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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

Portfolio analysis using stochastic dominance, relative entropy, and empirical likelihood

Post, Thierry; Potì, Valerio - In: Management science : journal of the Institute for … 63 (2017) 1, pp. 153-165

Persistent link: https://www.econbiz.de/10011646360

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 …

Persistent link: https://www.econbiz.de/10010512497

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

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

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

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

A concave security market line

De Giorgi, Enrico; Post, Thierry; Yalçın, Atakan - In: Journal of banking & finance 106 (2019), pp. 65-81

Persistent link: https://www.econbiz.de/10012223950

Portfolio choice based on third-degree stochastic dominance

Post, Thierry; Kopa, Miloš - In: Management science : journal of the Institute for … 63 (2017) 10, pp. 3381-3392

Persistent link: https://www.econbiz.de/10011760503

Empirical tests for stochastic dominance efficiency

Post, Thierry - In: The journal of finance : the journal of the American … 58 (2003) 5, pp. 1905-1931

Persistent link: https://www.econbiz.de/10001797763