//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~person:"Post, Thierry"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Portfolio Choice Under Ambigui...
Similar by subject
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Subject
All
Theorie
49
Theory
48
Portfolio selection
47
Portfolio-Management
47
Stochastic process
30
Stochastischer Prozess
30
Mathematical programming
14
Mathematische Optimierung
14
CAPM
10
Risikoaversion
10
Portfolio choice
9
Risk aversion
9
Stochastic dominance
9
USA
8
United States
8
Anlageverhalten
6
Behavioural finance
6
Präferenztheorie
6
Statistical test
6
Statistischer Test
6
Theory of preferences
6
stochastic dominance
6
Linear programming
5
Subsampling
5
Arbitrage
4
Decision making under risk
4
Decision theory
4
Decision under risk
4
Entscheidung unter Risiko
4
Entscheidungstheorie
4
Experiment
4
Linear Programming
4
Prospect Theory
4
Relative risk aversion
4
Risiko
4
Risk
4
Spanning
4
Stochastic Dominance
4
break-even effect
4
game show
4
more ...
less ...
Online availability
All
Free
58
Undetermined
14
Type of publication
All
Book / Working Paper
66
Article
26
Type of publication (narrower categories)
All
Article in journal
24
Aufsatz in Zeitschrift
24
Working Paper
15
Arbeitspapier
12
Graue Literatur
12
Non-commercial literature
12
Lehrbuch
1
Textbook
1
more ...
less ...
Language
All
English
73
Undetermined
19
Author
All
Post, Thierry
Fabozzi, Frank J.
261
McAleer, Michael
211
Batabyal, Amitrajeet A.
176
Maurer, Raimond
173
Mitchell, Olivia S.
169
Guidolin, Massimo
145
Gollier, Christian
135
Hens, Thorsten
133
Zaremba, Adam
128
Magni, Carlo Alberto
126
Lo, Andrew W.
118
Weber, Martin
118
Bali, Turan G.
117
Kraft, Holger
117
Sutter, Matthias
111
Fehr, Ernst
109
Zhou, Guofu
107
Schmidt, Ulrich
106
Fossen, Frank M.
105
Georgarakos, Dimitris
105
Ang, Andrew
102
Wong, Wing-Keung
101
Uppal, Raman
100
Harvey, Campbell R.
98
Haliassos, Michael
96
Platen, Eckhard
93
Madan, Dilip B.
91
Schenk-Hoppé, Klaus Reiner
91
Dionne, Georges
90
Campbell, John Y.
89
Lucas, André
88
Ziemba, William T.
87
Guiso, Luigi
84
Kempf, Alexander
84
Kräussl, Roman
84
Satchell, Stephen
84
Agarwal, Vikas
83
Blitz, David
83
Güth, Werner
83
more ...
less ...
Institution
All
Institut für Schweizerisches Bankwesen <Zürich>
2
Erasmus Research Institute of Management
1
School of Economics and Political Science, Universität St. Gallen
1
Tinbergen Institute
1
Tinbergen Instituut
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi
1
more ...
less ...
Published in...
All
Management science : journal of the Institute for Operations Research and the Management Sciences
5
ERIM report series research in management
4
Working Paper
4
Journal of banking & finance
3
Journal of financial and quantitative analysis : JFQA
3
Koç University - TÜSİAD Economic Research Forum working paper series
3
Discussion paper / Tinbergen Institute
2
Institut für Schweizerisches Bankwesen Zürich - Working Paper Series
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of empirical finance
2
Tinbergen Institute Discussion Papers
2
American Economic Review
1
Discussion paper / Department of Business and Management Science
1
ERIM Report Series
1
Economics Letters
1
European journal of operational research : EJOR
1
Journal of econometrics
1
Journal of economics and finance
1
Koç University-TUSIAD Economic Research Forum Working Papers
1
MPRA Paper
1
OR spectrum : quantitative approaches in management
1
Report / Erasmus Center for Financial Research, Erasmus University
1
Research paper series / Swiss Finance Institute
1
Review of Economics and Statistics
1
Review of finance : journal of the European Finance Association
1
Swiss Finance Institute Research Paper
1
Swiss Finance Institute Research Paper Series
1
The econometrics journal
1
The journal of finance : the journal of the American Finance Association
1
The review of economics and statistics
1
The review of financial studies
1
Tinbergen Institute Discussion Paper
1
University of St. Gallen Department of Economics working paper series 2010
1
more ...
less ...
Source
All
ECONIS (ZBW)
79
RePEc
8
EconStor
3
USB Cologne (business full texts)
2
Showing
1
-
10
of
92
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
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 …
Persistent link: https://www.econbiz.de/10011440120
Saved in:
2
Portfolio choice based on third-degree stochastic dominance, with an application to industry momentum
Post, Thierry
;
Kopa, Miloš
-
2015
We develop and implement a portfolio optimization method for building investment portfolios that dominate a given benchmark index in terms of third-degree stochastic dominance. Our approach relies on the properties of the semi-variance function, a refinement of an existing 'super-convex'...
Persistent link: https://www.econbiz.de/10011696295
Saved in:
3
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 …
Persistent link: https://www.econbiz.de/10010512497
Saved in:
4
Portfolio choice based on third-degree stochastic dominance, with an application to industry momentum
Post, Thierry
;
Kopa, Miloš
-
2015
We develop and implement a portfolio optimization method for building investment portfolios that dominate a given benchmark index in terms of third-degree stochastic dominance. Our approach relies on the properties of the semi-variance function, a refinement of an existing 'super-convex'...
Persistent link: https://www.econbiz.de/10011439453
Saved in:
5
Portfolio Construction Based on Stochastic Dominance and Empirical Likelihood
Post, Thierry
-
2018
This study develops a portfolio optimization method based on the Stochastic Dominance (SD) decision criterion and the Empirical Likelihood (EL) estimation method. SD and EL share a distribution-free assumption framework which allows for dynamic and non-Gaussian multivariate return distributions....
Persistent link: https://www.econbiz.de/10012935677
Saved in:
6
Empirical Tests for Stochastic Dominance Optimality
Post, Thierry
-
2018
If a given risky prospect is compared with multiple choice alternatives, then a joint test for optimality is more appropriate than a series of pairwise Stochastic Dominance tests. We develop and implement a bootstrap empirical likelihood ratio test for this hypothesis. The test statistic and...
Persistent link: https://www.econbiz.de/10012936941
Saved in:
7
General Linear Formulations of Stochastic Dominance Criteria : With an Analysis of Stock Market Portfolio Efficiency
Post, Thierry
-
2018
We develop and implement linear formulations of general N-th order Stochastic Dominance criteria for discrete probability distributions. Our approach is based on a piece-wise polynomial representation of utility and its derivatives and can be implemented by solving a relatively small system of...
Persistent link: https://www.econbiz.de/10012940302
Saved in:
8
Portfolio Optimization with Higher-Order Stochastic Dominance Constraints
Fang, Yi
-
2019
A framework is developed for portfolio optimization with higher-order Stochastic Dominance constraints. A finite system of restrictions on the lower partial moments can be used for evaluating the efficiency of a given benchmark and for constructing enhanced portfolios which dominate the...
Persistent link: https://www.econbiz.de/10012871881
Saved in:
9
Portfolio Choice Based on Third-Degree Stochastic Dominance
Post, Thierry
-
2016
We develop an optimization method for constructing investment portfolios that dominate a given benchmark index in terms of third-degree stochastic dominance. Our approach relies on the properties of the semivariance function, a refinement of an existing ‘super-convex' dominance condition and...
Persistent link: https://www.econbiz.de/10013003062
Saved in:
10
Stochastic Bounds for Reference Sets in Portfolio Analysis
Arvanitis, Stelios
-
2020
A stochastic bound is a portfolio which stochastically dominates all alternatives in a reference portfolio set instead of a single alternative portfolio. An approximate bound is a portfolio which comes as close as possible to this ideal. To identify and analyze exact or approximate bounds,...
Persistent link: https://www.econbiz.de/10012852268
Saved in:
1
2
3
4
5
6
7
8
9
10
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->