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Stochastic dominance. Investment decision making under uncertainty. 2nd ed. (English) Zbl 1109.91037
Studies in Risk and Uncertainty 12. New York, NY: Springer (ISBN 0-387-29302-7/hbk). xiii, 439 p. (2006).
The book covers 4 basic approaches to investment decision-making center uncertainty: the stochastic dominance approach, the mean-variance approach, the “almost” stochastic rules and the “almost” mean-variance rule, the non-expected utility approach. In comparison to the first edition, in the second edition are added: value at risk as a measure of risk; a discussion of utility of wealth and utility of change of wealth; risk-seeking stochastic dominance, discussion and proofs of convex stochastic dominance; a new chapter 13, analyzing “almost” stochastic dominance, a new chapter 15, analyzing prospect stochastic dominance and Markowitz’s stochastic dominance. The quantile formulation of third-degree stochastic dominance is omitted from the second edition. Also, in the second edition, a new TSD (third degree stochastic dominance rule) algorithm is provided, accompanied by an empirical study testing the effectiveness of TSD with the new algorithm.

MSC:
91B30 Risk theory, insurance (MSC2010)
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