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Adequate Decision Rules for Portfolio Choice Problems

  • Authors
  • Thilo¬†Goodall

Part of the Finance and Capital Markets Series book series (FCMS)

Table of contents

  1. Front Matter
    Pages i-xiii
  2. Thilo Goodall
    Pages 1-4
  3. Thilo Goodall
    Pages 5-14
  4. Thilo Goodall
    Pages 15-71
  5. Thilo Goodall
    Pages 99-105
  6. Back Matter
    Pages 106-114

About this book

Introduction

The author presents the theory of portfolio choice from a new perspective, recommending decision rules that have advantages over those currently used in theory and practice. Portfolio choice theory relies on expected values. Goodall argues that this dependence has a historical basis and argues that current decision rules are inadequate for most portfolio choice situations. Drawing on econometric solutions proposed for the problem of forecasting outcomes of a chance experiment, the author defines adequacy criteria, and proposes adequate decision rules for a variety of situations. Goodall's theory combines the problems of prediction and choice, and formulates solutions based on cost functions that fit the underlying decision situation.

Keywords

decision analysis econometrics forecasting Portfolio

Bibliographic information

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