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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/10011696295
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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
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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
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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
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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
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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
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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
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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
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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
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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