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Arvanitis, Stelios; Hallam, Mark; Post, Thierry - 2015

This study develops and implements a theory and method for analyzing whether introducing new securities or relaxing investment constraints improves the investment opportunity set for risk averse investors. We develop a test procedure for 'stochastic spanning' for two nested polyhedral portfolio...

Persistent link: https://www.econbiz.de/10011440120

Stochastic spanning

Arvanitis, Stelios; Hallam, Mark; Post, Thierry - 2015

This study develops and implements a theory and method for analyzing whether introducing new securities or relaxing investment constraints improves the investment opportunity set for risk averse investors. We develop a test procedure for ‘stochastic spanning’ for two nested polyhedral...

Persistent link: https://www.econbiz.de/10010512497

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

Testing for the stochastic dominance efficiency of a given portfolio

Linton, Oliver; Post, Thierry; Whang, Yoon-jae - In: The econometrics journal 17 (2014) 2, pp. 59-74

Persistent link: https://www.econbiz.de/10010498726

Standard stochastic dominance

Post, Thierry - In: European journal of operational research : EJOR 249 (2016) 3, pp. 1009-1020

Persistent link: https://www.econbiz.de/10011412504

A general test for SSD portfolio efficiency

Kopa, Milos̆; Post, Thierry - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 703-734

Persistent link: https://www.econbiz.de/10011296708

Aggregate investor preferences and beliefs : a comment

Post, Thierry; Kopa, Miloš - In: Journal of empirical finance 23 (2013), pp. 187-190

Persistent link: https://www.econbiz.de/10010221754

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

Increasing discriminatory power in well-being analysis using convex stochastic dominance

Anderson, Gordon; Post, Thierry - In: Social choice and welfare 51 (2018) 3, pp. 551-561

Persistent link: https://www.econbiz.de/10012018401

Stochastic spanning

Arvanitis, Stelios; Hallam, Mark; Post, Thierry; … - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 573-585

Persistent link: https://www.econbiz.de/10012178998