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Affective decision making under uncertainty : risk, ambiguity and black swans / Donald J. Brown.
Author
Brown, Donald J., 1937-
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Format
Book
Language
English
Published/Created
Cham, Switzerland : Springer, [2020]
©2020
Description
xiii, 81 pages : illustrations ; 24 cm
Availability
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Location
Call Number
Status
Location Service
Notes
Firestone Library - Stacks
HG4012 .B76 2020
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Details
Subject(s)
Finance
—
Decision making
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Uncertainty
—
Mathematical models
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Economics
—
Mathematical models
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Series
Lecture notes in economics and mathematical systems ; 691.
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Lecture notes in economics and mathematical systems, 0075-8442 ; volume 691
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Summary note
This book is an exploration of the ubiquity of ambiguity in decision-making under uncertainty. It presents various essays on behavioral economics and behavioral finance that draw on the theory of Black Swans (Taleb 2010), which argues for a distinction between unprecedented events in our past and unpredictable events in our future. The defining property of Black Swan random events is that they are unpredictable, i.e., highly unlikely random events. In this text, Mandelbrot's (1972) operational definition of risky random unpredictable events is extended to Black Swan assets - assets for which the cumulative probability distribution or conditional probability distribution of random future asset returns is a power distribution. Ambiguous assets are assets for which the uncertainties of future returns are not risks. Consequently, there are two disjoint classes of Black Swan assets: Risky Black Swan assets and Ambiguous Black Swan assets, a new class of ambiguous assets with unpredictable random future outcomes. The text is divided into two parts, the first of which focuses on affective moods, introduces affective utility functions and discusses the ambiguity of Black Swans. The second part, which shifts the spotlight to affective equilibrium in asset markets, features chapters on affective portfolio analysis and Walrasian and Gorman Polar Form Equilibrium Inequalities. In order to gain the most from the book, readers should have completed the standard introductory graduate courses on microeconomics, behavioral finance, and convex optimization. The book is intended for advanced undergraduates, graduate students and post docs specializing in economic theory, experimental economics, finance, mathematics, computer science or data analysis.
Bibliographic references
Includes bibliographical references.
Rights and reproductions note
Current copyright fee: GBP19.00 42\0.
ISBN
9783030595111 ((paperback))
3030595110 ((paperback))
OCLC
1236131283
Statement on language in description
Princeton University Library aims to describe library materials in a manner that is respectful to the individuals and communities who create, use, and are represented in the collections we manage.
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AFFECTIVE DECISION MAKING UNDER UNCERTAINTY : risk,ambiguity and black swans.
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99123274693506421