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Stochastic Dominance and Applications to Finance, Risk and Economics

Songsak Sriboonchita | Wing-Keung Wong | Sompong Dhompongsa | Hung T. Nguyen
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A01=Hung T. Nguyen
A01=Sompong Dhompongsa
A01=Songsak Sriboonchita
A01=Wing-Keung Wong
advanced risk assessment techniques
Author_Hung T. Nguyen
Author_Sompong Dhompongsa
Author_Songsak Sriboonchita
Author_Wing-Keung Wong
CAPM Statistic
Category=KCH
Category=KF
Category=PBT
Category=PBW
censored data
choquet
Choquet Integral
Coherent Risk Measures
CV aR
DD Test
decision theory models
distribution
Distribution Function
econometric analysis
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Equity REITs
function
functions
hypothesis testing methods
imprecise data
integral
investment science
measure
missing data
Momentum Portfolios
Mortgage REITs
MV Criterion
MV Rule
nonparametric estimation
Probability Measures
Quantile Functions
random
Random Variables
risk assessment
Risk Averse Investors
Risk Aversion
Risk Measures
Risk Seekers
rules
SD Approach
SD Theory
Sharpe Ratio
Simple Random Variables
Songsak Sriboonchita
Spectral Risk Measure
statistics for risk analysis
stochastic dominance
Stochastic Dominance Rule
uncertainty modeling
utility
Utility Function
variable

Product details

  • ISBN 9781138117990
  • Weight: 840g
  • Dimensions: 156 x 234mm
  • Publication Date: 28 Jun 2017
  • Publisher: Taylor & Francis Ltd
  • Publication City/Country: GB
  • Product Form: Paperback
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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.
About Hung T. Nguyen | Sompong Dhompongsa | Songsak Sriboonchita | Wing-Keung Wong

Songsak Sriboonchitta is an associate professor and dean of the Faculty of Economics at Chiang Mai University in Thailand.

Wing-Keung Wong is a professor of economics at Hong Kong Baptist University in China.

Sompong Dhompongsa is a professor of mathematics at Chiang Mai University in Thailand.

Hung T. Nguyen is a professor of mathematical sciences at New Mexico State University in Las Cruces.

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