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Description of Stochastic Dominance and Applications to Finance, Risk and Economics

This accessible guide helps readers build a useful repertoire of mathematical tools in decision making under uncertainty, especially in investment science. It uses real data and statistical procedures, such as hypothesis testing, to show how SD theory is applied in financial situations. The book introduces utility theory for decision making under risk and discusses various research issues, such as how to use empirical data to arrive at decisions and how to conduct statistical tests when the data is coarse. It also explores numerous applications, including financial diversification, evaluating hedge funds, and income inequality.

Title Information

ISBN:

9781420082661

Pages:

455 pages

Format:

Hardback

Product Code:

414395

Publisher:

Chapman & Hall

Published:

14/10/2009

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About Songsak Sriboonchita and Wing-Keung Wong and Sompong Dhompongsa and Hung T. Nguyen

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.

Contents of Stochastic Dominance and Applications to Finance, Risk and Economics

Univariate Stochastic Orders: Theory. Theory of Integral Stochastic Orders: Theory. Multivariate Stochastic Orders: Theory. Stochastic Models, Comparison and Monotonicity: Theory. Monotonicity and Comparability of Stochastic Processes: Theory toward Markov Processes. Monotonicity Properties and Bounds for Queuing Systems: Properties of queues. Applications to Various Stochastic Models: Reliability, Scheduling, Point Processes, Statistical Mechanics. Comparing Risks: Economic Uncertainty, Finance Applications, and Actuarial Sciences.