Note to Compare Four Papers by Haim Levy and Moshe

Preerred by "Most" Decision Makers: Almost Stochastic Dominance

Testing for risk aversion: a stochastic dominance approach

We conduct an experiment based on the Stochastic Dominance framework in order to investigate riskaversion in isolation of other effects such as subjective probability distortion, the ‘certainty effect’, and ‘framing’ effects. The result is striking: most individuals are not risk-averse.  2001 Elsevier Science B.V. All rights reserved.

Making Prospect Theory Fit for Finance

This paper gives a survey over a common aspect of prospect theory that occurred to be of importance in a series of recent papers developed by Enrico De Giorgi, Thorsten Hens, Janos Mayer, Haim Levy, Thierry Post, Marc Oliver Rieger and Mei Wang. The common aspect of these papers is that the value function of the prospect theory of Kahneman and Tversky (1979) and similarly that of Tversky and Ka...

Numerical Solution of Multidimensional Exponential Levy Equation by Block Pulse Function

The multidimensional exponential Levy equations are used to describe many stochastic phenomena such as market fluctuations. Unfortunately in practice an exact solution does not exist for these equations. This motivates us to propose a numerical solution for n-dimensional exponential Levy equations by block pulse functions. We compute the jump integral of each block pulse function and present a ...

Risk measurement and Implied volatility under Minimal Entropy Martingale Measure for Levy process

This paper focuses on two main issues that are based on two important concepts: exponential Levy process and minimal entropy martingale measure. First, we intend to obtain   risk measurement such as value-at-risk (VaR) and conditional value-at-risk (CvaR) using Monte-Carlo methodunder minimal entropy martingale measure (MEMM) for exponential Levy process. This Martingale measure is used for the...