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Handbook of the Fundamentals of Financial Decision Making: In 2 Parts

Handbook of the Fundamentals of Financial Decision Making: In 2 Parts

Leonard C. Maclean
4/5 ( ratings)
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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 Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 .Contents: "Part I: Decision Making Under Uncertainty: "Section A. Arbitrage and Asset Pricing: The Arbitrage Theory of Capital Asset Pricing ""The Fundamental Theorem of Asset Pricing ""Risk Neutral Pricing ""Using Tucker's Theorem of the Alternative to Provide a Framework for Proving Basic Arbitrage Results ""Section B. Utility Theory: A General Theory of Subjective Probabilities and Expected Utilities ""Prospect Theory: An Analysis of Decisions Under Risk ""Prospect Theory: Much Ado About Nothing? ""The Data of Levy and Levy Prospect Theory: Much Ado About Nothing? Actually Support Prospect Theory ""Prospect Theory and Mean-Variance Analysis ""Violations of Cumulative Prospect Theory in Mixed Gambles with Moderate Probabilities ""Temporal von Neumann Morgenstern and Induced Preferences ""Substitution, Risk Aversion and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework ""Risk Aversion and Expected Utility Theory: A Calibration Theorem ""Non-Expected Utility Theory ""Judgment Under Uncertainty: Heuristics and Biases ""Choices, Values, and Frames ""Section C. Stochastic Dominance: The Efficiency Analysis of Choices Involving Risk ""Stochastic Dominance, Efficiency Criteria, and Efficient Portfolios: The Multi-Period Case ""Section D. Risk Aversion and Static Portfolio Theory: Risk Aversion in the Small and in the Large ""Univariate and Multivariate Measures of Risk Aversion and Risk Premiums ""The Effect of Errors in Means, Variances, and Co-Variances on Optimal Portfolio Choice ""Calculation of Investment Portfolios with Risk Free Borrowing and Lending ""Comparison of Alternative Utility Functions in Portfolio Selection Problems "(JG Kallberg"
Pages
941
Format
ebook
Publisher
World Scientific Publishing Company
Release
July 08, 2013
ISBN
1299714781
ISBN 13
9781299714786

Handbook of the Fundamentals of Financial Decision Making: In 2 Parts

Leonard C. Maclean
4/5 ( ratings)
Read Download
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 Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 .Contents: "Part I: Decision Making Under Uncertainty: "Section A. Arbitrage and Asset Pricing: The Arbitrage Theory of Capital Asset Pricing ""The Fundamental Theorem of Asset Pricing ""Risk Neutral Pricing ""Using Tucker's Theorem of the Alternative to Provide a Framework for Proving Basic Arbitrage Results ""Section B. Utility Theory: A General Theory of Subjective Probabilities and Expected Utilities ""Prospect Theory: An Analysis of Decisions Under Risk ""Prospect Theory: Much Ado About Nothing? ""The Data of Levy and Levy Prospect Theory: Much Ado About Nothing? Actually Support Prospect Theory ""Prospect Theory and Mean-Variance Analysis ""Violations of Cumulative Prospect Theory in Mixed Gambles with Moderate Probabilities ""Temporal von Neumann Morgenstern and Induced Preferences ""Substitution, Risk Aversion and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework ""Risk Aversion and Expected Utility Theory: A Calibration Theorem ""Non-Expected Utility Theory ""Judgment Under Uncertainty: Heuristics and Biases ""Choices, Values, and Frames ""Section C. Stochastic Dominance: The Efficiency Analysis of Choices Involving Risk ""Stochastic Dominance, Efficiency Criteria, and Efficient Portfolios: The Multi-Period Case ""Section D. Risk Aversion and Static Portfolio Theory: Risk Aversion in the Small and in the Large ""Univariate and Multivariate Measures of Risk Aversion and Risk Premiums ""The Effect of Errors in Means, Variances, and Co-Variances on Optimal Portfolio Choice ""Calculation of Investment Portfolios with Risk Free Borrowing and Lending ""Comparison of Alternative Utility Functions in Portfolio Selection Problems "(JG Kallberg"
Pages
941
Format
ebook
Publisher
World Scientific Publishing Company
Release
July 08, 2013
ISBN
1299714781
ISBN 13
9781299714786

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