prise de décision.
Finances > Prise de décision.
Gestion du risque.
Incertitude.
risk management.
BUSINESS & ECONOMICS > Finance.
Finance > Decision making
Investments > Decision making
Risk management
Uncertainty
Acceso en línea:Texto completo
Tabla de Contenidos:
  • pt. I. Decision making under uncertainty. section A. Arbitrage and asset pricing. section B. Utility theory. section C. Stochastic dominance. section D. Risk aversion and static portfolio theory
  • pt. II. From decision making to measurement and dynamic modeling. section E. Risk measures. section F. Dynamic portfolio theory and asset allocation.
  • 1. The arbitrage theory of capital asset pricing / SA Ross
  • 2. The fundamental theorem of asset pricing / W Schachermayer
  • 3. Risk neutral pricing / W Schachermayer
  • 4. Using Tucker's theorem of the alternative to provide a framework for proving basic arbitrage results / M Kallio and WT Ziemba
  • 5. A general theory of subjective probabilities and expected utilities / P Fishburn
  • 6. Prospect theory: an analysis of decisions under risk / D Kahneman and A Tversky
  • 7. Prospect theory: much ado about nothing? / M Levy and H Levy
  • 8. The data of Levy and Levy (2002) "Prospect theory: much ado about nothing?" actually support prospect theory / PP Wakker
  • 9. Prospect theory and mean-variance analysis / M Levy and H Levy
  • 10. Violations of cumulative prospect theory in mixed gambles with moderate probabilities / G Baltussen, T Post and PV Vliet
  • 11. Temporal von Neumann-Morgenstern and induced preferences / DM Kreps and EL Porteus
  • 12. Substitution, risk aversion and the temporal behavior of consumption and asset returns: a theoretical framework / LG Epstein and SE Zin
  • 13. Risk aversion and expected-utility theory: a calibration theorem / M Rabin
  • 14. Non-expected utility theory / M Machina
  • 15. Judgment under uncertainty: heuristics and biases / A Tversky and D Kahneman
  • 16. Choices, values, and frames / D Kahneman and A Tversky
  • 17. The efficiency analysis of choices involving risk / G Hanoch and H Levy
  • 18. Stochastic dominance, efficiency criteria, and efficient portfolios: the multi-period case / H Levy
  • 19. Risk aversion in the small and in the large / JW Pratt
  • 20. Univariate and multivariate measures of risk aversion and risk premiums / Y Li and WT Ziemba.
  • 21. The effect of errors in means, variances, and co-variances on optimal portfolio choice / VK Chopra and WT Ziemba
  • 22. Calculation of investment portfolios with risk free borrowing and lending / WT Ziemba, C Parkan and R Brooks-Hill
  • 23. Comparison of alternative utility functions in portfolio selection problems / JG Kallberg and WT Ziemba
  • 24. Characterizations of optimal portfolios by univariate and multivariate risk aversion / Y Li and WT Ziemba
  • 25. Choosing investment portfolios when the returns have stable distributions / WT Ziemba
  • 26. Covariance complexity and rates of return on assets / LC MacLean, ME Foster and WT Ziemba
  • 27. Anomalies: risk aversion / M Rabin and RH Thaler
  • 28. The innovest Austrian pension fund planning model InnoALM / A Geyer and WT Ziemba
  • 29. Modified risk measures and acceptance setS / RT Rockafellar and WT Ziemba
  • 30. Convex risk measures: basic facts, law-invariance and beyond, asymptotics for large portfolios / H Föllmer and T Knispel
  • 31. Modeling and optimization of risk / P Krokhmal, M Zabarankin and S Uryasev
  • 32. DEA-based firm strengths and market efficiency in US and Japan / C Edirisinghe, X Zhang and S-C Shyi
  • 33. The Kelly strategy for investing: risk and reward / LC MacLean and WT Ziemba
  • 34. Reaching goals by a deadline: digital options and continuous-time active portfolio management / S Browne
  • 35. Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark / S Browne
  • 36. Stochastic differential portfolio games / S Browne
  • 37. Fractional Kelly strategies in continuous time: recent developments / M Davis, and S Lleo
  • 38. Growth-optimal investments and numeraire portfolios under transactions costs / W Bahsoun, IV Evstigneev and MI Taksar
  • 39.A multivariate model of strategic asset allocation / JY Campbell, YL Chan and LM Viceira
  • 40. Maximizing capital growth with black swan protection / EO Thorp and S Mizusawa.

Ejemplares similares