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Unknown unknowns : uncertainty about risk and stock returns
Baltussen, Guido; Bekkum, Sjoerd van; Grient, Bart van der - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 4, pp. 1615-1651
Persistent link: https://www.econbiz.de/10011930515
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Statistical inference on stochastic dominance efficiency : do omitted risk factors explain the size and book-to-market effects?
Post, Thierry (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001765957
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Does Risk Seeking drive Asset Prices?
Post, Thierry; Levy, Haim - 2002
We investigate whether risk seeking or non-concave utility functions can help to explain the cross-sectional pattern0 of stock returns. For this purpose, we analyze the stochastic dominance efficiency classification of the value-weighted market portfolio relative to benchmark portfolios based on...
Persistent link: https://www.econbiz.de/10010324879
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A Concave Security Market Line
De Giorgi, Enrico G.; Post, Thierry; Yalcin, Atakan - 2012
We provide theoretical and empirical arguments in favor of a concave shape for the security market line, or a diminishing marginal premium for market risk. In capital market equilibrium with binding portfolio restrictions, different investors generally hold different sets of risky securities....
Persistent link: https://www.econbiz.de/10010500211
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Second-order stochastic dominance, reward-risk portfolio selection, and the CAPM
De Giorgi, Enrico; Post, Thierry - In: Journal of financial and quantitative analysis : JFQA 43 (2008) 2, pp. 525-546
Persistent link: https://www.econbiz.de/10003729147
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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
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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
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Does risk seeking drive asset prices?
Post, Thierry; Levy, Haim - 2002
We investigate whether risk seeking or non-concave utility functions can help to explain the cross-sectional pattern0 of stock returns. For this purpose, we analyze the stochastic dominance efficiency classification of the value-weighted market portfolio relative to benchmark portfolios based on...
Persistent link: https://www.econbiz.de/10011326942
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Concave security market line
De Giorgi, Enrico; Post, Thierry; Yalçın, Atakan - 2012
We provide theoretical and empirical arguments in favor of a concave shape for the security market line, or a diminishing marginal premium for market risk. In capital market equilibrium with binding portfolio restrictions, different investors generally hold different sets of risky securities....
Persistent link: https://www.econbiz.de/10009537320
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Loss aversion with a state-dependent reference point
De Giorgi, Enrico; Post, Thierry - In: Management science : journal of the Institute for … 57 (2011) 6, pp. 1094-1110
Persistent link: https://www.econbiz.de/10009237437