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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? : A stochastic dominance analysis of aggregate investor preferences
Post, Thierry; Levy, Haim - 2002
Persistent link: https://www.econbiz.de/10001689309
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Does risk seeking drive asset prices? : A stochastic dominance analysis of aggregate investor preferences
Post, Thierry (contributor); Levy, Haim (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001693585
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Second order stochastic dominance, reward-risk portfolio selection and the CAPM
De Giorgi, Enrico; Post, Thierry - 2005
Persistent link: https://www.econbiz.de/10002604506
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Market portfolio efficiency and value stocks
Post, Thierry; Vliet, Willem Nicolaas van - In: Journal of economics and finance 28 (2004) 3, pp. 300-306
Persistent link: https://www.econbiz.de/10002627424
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Optimal portfolio choice under loss aversion
Berkelaar, Arjan B.; Kouwenberg, Roy; Post, Thierry - In: The review of economics and statistics 86 (2004) 4, pp. 973-987
Persistent link: https://www.econbiz.de/10002536263
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Does risk seeking drive stock prices? : A stochastic dominance analysis of aggregate investor preferences and beliefs
Post, Thierry; Levy, Haim - In: The review of financial studies 18 (2005) 3, pp. 925-954
Persistent link: https://www.econbiz.de/10003133543
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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
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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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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