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A portfolio optimality test based on the first-order stochastic dominance criterion

Kopa, Miloš; Post, Thierry - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 5, pp. 1103-1124

Persistent link: https://www.econbiz.de/10003938862

Equilibrium under uncertain inflation : a discrete time approach

Levy, Haim - In: Journal of financial and quantitative analysis : JFQA 22 (1987) 3, pp. 285-297

Persistent link: https://www.econbiz.de/10001037500

The investment home bias with peer effect

Levy, Haim - In: Journal of risk and financial management : JRFM 13 (2020) 5/94, pp. 1-19

Observed international diversification implies an investment home bias (IHB). Can bivariate preferences with a local domestic peer group rationalize the IHB? For example, it is argued that wishing to have a large correlation with the Standard and Poor's 500 stock index (S&P 500 stock index) may...

Persistent link: https://www.econbiz.de/10012304869

Multivariate tests for stochastic dominance efficiency of a given portfolio

Post, Thierry; Versijp, Philippe - In: Journal of financial and quantitative analysis : JFQA 42 (2007) 2, pp. 489-515

Persistent link: https://www.econbiz.de/10003484176

Irrational diversification : an examination of individual portfolio choice

Baltussen, Guido; Post, Thierry - In: Journal of financial and quantitative analysis : JFQA 46 (2011) 5, pp. 1463-1491

Persistent link: https://www.econbiz.de/10009424106

Is there an intertemporal relation between downside risk and expected returns?

Bali, Turan G.; Demirtas, K. Ozgur; Levy, Haim - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 4, pp. 883-909

Persistent link: https://www.econbiz.de/10003901202