Handbook of the Fundamentals of Financial Decision Making (In 2 Parts) (World Scientific Handbook in Financial Economics)

Hardcover

ISBN 10: 9814417343 ISBN 13: 9789814417341

Publisher: World Scientific Publishing Company, 2013

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).

Readership: Graduate students and researchers in finance and economics, financial decision making, financial engineering and financial modeling.

Review:

"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 readings are a complete one-stop and essential set of references for any serious scholar or user of these models." -- Robert Jarrow, Ronald P & Susan E Lynch Professor of Investment Management, Professor of Finance, Samuel Curtis Johnson Graduate School of Management, Cornell University

"This is not the usual collection of important articles published in finance, it is a definite collection that nobody involved in financial-decision making, in particular portfolio management, should be without! First, it is comprehensive in that it deals with all aspects: model building, criterion selection and uncertainty description, but what makes it particularly readable are the easy to follow introductions to each one of the chapters that tie the articles together not only providing an outline of what is to follow but also highlighting the main concepts that will be developed in the follow up sections, either the leading, relevant articles or even some sections that have been specifically written for this handbook." -- Roger J-B Wets, Professor of Mathematics, University of California, Davis

"MacLean and Ziemba have assembled the essential reference work on financial decision making. The contents are tastefully and expertly selected, spanning the field comprehensively from axiomatic foundations to illustrative and useful applications." -- Darrell Duffie, Dean Witter Distinguished Professor of Finance, Stanford University

"This handbook is a good compendium of some of the classic papers on decision making under uncertainty. It would be a useful addition to the library of any financial economist." -- Marti G Subrahmanyam, Charles E Merrill Professor of Finance and Economics , New York University

"MacLean and Ziemba have assembled the essential reference work on financial decision making. The contents are tastefully and expertly selected, spanning the field comprehensively from axiomatic foundations to illustrative and useful applications." --Darrell Duffie, Dean Witter Distinguished Professor of Finance, Stanford University

"This handbook is a good compendium of some of the classic papers on decision making under uncertainty. It would be a useful addition to the library of any financial economist." --Marti G Subrahmanyam, Charles E Merrill Professor of Finance and Economics , New York University