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Palgrave Macmillan

Adequate Decision Rules for Portfolio Choice Problems

  • Book
  • © 2002

Overview

Authors:
  1. Thilo Goodall
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Part of the book series: Finance and Capital Markets Series (FCMS)

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Table of contents (5 chapters)

  1. Front Matter

    Pages i-xiii
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  2. Introduction

    • Thilo Goodall
    Pages 1-4

  3. Risk and Decision

    • Thilo Goodall
    Pages 5-14

  4. Analysis of Prominent Decision Rules

    • Thilo Goodall
    Pages 15-71

  5. Adequate Decision Rules for Portfolio Choice

    • Thilo Goodall
    Pages 72-98

  6. Conclusions

    • Thilo Goodall
    Pages 99-105

  7. Back Matter

    Pages 106-114
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Keywords

About this book

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.

About the author

THILO GOODALL holds a PhD from the University of Freiburg (Germany) and is currently with SAM Sustainable Asset Management in Switzerland.

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