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· 분류 : 외국도서 > 경제경영 > 통계
· ISBN : 9781420082661
· 쪽수 : 455쪽
· 출판일 : 2009-10-19
목차
Utility in Decision Theory
Choice under certainty
Basic probability background
Choice under uncertainty
Utilities and risk attitudes
Foundations 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 SD
Stochastic dominance via quantile functions
Financial Risk Measures
The problem of risk modeling
Some popular risk measures
Desirable properties of risk measures
Choquet 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 SD
Foundational Statistics for Stochastic Dominance
From theory to applications
Structure of statistical inference
Generalities on statistical estimation
Nonparametric estimation
Basics of hypothesis testing
Models and Data in Econometrics
Justifications of models
Coarse data
Modeling dependence structure
Some additional statistical tools
Applications to Finance
Diversification
Diversification on convex combinations
Prospect and Markowitz SD
Market rationality and efficiency
SD and rationality of momentum effect
Applications to Risk Management
Measures of profit/loss for risk analysis
REITs and stocks and fixed-income assets
Evaluating hedge funds performance
Evaluating iShare performance
Applications to Economics
Indifference curves/location-scale (LS) family
LS family for n random seed sources
Elasticity of risk aversion and trade
Income inequality
Appendix: Stochastic Dominance Tests
Bibliography
Index
Exercises appear at the end of each chapter.
