| Probability Models for Economic Decisions, 1st Edition |
432 Pages Casebound © 2005 Published 著者: Roger B. Myerson - University of Chicago ISBN-10 0534423817 ISBN-13 9780534423810 |
本書の概要
MS Excelを使った確率モデルによるリスク分析と経済学的意思決定の入門書。
この本全体を通じて、マイヤーソンは複雑化した実世界における確率モデルの使い方に焦点をあて、
確率分析のコンセプトをわかりやすく解説するとともに、実世界で応用できる能力が身に付けられる
ことを目的とした1冊である。
目次
1 SIMULATION AND CONDITIONAL PROBABILITY.
1.0 Getting Started with Simtools in Excel
1.1 How to Toss Coins in a Spreadsheet
1.2 A Simulation Models of 20 Sales Calls
1.3 Analysis Using Excel's Data-Table Command
1.4 Conditional Independence
1.5 A Continuous Random Skill Variable from a Triangular Distribution
1.6 Probability Trees and Bayers' Rule
1.7 Advanced Spreadsheet Techniques: Constructing a Table with Multiple Inputs
1.8 Using Models
1.9 Summary
Exercises
2 DISCRETE RANDOM VARIABLES.
2.1 Unknown Quantities in Decisions Under Uncertainty
2.2 Charting a Probability Distribution
2.3 Simulating Discrete Random Variables
2.4 Expected Value and Standard Deviation
2.5 Estimates from Sample Data
2.6 Accuracy of Sample Estimates
2.7 Decision Criteria
2.8 Multiple Random Variables
2.9 Summary
Exercises
3 UTILITY THEORY WITH CONSTANT RISK TOLERANCE.
3.1 Taking Account of Risk Aversion: Utility Analysis with Probabilities
3.2 Utility Analysis from Simulation Data
3.3 The More General Assumption of Linear Risk Tolerance
3.4 Advanced Technical Note on Utility Theory
3.5 Advanced Technical Note on Constant Risk Tolerance
3.6 Summary
Exercises
4 CONTINUOUS RANDOM VARIABLES.
4.1 Normal Cistributions
4.2 EXP and LN
4.3 Lognormal Distributions
4.4 Generalized Lognormal Distributions
4.5 Subjective Probability Assessment
4.6 A Decision Problem with Discrete and Continuous Unknowns
5 CORRELATION AND MULTIVARIATE NORMAL RANDOM VARIABLES.
5.1 Joint Distributions of Discrete Random Variables
5.2 Covariance and Correlation
5.3 Linear Functions of Several Random Variables
5.4 Estimating Correlations from Data
5.5 Making Multivariate Normal Random Variables with CORAND and NORMINV
5.6 Portfolio Analysis with Multivariate Normal Asset Returns
5.7 Excel Solver and Efficient Portfolio Design
5.8 Subjective Assessment of Correlations
5.9 Using CORAND with Non-Normal Random Variables
5.10 More About Linear Functions of Random Variables
5.11 Fummary
Exercises
6 CONDITIONAL EXPECTATION.
6.1 Dependence Among Random Variables
6.2 Estimating Conditional Expectations and Standard Deviations
6.3 The Expected-Posterior Law in a Discrete Example
6.4 Backwards Analysis of Conditional Expectations in Tree Diagrams
6.5 Conditional Expectation Relationships and Correlation
6.6 Uncertainty About a Probability
6.7 Linear Regression Models
6.8 Regression Analysis and Least-Squared Errors
6.9 Summary
Exercises