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Does risk seeking drive asset prices? : A stochastic dominance analysis of aggregate investor preferences
Post, Thierry; Levy, Haim - 2002
Persistent link: https://www.econbiz.de/10001689309
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Linear tests for decreasing absolute risk aversion stochastic dominance
Post, Thierry; Fang, Yi; Kopa, Miloš - In: Management science : journal of the Institute for … 61 (2015) 7, pp. 1615-1629
Persistent link: https://www.econbiz.de/10011304114
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Optimal investment for an insurer with cointegrated assets : CRRA utility
Chiu, Mei Choi; Wong, Hoi Ying - In: Insurance / Mathematics & economics 52 (2013) 1, pp. 52-64
Persistent link: https://www.econbiz.de/10009719005
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Time-consistent mean-variance hedging of longevity risk : effect of cointegration
Wong, Tat Wing; Chiu, Mei Choi; Wong, Hoi Ying - In: Insurance / Mathematics & economics 56 (2014), pp. 56-67
Persistent link: https://www.econbiz.de/10010385032
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Mean-variance asset-liability management with asset correlation risk and insurance liabilities
Chiu, Mei Choi; Wong, Hoi Ying - In: Insurance / Mathematics & economics 59 (2014), pp. 300-310
Persistent link: https://www.econbiz.de/10010469984
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Deal or nor deal? : Decision making under risk in a large pay-off game show
Post, Thierry; Baltussen, Guido; Assem, Martijn J. van den - 2006
Persistent link: https://www.econbiz.de/10003268565
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Stochastic bounds for reference sets in portfolio analysis
Arvanitis, Stelios; Post, Thierry; Topaloglou, Nikolas - In: Management science : journal of the Institute for … 67 (2021) 12, pp. 7737-7754
Persistent link: https://www.econbiz.de/10012815733
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Portfolio analysis using stochastic dominance, relative entropy, and empirical likelihood
Post, Thierry; Potì, Valerio - In: Management science : journal of the Institute for … 63 (2017) 1, pp. 153-165
Persistent link: https://www.econbiz.de/10011646360
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Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
Yan, Tingjin; Wong, Hoi Ying - In: Insurance / Mathematics & economics 90 (2020), pp. 105-119
Persistent link: https://www.econbiz.de/10012169507
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Portfolio choice based on third-degree stochastic dominance
Post, Thierry; Kopa, Miloš - In: Management science : journal of the Institute for … 63 (2017) 10, pp. 3381-3392
Persistent link: https://www.econbiz.de/10011760503