Handbook of the fundamentals of financial decision making /

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Bibliographic Details
Imprint:	Hackensack, NJ : World Scientific Pub., ©2013.
Description:	1 online resource (2 volumes (800 pages))
Language:	English
Series:	World scientific handbook in financial economic series, 2010-1732 ; v. 4 World Scientific handbook in financial economic series ; v. 4.
Subject:	Investments -- Decision making. Finance -- Decision making. Risk management. Uncertainty. Finance -- Decision making. Investments -- Decision making. Risk management. Uncertainty. Electronic books.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/11192185

Hidden Bibliographic Details
Other authors / contributors:	MacLean, L. C. (Leonard C.) Ziemba, W. T.
ISBN:	9789814417358 9814417351 1299714781 9781299714786
Notes:	Includes bibliographical references and index. Print version record.
Summary:	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 (updated 2nd edition published in 2006).
Other form:	Print version: Handbook of the fundamentals of financial decision making. Hackensack, NJ : World Scientific Pub., ©2013 1299714781

Table of Contents:

pt. I. Decision making under uncertainty. section A. Arbitrage and asset pricing. section B. Utility theory. section C. Stochastic dominance. section D. Risk aversion and static portfolio theory
pt. II. From decision making to measurement and dynamic modeling. section E. Risk measures. section F. Dynamic portfolio theory and asset allocation.
1. The arbitrage theory of capital asset pricing / SA Ross
2. The fundamental theorem of asset pricing / W Schachermayer
3. Risk neutral pricing / W Schachermayer
4. Using Tucker's theorem of the alternative to provide a framework for proving basic arbitrage results / M Kallio and WT Ziemba
5. A general theory of subjective probabilities and expected utilities / P Fishburn
6. Prospect theory: an analysis of decisions under risk / D Kahneman and A Tversky
7. Prospect theory: much ado about nothing? / M Levy and H Levy
8. The data of Levy and Levy (2002) "Prospect theory: much ado about nothing?" actually support prospect theory / PP Wakker
9. Prospect theory and mean-variance analysis / M Levy and H Levy
10. Violations of cumulative prospect theory in mixed gambles with moderate probabilities / G Baltussen, T Post and PV Vliet
11. Temporal von Neumann-Morgenstern and induced preferences / DM Kreps and EL Porteus
12. Substitution, risk aversion and the temporal behavior of consumption and asset returns: a theoretical framework / LG Epstein and SE Zin
13. Risk aversion and expected-utility theory: a calibration theorem / M Rabin
14. Non-expected utility theory / M Machina
15. Judgment under uncertainty: heuristics and biases / A Tversky and D Kahneman
16. Choices, values, and frames / D Kahneman and A Tversky
17. The efficiency analysis of choices involving risk / G Hanoch and H Levy
18. Stochastic dominance, efficiency criteria, and efficient portfolios: the multi-period case / H Levy
19. Risk aversion in the small and in the large / JW Pratt
20. Univariate and multivariate measures of risk aversion and risk premiums / Y Li and WT Ziemba.
21. The effect of errors in means, variances, and co-variances on optimal portfolio choice / VK Chopra and WT Ziemba
22. Calculation of investment portfolios with risk free borrowing and lending / WT Ziemba, C Parkan and R Brooks-Hill
23. Comparison of alternative utility functions in portfolio selection problems / JG Kallberg and WT Ziemba
24. Characterizations of optimal portfolios by univariate and multivariate risk aversion / Y Li and WT Ziemba
25. Choosing investment portfolios when the returns have stable distributions / WT Ziemba
26. Covariance complexity and rates of return on assets / LC MacLean, ME Foster and WT Ziemba
27. Anomalies: risk aversion / M Rabin and RH Thaler
28. The innovest Austrian pension fund planning model InnoALM / A Geyer and WT Ziemba
29. Modified risk measures and acceptance setS / RT Rockafellar and WT Ziemba
30. Convex risk measures: basic facts, law-invariance and beyond, asymptotics for large portfolios / H Föllmer and T Knispel
31. Modeling and optimization of risk / P Krokhmal, M Zabarankin and S Uryasev
32. DEA-based firm strengths and market efficiency in US and Japan / C Edirisinghe, X Zhang and S-C Shyi
33. The Kelly strategy for investing: risk and reward / LC MacLean and WT Ziemba
34. Reaching goals by a deadline: digital options and continuous-time active portfolio management / S Browne
35. Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark / S Browne
36. Stochastic differential portfolio games / S Browne
37. Fractional Kelly strategies in continuous time: recent developments / M Davis, and S Lleo
38. Growth-optimal investments and numeraire portfolios under transactions costs / W Bahsoun, IV Evstigneev and MI Taksar
39.A multivariate model of strategic asset allocation / JY Campbell, YL Chan and LM Viceira
40. Maximizing capital growth with black swan protection / EO Thorp and S Mizusawa.

Handbook of the fundamentals of financial decision making /

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