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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

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

Moment conditions for Almost Stochastic Dominance

Guo, Xu; Post, Thierry; Wong, Wing Keung; Zhu, Lixing - In: Economics letters 124 (2014) 2, pp. 163-167

Persistent link: https://www.econbiz.de/10010493177

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

Robust optimization of forecast combinations

Post, Thierry; Karabati, Selcuk; Arvanitis, Stelios - In: International journal of forecasting 35 (2019) 3, pp. 910-926

Persistent link: https://www.econbiz.de/10012305190

Portfolio optimization based on stochastic dominance and empirical likelihood

Post, Thierry; Karabati, Selcuk; Arvanitis, Stelios - In: Journal of econometrics 206 (2018) 1, pp. 167-186

Persistent link: https://www.econbiz.de/10012110374

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

Higher-degree stochastic dominance optimality and efficiency

Fang, Yi; Post, Thierry - In: European journal of operational research : EJOR 261 (2017) 3, pp. 984-993

Persistent link: https://www.econbiz.de/10011740492

A financial modeling approach to industry exchange-traded funds selection

Conlon, Thomas; Cotter, John; Kovalenko, Illia; Post, … - In: Journal of empirical finance 74 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014477136