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Generalized stochastic arbitrage opportunities

Arvanitis, Stelios; Post, Thierry - In: Management science : journal of the Institute for … 70 (2024) 7, pp. 4629-4648

Persistent link: https://www.econbiz.de/10015046365

Investments

Levy, Haim; Post, Thierry - 2005

Persistent link: https://www.econbiz.de/10002135599

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

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

Prospect theory and the size and value premium puzzles

De Giorgi, Enrico (contributor); Hens, Thorsten (contributor) - 2005

Persistent link: https://www.econbiz.de/10003237672

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

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

Downside risk aversion, fixed-income exposure, and the value premium puzzle

Baltussen, Guido; Post, Thierry; Vliet, Willem Nicolaas van - In: Journal of banking & finance 36 (2012) 12, pp. 3382-3398

Persistent link: https://www.econbiz.de/10009660448

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