Thierry Post

Graduate School of Business of Nazarbayev University

Professor of Finance

53 Kabanbay Batyra Avenue

Astana, 010000

Kazakhstan

  • Graduate School of Business of Nazarbayev University

SCHOLARLY PAPERS

65

DOWNLOADS
Rank 519

SSRN RANKINGS

Top 519

in Total Papers Downloads

41,087

SSRN CITATIONS
Rank 4,286

SSRN RANKINGS

Top 4,286

in Total Papers Citations

94

CROSSREF CITATIONS

190

Scholarly Papers (65)

Actions:
Email selected abstracts
1.

Deal or No Deal? Decision Making under Risk in a Large-Payoff Game Show

American Economic Review, Vol. 98, No. 1, pp. 38-71, March 2008
Number of pages: 50 Posted: 16 Dec 2004 Last Revised: 21 Feb 2012
Thierry Post, Martijn J. van den Assem, Guido Baltussen and Richard H. Thaler
Graduate School of Business of Nazarbayev University, Vrije Universiteit Amsterdam, Erasmus University Rotterdam (EUR) and University of Chicago - Booth School of Business
Downloads 19,773 (135)
Citation 6

Abstract:

Loading...

Decision making under risk, Expected utility theory, Prospect theory

2.

Sorting Out Downside Beta

Downloads 1,803 ( 9,669)
Citation 4

Sorting Out Downside Beta

ERIM Report Series Reference No. ERS-2009-006-F&A, 22nd Australasian Finance and Banking Conference 2009
Number of pages: 26 Posted: 17 Mar 2009 Last Revised: 09 Dec 2010
Thierry Post, Pim van Vliet and Simon Lansdorp
Graduate School of Business of Nazarbayev University, Robeco Quantitative Investments and Robeco Quantitative Strategies
Downloads 1,030 (22,596)

Abstract:

Loading...

asset pricing, downside risk, semi-variance, lower partial moments, beta

Sorting Out Downside Beta

Number of pages: 28 Posted: 06 Jan 2012 Last Revised: 10 Oct 2012
Thierry Post, Pim van Vliet and Simon Lansdorp
Graduate School of Business of Nazarbayev University, Robeco Quantitative Investments and Robeco Quantitative Strategies
Downloads 773 (34,025)
Citation 6

Abstract:

Loading...

Asset pricing, downside beta, CAPM, downside risk, semi-variance

3.

Optimal Portfolio Choice Under Loss Aversion

Downloads 1,749 ( 10,175)
Citation 31

Optimal Portfolio Choice Under Loss Aversion

Review of Economics and Statistics, Vol. 86, No. 4, 2004
Number of pages: 31 Posted: 29 Mar 2000 Last Revised: 15 May 2018
Arjan B. Berkelaar, Roy Kouwenberg and Thierry Post
World Bank - Quantitative Strategies, Risk & Analytics Department, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Graduate School of Business of Nazarbayev University
Downloads 1,749 (9,981)
Citation 31

Abstract:

Loading...

Optimal Portfolio Choice Under Loss Aversion

Review of Economics and Statistics, Vol. 86, No. 4, pp. 973-987, November 2004
Posted: 21 Nov 2006
Arjan B. Berkelaar, Roy Kouwenberg and Thierry Post
World Bank - Quantitative Strategies, Risk & Analytics Department, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Graduate School of Business of Nazarbayev University

Abstract:

Loading...

Optimal portfolio choice, Behavioral finance, Loss aversion

4.

Empirical Tests of the Mean-Semivariance CAPM

Number of pages: 32 Posted: 21 Jun 2004
Thierry Post and Pim van Vliet
Graduate School of Business of Nazarbayev University and Robeco Quantitative Investments
Downloads 1,438 (13,900)
Citation 2

Abstract:

Loading...

Asset pricing, downside risk, conditional tests, CAPM, non-linear kernels, asymmetry, semi-variance, lower partial moments

5.

Downside Risk and Asset Pricing

ERIM Report Series Reference No. ERS-2004-018-F&A, Journal of Banking and Finance, Vol. 30, No. 3, pp. 823-849, March 2006
Number of pages: 36 Posted: 17 Feb 2004
Thierry Post and Pim van Vliet
Graduate School of Business of Nazarbayev University and Robeco Quantitative Investments
Downloads 1,074 (21,630)
Citation 1

Abstract:

Loading...

stock market efficiency, asset pricing, SSD, lower partial moments, downside risk

6.

Risk Aversion and Skewness Preference: A Comment

ERIM Report Series Reference No. ERS-2003-009-F&A, Journal of Banking and Finance, Vol. 32, No. 7, pp. 1178-1187, 2008
Number of pages: 19 Posted: 23 Feb 2006
Thierry Post, Pim van Vliet and Haim Levy
Graduate School of Business of Nazarbayev University, Robeco Quantitative Investments and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 938 (26,322)
Citation 6

Abstract:

Loading...

asset pricing, risk aversion, skewness preference, representative investor, three-moment model

7.

Risky Choice and the Relative Size of Stakes

Number of pages: 31 Posted: 29 May 2007 Last Revised: 06 May 2008
Guido Baltussen, Thierry Post and Martijn J. van den Assem
Erasmus University Rotterdam (EUR), Graduate School of Business of Nazarbayev University and Vrije Universiteit Amsterdam
Downloads 892 (28,318)
Citation 8

Abstract:

Loading...

Decision making under risk, Framing, Expected utility theory, Prospect theory

8.

Second Order Stochastic Dominance, Reward-Risk Portfolio Selection and the CAPM

NCCR-FINRISK Working Paper No. 205
Number of pages: 27 Posted: 02 Feb 2005
Enrico G. De Giorgi and Thierry Post
University of St. Gallen - SEPS: Economics and Political Sciences and Graduate School of Business of Nazarbayev University
Downloads 882 (28,755)
Citation 9

Abstract:

Loading...

Stochastic dominance, mean-risk models, portfolio optimization, CAPM

9.

Do Multiple Factors Help or Hurt?

Number of pages: 23 Posted: 25 Aug 2004
Thierry Post and Pim van Vliet
Graduate School of Business of Nazarbayev University and Robeco Quantitative Investments
Downloads 870 (29,307)
Citation 1

Abstract:

Loading...

Fama-French factors, Carhart factor, SMB, HML, WML, efficiency tests

10.

On the Performance of Emerging Market Equity Mutual Funds

Downloads 606 ( 47,912)
Citation 6

On the Performance of Emerging Market Equity Mutual Funds

Number of pages: 35 Posted: 17 Aug 2008 Last Revised: 29 Mar 2011
Joop Huij and Thierry Post
Erasmus University - Rotterdam School of Management and Graduate School of Business of Nazarbayev University
Downloads 606 (47,262)
Citation 6

Abstract:

Loading...

mutual funds, emerging markets, performance persistence, momentum

On the Performance of Emerging Market Equity Mutual Funds

Emerging Markets Review, Vol. 12, 2011
Posted: 01 May 2011
Joop Huij and Thierry Post
Erasmus University - Rotterdam School of Management and Graduate School of Business of Nazarbayev University

Abstract:

Loading...

emerging markets, equity mutual funds, performance persistence, size effect, value effect, momentum

11.

Loss Aversion with a State-Dependent Reference Point

Swiss Finance Institute Research Paper No. 07-14
Number of pages: 34 Posted: 13 Apr 2007 Last Revised: 17 Feb 2011
Enrico G. De Giorgi and Thierry Post
University of St. Gallen - SEPS: Economics and Political Sciences and Graduate School of Business of Nazarbayev University
Downloads 586 (50,071)
Citation 3

Abstract:

Loading...

behavioral finance, asset pricing, equity premium puzzle, reference-dependent preferences, loss aversion, stochastic reference point

12.

Conditional Downside Risk and the CAPM

ERIM Report Series Reference No. ERS-2004-048-F&A
Number of pages: 34 Posted: 26 Aug 2006
Thierry Post and Pim van Vliet
Graduate School of Business of Nazarbayev University and Robeco Quantitative Investments
Downloads 561 (52,851)

Abstract:

Loading...

Downside risk, conditional downside risk, CAPM, non-linear kernel, asymmetry, semi-variance, lower partial moments

13.

Downside Risk Aversion, Fixed Income Exposure, and the Value Premium Puzzle

Journal of Banking and Finance, Vol. 36, No. 12, 2012
Number of pages: 48 Posted: 14 Feb 2009 Last Revised: 22 Jun 2013
Guido Baltussen, Thierry Post and Pim van Vliet
Erasmus University Rotterdam (EUR), Graduate School of Business of Nazarbayev University and Robeco Quantitative Investments
Downloads 545 (54,828)

Abstract:

Loading...

downside risk, semi-variance, interest rates, fixed income, value premium, asset pricing, behavioral finance, bond returns

14.

Multivariate Tests for Stochastic Dominance Efficiency of a Given Portfolio

Number of pages: 36 Posted: 28 Jun 2004
Thierry Post and P.J.P.M. Versijp
Graduate School of Business of Nazarbayev University and Amsterdam Business School
Downloads 540 (55,533)
Citation 6

Abstract:

Loading...

Stochastic dominance, asset pricing, portfolio efficiency

15.

Methodological Advances in Dea

Number of pages: 30 Posted: 18 Feb 2003
L. Cherchye and Thierry Post
KU Leuven and Graduate School of Business of Nazarbayev University
Downloads 530 (56,851)

Abstract:

Loading...

data envelopment analysis (DEA), efficiency and productivity analysis, methodological advances, electricity distribution

16.

Trading Volume, Return Variability and Short-Term Momentum

Number of pages: 29 Posted: 16 Nov 2013 Last Revised: 25 Feb 2015
Umut Gokcen and Thierry Post
Ozyegin University - Faculty of Business and Graduate School of Business of Nazarbayev University
Downloads 425 (74,607)

Abstract:

Loading...

Volume; Variability; Latent News Flow; Momentum; Underreaction to News; Mixture-of-Distributions Hypothesis.

17.

Portfolio Construction Based on Stochastic Dominance and Empirical Likelihood

Number of pages: 44 Posted: 24 Aug 2016 Last Revised: 08 Jan 2018
Thierry Post, Selcuk Karabati and Stelios Arvanitis
Graduate School of Business of Nazarbayev University, Koc University - College of Administrative Sciences and Economics and Athens University of Economics and Business
Downloads 415 (76,771)
Citation 2

Abstract:

Loading...

Stochastic Dominance, Empirical Likelihood, Portfolio optimization, Momentum strategies

18.

A Concave Security Market Line

Number of pages: 55 Posted: 04 Apr 2011 Last Revised: 20 May 2018
Enrico G. De Giorgi, Thierry Post and Atakan Yalcin
University of St. Gallen - SEPS: Economics and Political Sciences, Graduate School of Business of Nazarbayev University and Ozyegin University
Downloads 398 (80,560)
Citation 4

Abstract:

Loading...

capital market equilibrium, asset pricing, investment restrictions, portfolio theory, market beta, stock selection

19.

Irrational Diversification; An Examination of Individual Portfolio Choice

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 49 Posted: 22 Apr 2008 Last Revised: 16 Dec 2011
Guido Baltussen and Thierry Post
Erasmus University Rotterdam (EUR) and Graduate School of Business of Nazarbayev University
Downloads 380 (84,980)
Citation 9

Abstract:

Loading...

Diversification, behavioral finance, bounded rationality, diversification, framing, portfolio choice, heuristics

20.

Does Risk Seeking Drive Asset Prices? A Stochastic Dominance Analysis of Aggregate Investor Preferences

The Review of Financial Studies, Vol. 18, No. 3, pp. 925-953, 2005, ERIM Report Series Reference No. ERS-2002-50-F&A
Number of pages: 53 Posted: 17 Aug 2002 Last Revised: 30 Aug 2012
Thierry Post and Haim Levy
Graduate School of Business of Nazarbayev University and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 372 (87,127)
Citation 9

Abstract:

Loading...

Asset pricing, risk seeking, specification error, prospect theory, stochastic dominance

21.

Return Persistence, Risk Dynamics and Momentum Exposures of Equity and Bond Mutual Funds

ERIM Report Series
Number of pages: 38 Posted: 06 Mar 2007 Last Revised: 29 Apr 2008
Martin Martens, Thierry Post and Joop Huij
Robeco Asset Management, Graduate School of Business of Nazarbayev University and Erasmus University - Rotterdam School of Management
Downloads 357 (91,353)

Abstract:

Loading...

mutual funds, performance persistence, momentum, time-varying risk exposures

22.

Random Incentive Systems in a Dynamic Choice Experiment

Experimental Economics, Vol. 15, No. 3, pp. 418-443, September 2012
Number of pages: 32 Posted: 09 Apr 2008 Last Revised: 27 Jul 2012
Guido Baltussen, Thierry Post, Martijn J. van den Assem and Peter P. Wakker
Erasmus University Rotterdam (EUR), Graduate School of Business of Nazarbayev University, Vrije Universiteit Amsterdam and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 319 (103,613)
Citation 2

Abstract:

Loading...

random incentive system, incentives, experimental measurement, risky choice, risk aversion, dynamic choice, tremble, within-subjects design, between-subjects design

23.

Testing for Stochastic Dominance with Diversification Possibilities

ERIM Report Series Reference No. ERS-2001-38-F&A; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 36 Posted: 19 Nov 2005
Thierry Post
Graduate School of Business of Nazarbayev University
Downloads 314 (105,376)

Abstract:

Loading...

Stochastic dominance, portfolio diversification, linear programming, portfolio selection, portfolio evaluation

24.

Testing for Stochastic Dominance Efficiency

ERIM Report Series Reference No. ERS-2005-033-F&A
Number of pages: 29 Posted: 13 May 2005
Oliver B. Linton, Thierry Post and Yoon-Jae Whang
University of Cambridge, Graduate School of Business of Nazarbayev University and Seoul National University - School of Economics
Downloads 306 (108,401)

Abstract:

Loading...

stochastic dominance, portfolio diversification, asset pricing, portfolio analysis

25.

Irrational Diversification: An Examination of the Portfolio Construction Decision

Journal of Financial and Quantitative Analysis (JFQA), Vol. 46, No. 5, 2011
Number of pages: 49 Posted: 14 Feb 2009 Last Revised: 16 Dec 2011
Guido Baltussen and Thierry Post
Erasmus University Rotterdam (EUR) and Graduate School of Business of Nazarbayev University
Downloads 304 (109,178)
Citation 2

Abstract:

Loading...

diversification, framing, financial economics, naive diversification, 1/n heuristic, behavioral finance, bounded rationality

26.

Portfolio Choice Based on Third-Degree Stochastic Dominance

Number of pages: 31 Posted: 08 Nov 2015 Last Revised: 28 Mar 2016
Thierry Post and Milos Kopa
Graduate School of Business of Nazarbayev University and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 300 (110,766)
Citation 1

Abstract:

Loading...

Portfolio choice, Stochastic dominance, Quadratic programming, Enhanced indexing, Industry momentum

27.

General Linear Formulations of Stochastic Dominance Criteria: With an Analysis of Stock Market Portfolio Efficiency

Number of pages: 29 Posted: 04 Feb 2012 Last Revised: 15 May 2018
Thierry Post and Milos Kopa
Graduate School of Business of Nazarbayev University and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 285 (116,985)
Citation 1

Abstract:

Loading...

Stochastic dominance, utility theory, non-satiation, risk aversion, prudence, temperance, linear programming, mean-variance analysis, market portfolio efficiency, lower partial moments

28.

Violations of Cpt in Mixed Gambles

Management Science, Vol. 52, No. 8, pp. 1288-1290
Number of pages: 17 Posted: 27 Feb 2004
Guido Baltussen, Thierry Post and Pim van Vliet
Erasmus University Rotterdam (EUR), Graduate School of Business of Nazarbayev University and Robeco Quantitative Investments
Downloads 261 (128,379)

Abstract:

Loading...

Cumulative prospect theory, expected utility, mixed gambles, probability weighting, stochastic dominance

29.

A Portfolio Optimality Test Based on the First-Order Stochastic Dominance Criterion

Journal of Financial and Quantitative Analysis (JFQA), Vol. 44, No. 5, pp. 1103-1124, 2009
Number of pages: 33 Posted: 13 May 2005 Last Revised: 25 Mar 2016
Thierry Post and Milos Kopa
Graduate School of Business of Nazarbayev University and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 230 (145,568)
Citation 1

Abstract:

Loading...

stochastic dominance, optimality, admissibility, portfolio diversification

30.

Risk Arbitrage Opportunities for Stock Index Options

Number of pages: 44 Posted: 15 May 2018 Last Revised: 04 Dec 2019
Thierry Post and Iñaki Rodríguez-Longarela
Graduate School of Business of Nazarbayev University and Stockholm University - Stockholm Business School
Downloads 214 (155,910)
Citation 4

Abstract:

Loading...

Options Pricing, Risk Arbitrage, Options Trading, Stochastic Dominance, Empirical Likelihood, Linear Programming

31.

Asset Prices and Omitted Moments; a Stochastic Dominance Analysis of Market Efficiency

ERIM Report Series Reference No. ERS-2003-017-F&A
Number of pages: 30 Posted: 26 Aug 2006
Thierry Post
Graduate School of Business of Nazarbayev University
Downloads 208 (160,110)

Abstract:

Loading...

stochastic dominance, market efficiency, asset pricing, statistical inference, size and book-to-market effects

32.

A Review of Portfolio Choice Based on Stochastic Dominance

Number of pages: 10 Posted: 01 Mar 2017 Last Revised: 03 Mar 2017
Thierry Post
Graduate School of Business of Nazarbayev University
Downloads 205 (162,248)

Abstract:

Loading...

Decision Making Under Uncertainty, Stochastic Dominance, Portfolio Choice

33.

A Test for Mean-Variance Efficiency of a Given Portfolio Under Restrictions

ERIM Report Series Reference No. ERS-2005-032-F&A
Number of pages: 24 Posted: 29 Feb 2008
Thierry Post
Graduate School of Business of Nazarbayev University
Downloads 194 (170,813)

Abstract:

Loading...

mean-variance efficiency, portfolio constraints, asset pricing, portfolio analysis

34.

Stochastic Spanning

Number of pages: 29 Posted: 09 Mar 2015 Last Revised: 23 Oct 2016
Stelios Arvanitis, Mark Hallam and Thierry Post
Athens University of Economics and Business, University of Essex - Essex Business School and Graduate School of Business of Nazarbayev University
Downloads 187 (176,598)
Citation 3

Abstract:

Loading...

Portfolio choice, Stochastic Dominance, Spanning, Subsampling, Linear Programming, Asset Pricing

35.

Stochastic Efficiency Analysis using Relative Entropy and Empirical Likelihood

Number of pages: 26 Posted: 10 Feb 2017
Thierry Post and Valerio Potì
Graduate School of Business of Nazarbayev University and University College Dublin
Downloads 182 (180,956)

Abstract:

Loading...

Stochastic Dominance, utility theory, Relative Entropy, Empirical Likelihood, Linear Programming, portfolio theory, asset pricing

36.

Prospect Theory and the Size and Value Premium Puzzles

NHH Finance & Management Science Discussion Paper No. 20/2005
Number of pages: 10 Posted: 13 Mar 2007
Enrico G. De Giorgi, Thorsten Hens and Thierry Post
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and Graduate School of Business of Nazarbayev University
Downloads 168 (193,977)
Citation 6

Abstract:

Loading...

37.

Standard Stochastic Dominance

Number of pages: 30 Posted: 31 Mar 2014 Last Revised: 15 May 2018
Thierry Post
Graduate School of Business of Nazarbayev University
Downloads 160 (202,225)

Abstract:

Loading...

Decision theory, Stochastic Dominance, portfolio analysis, standard risk aversion, Linear Programming

38.

On the Dual Test for Ssd Efficiency: With an Application to Momentum Investment Strategies

Number of pages: 13 Posted: 25 Aug 2004
Thierry Post
Graduate School of Business of Nazarbayev University
Downloads 145 (219,434)
Citation 2

Abstract:

Loading...

Stochastic Dominance, Linear Programming, Investment Analysis, Momentum Strategies

39.

A General Test for SSD Portfolio Efficiency

OR Spectrum, Vol. 37, No. 3, 2015, 703-734
Number of pages: 36 Posted: 28 Apr 2011 Last Revised: 01 Jul 2015
Milos Kopa and Thierry Post
Charles University in Prague - Faculty of Mathematics and Physics and Graduate School of Business of Nazarbayev University
Downloads 140 (225,626)
Citation 6

Abstract:

Loading...

stochastic dominance, portfolio analysis, portfolio diversification, linear programming

40.

Linear Tests for DARA Stochastic Dominance

Number of pages: 34 Posted: 30 Jun 2013 Last Revised: 14 Apr 2014
Thierry Post, Yi Fang and Milos Kopa
Graduate School of Business of Nazarbayev University, Jilin University (JLU) - Center for Quantitative Economics and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 132 (236,493)
Citation 2

Abstract:

Loading...

Stochastic dominance, utility theory, decreasing absolute risk aversion, linear programming, bootstrapping, market portfolio efficiency, pricing kernel, skewness

41.

Testing for Productive Efficiency with Errors-in-Variables: With an Application to the Dutch Electricity Sesctor

Number of pages: 21 Posted: 10 Feb 2003
Timo Kuosmanen, Thierry Post and Stefan Scholtes
Aalto University School of Business, Graduate School of Business of Nazarbayev University and Judge Business School
Downloads 121 (252,591)
Citation 1

Abstract:

Loading...

nonparametric production analysis, data envelopment analysis (DEA), errors-in-variables, hypothesis testing, extreme value theory

42.

Non-Parametric Tests for Firm Efficiency in Case of Errors-in-Variables

ERIM Report Series Reference No. ERS-2001-06-F&A
Number of pages: 16 Posted: 26 Aug 2006
Timo Kuosmanen and Thierry Post
Aalto University School of Business and Graduate School of Business of Nazarbayev University
Downloads 115 (262,098)

Abstract:

Loading...

firm efficiency, nonparametric analysis, errors-in-variables

43.

Portfolio Optimization with DARA Stochastic Dominance Constraints

Number of pages: 43 Posted: 02 Nov 2017 Last Revised: 12 Nov 2018
Milos Kopa and Thierry Post
Charles University in Prague - Faculty of Mathematics and Physics and Graduate School of Business of Nazarbayev University
Downloads 114 (263,702)
Citation 2

Abstract:

Loading...

Portfolio choice, Stochastic Dominance, Decreasing Absolute Risk Aversion, Quadratic Programming, Active investment strategies

44.

Spanning and Intersection: A Stochastic Dominance Approach

Number of pages: 20 Posted: 26 Aug 2006
Thierry Post
Graduate School of Business of Nazarbayev University
Downloads 112 (267,094)

Abstract:

Loading...

spanning, intersection, stochastic dominance, linear programming, emerging markets

45.

Testing for Third-Order Stochastic Dominance with Diversification Possibilities

ERIM Report Series Reference No. ERS-2002-02-F&A
Number of pages: 18 Posted: 26 Feb 2008
Thierry Post
Graduate School of Business of Nazarbayev University
Downloads 101 (286,866)

Abstract:

Loading...

portfolio selection, portfolio evaluation, stochastic dominance, efficiency, linear programming

46.

Stochastic Bounds for Reference Sets in Portfolio Analysis

Number of pages: 50 Posted: 31 May 2018 Last Revised: 27 Mar 2020
Stelios Arvanitis, Thierry Post and Nikolas Topaloglou
Athens University of Economics and Business, Graduate School of Business of Nazarbayev University and Athens University of Economics and Business
Downloads 100 (288,784)
Citation 1

Abstract:

Loading...

Portfolio Analysis, Stochastic Dominance, Subsampling, Linear Programming, Enhanced Benchmarking

47.

Portfolio Optimization with Higher-Order Stochastic Dominance Constraints

Number of pages: 41 Posted: 14 May 2019 Last Revised: 16 Jul 2019
Yi Fang and Thierry Post
Jilin University (JLU) - Center for Quantitative Economics and Graduate School of Business of Nazarbayev University
Downloads 99 (290,728)

Abstract:

Loading...

Portfolio Choice, Higher-Order Risk, Stochastic Dominance, Linear Programming, Enhanced Indexing, Industry Rotation

48.

A Stochastic Dominance Approach to Spanning

Number of pages: 20 Posted: 26 Aug 2006
Thierry Post
Graduate School of Business of Nazarbayev University
Downloads 96 (296,558)

Abstract:

Loading...

portfolio selection, portfolio evaluation, stochastic dominance, spanning, linear programming

49.

Empirical Tests for Stochastic Dominance Optimality

Number of pages: 24 Posted: 17 Sep 2015 Last Revised: 15 May 2018
Thierry Post
Graduate School of Business of Nazarbayev University
Downloads 95 (298,559)

Abstract:

Loading...

Decision Making under Risk, Stochastic Dominance, Empirical Likelihood

50.

Nonparametric Efficiency Estimation in Stochastic Environments (Ii)

Number of pages: 21 Posted: 26 Aug 2006
L. Cherchye and Thierry Post
KU Leuven and Graduate School of Business of Nazarbayev University
Downloads 90 (308,930)

Abstract:

Loading...

nonparametric efficiency estimation, noise-to-signal estimation, finite sample performance, hypothesis testing, European banks

51.

Higher-Degree Stochastic Dominance Optimality and Efficiency

Number of pages: 33 Posted: 26 Jan 2016 Last Revised: 12 Mar 2017
Yi Fang and Thierry Post
Jilin University (JLU) - Center for Quantitative Economics and Graduate School of Business of Nazarbayev University
Downloads 82 (327,305)
Citation 4

Abstract:

Loading...

Stochastic Dominance, Expected Utility, Portfolio choice, Linear Programming, Convex Quadratic Programming

52.

A GMM Test for SSD Efficiency

ERIM Report Series Reference No. ERS-2004-024-F&A
Number of pages: 18 Posted: 24 Sep 2004
Thierry Post and P.J.P.M. Versijp
Graduate School of Business of Nazarbayev University and Amsterdam Business School
Downloads 81 (329,759)

Abstract:

Loading...

stochastic dominance, generalized method of moments, asset pricing, market portfolio efficiency, size, B/M and momentum effects

53.

Somewhere between Utopia and Dystopia: Choosing from Incomparable Prospects

Number of pages: 34 Posted: 09 Nov 2016 Last Revised: 25 Feb 2017
Gordon Anderson, Thierry Post and Yoon-Jae Whang
University of Toronto, Graduate School of Business of Nazarbayev University and Seoul National University - School of Economics
Downloads 76 (342,097)
Citation 2

Abstract:

Loading...

Almost Stochastic Dominance, Convex Stochastic Dominance, subsampling, wellbeing analysis, portfolio choice.

54.

Moment Conditions for Almost Stochastic Dominance

Number of pages: 13 Posted: 26 Nov 2013
Xu Guo, Thierry Post, Wing-Keung Wong and Lixing Zhu
Hong Kong Baptist University (HKBU) - Department of Mathematics, Graduate School of Business of Nazarbayev University, Asia University, Department of Finance and Hong Kong Baptist University (HKBU) - Department of Mathematics
Downloads 76 (342,097)
Citation 7

Abstract:

Loading...

decision theory; utility theory; stochastic dominance; necessary conditions; moments.

55.

Robust Optimization of Forecast Combinations

Number of pages: 25 Posted: 18 Apr 2018 Last Revised: 23 Jul 2018
Thierry Post, Selcuk Karabati and Stelios Arvanitis
Graduate School of Business of Nazarbayev University, Koc University - College of Administrative Sciences and Economics and Athens University of Economics and Business
Downloads 72 (352,689)
Citation 1

Abstract:

Loading...

Forecasting, Robust Optimization, Stochastic Dominance, Convex Optimization

56.

Critical Values for Almost Stochastic Dominance Based on Relative Risk Aversion

Number of pages: 12 Posted: 28 Sep 2015 Last Revised: 07 Nov 2015
Thierry Post
Graduate School of Business of Nazarbayev University
Downloads 56 (401,121)

Abstract:

Loading...

Decision Making under Risk, Expected Utility Theory, Stochastic Dominance

57.

Wanted: A Test for Fsd Optimality of a Given Portfolio

ERIM Report Series Reference No. ERS-2005-034-LIS
Number of pages: 10 Posted: 02 Jan 2006
Thierry Post
Graduate School of Business of Nazarbayev University
Downloads 54 (407,847)

Abstract:

Loading...

Stochastic Dominance, Portfolio Diversification, Optimality, Admissibility

58.

On Shrinking the Planner's Choice Set in Multiple Wellbeing Comparisons

Number of pages: 22 Posted: 12 Dec 2016 Last Revised: 16 Jan 2017
Gordon Anderson and Thierry Post
University of Toronto and Graduate School of Business of Nazarbayev University
Downloads 48 (429,314)

Abstract:

Loading...

Welfare Economics, Choice Under Risk, Stochastic Dominance, Linear Programming

59.

Nonparametric Tests for Superior Predictive Ability

Number of pages: 64 Posted: 12 Oct 2018 Last Revised: 08 Mar 2020
Stelios Arvanitis, Selcuk Karabati, Thierry Post and Valerio Potì
Athens University of Economics and Business, Koc University - College of Administrative Sciences and Economics, Graduate School of Business of Nazarbayev University and University College Dublin
Downloads 45 (440,796)

Abstract:

Loading...

Forecast Comparison, Stochastic Dominance, Empirical Likelihood, Inflation Forecasting

60.

Uncovering Latent Stochastic Dominance Relations Using Prior Rankings

Number of pages: 32 Posted: 26 Aug 2019 Last Revised: 02 Nov 2019
Thierry Post and Rashed Khanjani Shiraz
Graduate School of Business of Nazarbayev University and Iran University of Science and Technology
Downloads 35 (483,356)

Abstract:

Loading...

Stochastic Dominance, Side information, Linear Programming, Wellbeing analysis, Portfolio optimization

61.

Higher-degree Stochastic Dominance Orders: Equivalence of Two Alternative Systems of Inequalities

Number of pages: 6 Posted: 10 Jan 2019
Yi Fang and Thierry Post
Jilin University (JLU) - Center for Quantitative Economics and Graduate School of Business of Nazarbayev University
Downloads 17 (586,408)

Abstract:

Loading...

Decision making under risk; Stochastic Dominance; Convex Optimization

62.

Technical Appendix of: Stochastic Bounds for Benchmark Sets in Portfolio Analysis

Number of pages: 25 Posted: 23 Jul 2019 Last Revised: 02 Jun 2020
Stelios Arvanitis, Thierry Post and Nikolas Topaloglou
Athens University of Economics and Business, Graduate School of Business of Nazarbayev University and Athens University of Economics and Business
Downloads 14 (606,267)
Citation 1

Abstract:

Loading...

Portfolio Analysis, Stochastic Dominance, Subsampling, Linear Programming

63.

Testing for the Stochastic Dominance Efficiency of a Given Portfolio

The Econometrics Journal, Vol. 17, Issue 2, pp. S59-S74, 2014
Number of pages: 16 Posted: 05 Jun 2014
Oliver B. Linton, Thierry Post and Yoon-Jae Whang
University of Cambridge, Graduate School of Business of Nazarbayev University and Seoul National University - School of Economics
Downloads 0 (726,220)
Citation 1
  • Add to Cart

Abstract:

Loading...

Linear programming, Portfolio choice, Stochastic dominance, Subsampling

64.

Empirical Tests for Stochastic Dominance Efficiency

Journal of Finance, Vol. 58, pp. 1905-1932, October 2003
Posted: 31 Jan 2012
Thierry Post
Graduate School of Business of Nazarbayev University

Abstract:

Loading...

65.

Does Risk Seeking Drive Stock Prices? A Stochastic Dominance Analysis of Aggregate Investor Preferences and Beliefs

The Review of Financial Studies, Vol. 18, Issue 3, pp. 925-953, 2005
Posted: 29 Feb 2008
Thierry Post
Graduate School of Business of Nazarbayev University

Abstract:

Loading...

time optimal control problems, Neumann parabolic equations with an infinite number of variables, Dubovitskii-Milyutin theorem, conical approximations, optimality conditions, Weierstrass theorem