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Handbook of the fundamentals of financial decision making

Author: L C MacLean; W T Ziemba
Publisher: Hackensack, NJ : World Scientific Pub., ©2013.
Series: World Scientific handbook in financial economic series, v. 4.
Edition/Format:   eBook : Document : EnglishView all editions and formats

Covers key topics of the theory of financial decision making. This book is suitable for PhD and Masters courses both as the main or as a supplementary text in financial decision making and portfolio  Read more...


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Genre/Form: Electronic books
Additional Physical Format: Print version:
Handbook of the fundamentals of financial decision making.
Hackensack, NJ : World Scientific Pub., ©2013
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: L C MacLean; W T Ziemba
ISBN: 9789814417358 9814417351 1299714781 9781299714786
OCLC Number: 851695732
Description: 1 online resource (2 volumes (800 pages)).
Contents: Volume I: Decision Making Under Uncertainty: Arbitrage: The Arbitrage Theory of Capital Asset Pricing (S A Ross); The Fundamental Theorem of Asset Pricing in R. Cont (W Schachermayer); Risk Neutral Pricing in R. Cont (W Schachermayer); Using Tucker's Theorem of the Alternative to Provide a Framework for Proving Basic Arbitrage Results (M Kallio and W T Ziemba); Utility Theory: A General Theory of Subjective Probabilities and Expected Utilities (P Fishburn); Prospect Theory: An Analysis of Decisions under Risk (A Tversky and D Kahneman); Prospect Theory: Much Ado About Nothing (M Levy and H Levy); Prospect Theory and Mean-Variance Analysis (M Levy and H Levy); Substitution, Risk Aversion and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (L G Epstein and S E Zin); Risk Aversion and Expected Utility Theory: A Calibration Theorem (M Rabin); Non-Expected Utility Theory in J L Tengels and B Sundt (M Machina); Risk Aversion and Static Portfolio Theory: Risk Aversion in the Small and in the Large (J W Pratt); Univariate and Multivariate Measures of Risk Aversion and Risk Premiums (Y Li and W T Ziemba); The Effect of Errors in Mean and Co-Variance Estimates on Optimal Portfolio Choice (V Chopra and W T Ziemba); Calculation of Investment Portfolios With Risk Free Borrowing and Lending (W T Ziemba, C Parkan and F J Brooks-Hill); Comparison of Alternative Utility Functions in Portfolio Selection Problems (J G Kallberg and W T Ziemba); Characterizations of Optimal Portfolios by Univariate and Multivariate Risk Aversion (Y Li and W T Ziemba); Choosing Investment Portfolios When the Returns Have Stable Distributions (W T Ziemba); Covariance Complexity and Rates of Return on Assets (L C MacLean, M Foster and W T Ziemba); Anomalies: Risk Aversion (M Rabin and R A Thaler); Stochastic Dominance: The Efficiency Analysis of Choices Involving Risk (G Hanoch and H Levy); Stochastic Dominance, Efficiency Criteria, and Efficient Portfolios: The Multi-Period Case (H Levy); Volume II: From Decision Making to Measurement and Dynamic Modeling: Risk Measures: The Innovest Austrian Pension Fund Planning Model InnoALM (A Geyer and W T Ziemba); Axiomatic Convex Risk Measures (R T Rockafellar and W T Ziemba); Convex Risk Measures: Basic Facts, Law Invariance and Beyond, Asymptotics for Large Portfolios (H Follmer and T Knispel); Modeling and Optimization of Risk (P Krokhmal, M Zabarankin and S Uryasev); Dynamic Portfolio Theory and Tactical Asset Allocation: Utility and Goal Based Consumption-Investment Models: DEA-Based Firm Strengths and Market Efficiency in US and Japan (C Edirisinghe, X Zhang and S-C Shyi); The Kelly Strategy for Investing: Risk and Reward (L C MacLean and W T Ziemba); Reaching Goals by a Deadline: Digital Options and Continuous-Time Active Portfolio Management (S Browne); Beating a Moving Target: Optimal Portfolio Strategies for Outperforming a Stochastic Benchmark (S Browne); Stochastic Differential Portfolio Games (S Browne); Fractional Kelly Strategies in Continuous Time: Recent Developments (M Davis and S Lleo); Growth-Optimal Investments and Numeraire Portfolios Under Transactions Costs (W Bahsoun, I V Evstigneev and M I Taksar); A Multivariate Model of Strategic Asset Allocation (J Y Campbell, Y I Chou and L Viceira); Maximizing Capital Growth With Black Swan Protection (S Mizusawa and E O Thorp, E O Thorp and Associates) .
Series Title: World Scientific handbook in financial economic series, v. 4.
Responsibility: edited by Leonard C. MacLean and William T. Ziemba.


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These two parts contain a superb collection of papers covering the fundamental topics of asset pricing theory. Organized from the basic theories to complex optimal dynamic trading strategies, these Read more...

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