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

Edited by Leonard C MacLean and William T Ziemba

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: 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.

Keywords: Financial Decision Making; Asset Pricing; Prospect Theory; Utility Theory; Risk Aversion; Static Portfolio Theory; Stochastic Dominance; Dynamic Modeling; Dynamic Portfolio Theory; Tactical Asset Allocation; Kelly Strategy; Capital Growth (search for similar items in EconPapers)
Date: 2013
ISBN: 9789814417341
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https://www.worldscientific.com/worldscibooks/10.1142/8557 (text/html)
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Chapters in this book:

Ch 1 The Arbitrage Theory of Capital Asset Pricing , pp 11-30

Stephen Ross

Ch 2 The Fundamental Theorem of Asset Pricing , pp 31-48

Walter Schachermayer

Ch 3 Risk Neutral Pricing , pp 49-56

Walter Schachermayer

Ch 4 Using Tucker's theorem of the alternative to simplify, review and expand discrete arbitrage theory , pp 57-78

Markku Kallio and William T. Ziemba

Ch 5 A General Theory of Subjective Probabilities and Expected Utilities , pp 87-97

Peter C. Fishburn

Ch 6 Prospect Theory: An Analysis of Decision Under Risk , pp 99-127

Daniel Kahneman and Amos Tversky

Ch 7 Prospect Theory: Much Ado About Nothing? , pp 129-144

Moshe Levy and Haim Levy

Ch 8 The Data of Levy and Levy (2002) “Prospect Theory: Much Ado About Nothing?” Actually Support Prospect Theory , pp 145-147

Peter Wakker

Ch 9 Prospect Theory and Mean-Variance Analysis , pp 149-175

Haim Levy and Moshe Levy

Ch 10 Violations of Cumulative Prospect Theory in Mixed Gambles with Moderate Probabilities , pp 177-179

Guido Baltussen, Thierry Post and Pim van Vliet

Ch 11 Temporal von Neumann—Morgenstern and Induced Preferences , pp 181-206

David Kreps and Evan L. Porteus

Ch 12 Substitution, risk aversion and the temporal behavior of consumption and asset returns: A theoretical framework , pp 207-239

Larry Epstein and Stanley E. Zin

Ch 13 Risk aversion and expected-utility theory: A calibration theorem , pp 241-252

Matihew Rabin

Ch 14 Non-expected utility theory , pp 253-259

Mark J. Machina, Jozef L. Teugels and Bjørn Sundt

Ch 15 Judgment under Uncertainty: Heuristics and Biases , pp 261-268

Amos Tversky and Daniel Kahneman

Ch 16 Choices, Values, and Frames , pp 269-278

Daniel Kahneman and Amos Tversky

Ch 17 The Efficiency Analysis of Choices Involving Risk , pp 287-298

G. Hanoch and H. Levy

Ch 18 Stochastic Dominance, Efficiency Criteria, and Efficient Portfolios: The Multi-Period Case , pp 299-307

Haim Levy

Ch 19 Risk aversion in the small and in the large , pp 317-331

John W. Pratt

Ch 20 Univariate and multivariate measures of risk aversion and risk premiums , pp 333-364

Yuming Li and William T. Ziemba

Ch 21 The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice , pp 365-373

Vijay K. Chopra and William T. Ziemba

Ch 22 Calculation of investment portfolios with risk free borrowing and lending , pp 375-388

William T. Ziemba, C. Parkan and R. Brooks-Hill

Ch 23 Comparison of alternative utility functions in portfolio selection problems* , pp 389-408

J. G. Kallberg and W. T. Ziemba

Ch 24 Characterizations of optimal portfolios by univariate and multivariate risk aversion , pp 409-419

Yuming Li and W. T. Ziemba

Ch 25 Choosing Investment Portfolios When the Returns Have Stable Distributions , pp 421-444

W. T. Ziemba

Ch 26 Covariance complexity and rates of return on assets , pp 445-465

Leonard C. MacLean, Michael E. Foster and William T. Ziemba

Ch 27 Anomalies: Risk aversion , pp 467-480

Matthew Rabin and Richard Thaler

Ch 28 The innovest Austrian pension fund planning model InnoALM , pp 491-504

Alois Geyer and William T. Ziemba

Ch 29 Modified risk measures and acceptance sets , pp 505-506

Leonard C MacLeanWilliam T Ziemba

Ch 30 Convex risk measures: Basic facts, law-invariance and beyond, asymptotics for large portfolios , pp 507-554

Hans Föllmer and Thomas Knispel

Ch 31 Modeling and Optimization of Risk , pp 555-600

Pavlo Krokhmal, Michael Zabarankin and Stan Uryasev

Ch 32 DEA-based firm strengths and market efficiency in U.S. and Japan , pp 611-635

Chanaka Edirisinghc, Xin Zhang and Shae-Chang Shyi

Ch 33 The Kelly Strategy for Investing: Risk and Reward , pp 637-681

Leonard C. MacLcan and William T. Zicmba

Ch 34 Reaching goals by a deadline: Digital options and continuous-time active portfolio management , pp 683-709

Sid Browne

Ch 35 Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark , pp 711-730

Sid Browne

Ch 36 Stochastic differential portfolio games , pp 731-752

Sid Browne

Ch 37 Fractional Kelly Strategies in Continuous Time: Recent Developments , pp 753-787

Mark Davis and Sebastien Lleo

Ch 38 Growth-optimal investments and numeraire portfolios under transaction costs , pp 789-808

Wael Bahsoun, Igor V. Evstigneev and Michael I. Taksar

Ch 39 A multivariate model of strategic asset allocation , pp 809-848

John Campbell, Yeung Lewis Chanb and M. Viceira

Ch 40 Maximizing Capital Growth With Black Swan Protection , pp 849-872

Edward O. Thorp and Steven Mizusawa

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