Thierry Post

Koc University - Graduate School of Business

Professor of Finance

Rumelifeneri Yolu

34450 Sariyer

Istanbul

Turkey

SCHOLARLY PAPERS

56

DOWNLOADS
Rank 393

SSRN RANKINGS

Top 393

in Total Papers Downloads

36,667

CITATIONS
Rank 1,724

SSRN RANKINGS

Top 1,724

in Total Papers Citations

323

Scholarly Papers (56)

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
Koc University - Graduate School of Business, VU University Amsterdam - Faculty of Economics and Business Administration, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of Chicago - Booth School of Business
Downloads 17,348 (98)
Citation 41

Abstract:

Decision making under risk, Expected utility theory, Prospect theory

2.
Downloads 1,654 ( 7,577)
Citation 1

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
Koc University - Graduate School of Business, Robeco Asset Management - Quantitative Strategies and Robeco Quantitative Strategies
Downloads 952 (17,766)
Citation 1

Abstract:

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
Koc University - Graduate School of Business, Robeco Asset Management - Quantitative Strategies and Robeco Quantitative Strategies
Downloads 702 (27,680)
Citation 1

Abstract:

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

3.
Downloads 1,636 ( 7,730)
Citation 59

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: 30 Jan 2012
World Bank - Quantitative Strategies, Risk & Analytics Department, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Koc University - Graduate School of Business
Downloads 1,636 (7,566)
Citation 59

Abstract:

Optimal Portfolio Choice under Loss Aversion

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

Abstract:

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
Koc University - Graduate School of Business and Robeco Asset Management - Quantitative Strategies
Downloads 1,335 (10,206)
Citation 1

Abstract:

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
Koc University - Graduate School of Business and Robeco Asset Management - Quantitative Strategies
Downloads 997 (16,130)
Citation 17

Abstract:

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
Koc University - Graduate School of Business, Robeco Asset Management - Quantitative Strategies and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 893 (19,946)
Citation 28

Abstract:

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

7.

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 Koc University - Graduate School of Business
Downloads 823 (21,353)
Citation 6

Abstract:

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

8.

Do Multiple Factors Help or Hurt?

Number of pages: 23 Posted: 25 Aug 2004
Thierry Post and Pim van Vliet
Koc University - Graduate School of Business and Robeco Asset Management - Quantitative Strategies
Downloads 794 (22,441)
Citation 4

Abstract:

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

9.

Risky Choice and the Relative Size of Stakes

Number of pages: 31 Posted: 29 May 2007 Last Revised: 06 May 2008
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Koc University - Graduate School of Business and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 791 (22,159)
Citation 5

Abstract:

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

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 Koc University - Graduate School of Business
Downloads 562 (37,496)
Citation 2

Abstract:

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 Koc University - Graduate School of Business

Abstract:

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 Koc University - Graduate School of Business
Downloads 513 (39,528)
Citation 2

Abstract:

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

12.

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
Koc University - Graduate School of Business and Amsterdam Business School
Downloads 510 (41,700)
Citation 13

Abstract:

Stochastic dominance, asset pricing, portfolio efficiency

13.

Methodological Advances in Dea

ERIM Report Series Reference No. ERS-2001-53-F&A
Number of pages: 30 Posted: 18 Feb 2003
L. Cherchye and Thierry Post
KU Leuven and Koc University - Graduate School of Business
Downloads 505 (42,122)
Citation 5

Abstract:

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

14.

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) - Erasmus School of Economics (ESE), Koc University - Graduate School of Business and Robeco Asset Management - Quantitative Strategies
Downloads 480 (42,874)
Citation 1

Abstract:

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

15.

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
Koc University - Graduate School of Business and Robeco Asset Management - Quantitative Strategies
Downloads 404 (48,954)
Citation 8

Abstract:

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

16.

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
Koc University - Graduate School of Business and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 359 (66,222)
Citation 31

Abstract:

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

17.

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) - Erasmus School of Economics (ESE) and Koc University - Graduate School of Business
Downloads 338 (66,442)
Citation 2

Abstract:

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

18.

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
Erasmus University Rotterdam (EUR), Koc University - Graduate School of Business and Erasmus University - Rotterdam School of Management
Downloads 327 (73,786)
Citation 2

Abstract:

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

19.

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
Koc University - Graduate School of Business
Downloads 310 (78,322)
Citation 2

Abstract:

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

20.

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
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Koc University - Graduate School of Business, VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 293 (79,964)
Citation 2

Abstract:

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

21.

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, Koc University - Graduate School of Business and Seoul National University - School of Economics
Downloads 287 (85,416)
Citation 39

Abstract:

stochastic dominance, portfolio diversification, asset pricing, portfolio analysis

22.

A Concave Security Market Line

Number of pages: 59 Posted: 04 Apr 2011 Last Revised: 29 Nov 2013
University of St. Gallen - SEPS: Economics and Political Sciences, Koc University - Graduate School of Business and Ozyegin University
Downloads 264 (78,322)

Abstract:

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

23.

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) - Erasmus School of Economics (ESE) and Koc University - Graduate School of Business
Downloads 259 (87,087)

Abstract:

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

24.

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: 16 Dec 2012
Thierry Post and Milos Kopa
Koc University - Graduate School of Business and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 252 (91,351)

Abstract:

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

25.

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) - Erasmus School of Economics (ESE), Koc University - Graduate School of Business and Robeco Asset Management - Quantitative Strategies
Downloads 223 (105,731)

Abstract:

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

26.

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
Koc University - Graduate School of Business
Downloads 205 (121,016)

Abstract:

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

27.

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
Koc University - Graduate School of Business and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 198 (119,320)
Citation 3

Abstract:

stochastic dominance, optimality, admissibility, portfolio diversification

28.

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
Koc University - Graduate School of Business and Koc University - Graduate School of Business
Downloads 194 (78,026)

Abstract:

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

29.

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
Koc University - Graduate School of Business
Downloads 170 (141,540)

Abstract:

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

30.

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
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and Koc University - Graduate School of Business
Downloads 140 (154,886)
Citation 2

Abstract:

31.

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

Number of pages: 13 Posted: 25 Aug 2004
Thierry Post
Koc University - Graduate School of Business
Downloads 131 (170,658)
Citation 3

Abstract:

Stochastic Dominance, Linear Programming, Investment Analysis, Momentum Strategies

32.

Standard Stochastic Dominance

Number of pages: 30 Posted: 31 Mar 2014 Last Revised: 02 Jun 2015
Thierry Post
Koc University - Graduate School of Business
Downloads 122 (169,661)

Abstract:

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

33.

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

ERIM Report Series Reference No. ERS-2001-22-F&A
Number of pages: 21 Posted: 10 Feb 2003
Timo Kuosmanen, Thierry Post and Stefan Scholtes
Aalto University School of Business, Koc University - Graduate School of Business and Judge Business School
Downloads 111 (195,231)

Abstract:

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

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 Koc University - Graduate School of Business
Downloads 100 (166,751)

Abstract:

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

35.

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 Koc University - Graduate School of Business
Downloads 96 (204,215)
Citation 1

Abstract:

stochastic dominance, portfolio analysis, portfolio diversification, linear programming

36.

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 Koc University - Graduate School of Business
Downloads 94 (218,543)

Abstract:

firm efficiency, nonparametric analysis, errors-in-variables

37.

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
Koc University - Graduate School of Business
Downloads 92 (221,538)
Citation 2

Abstract:

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

38.

Spanning and Intersection: A Stochastic Dominance Approach

ERIM Report Series Reference No. ERS-2001-63-F&A
Number of pages: 20 Posted: 26 Aug 2006
Thierry Post
Koc University - Graduate School of Business
Downloads 89 (214,063)

Abstract:

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

39.

Stochastic Efficiency Analysis using Relative Entropy and Empirical Likelihood

Number of pages: 26 Posted: 10 Feb 2017
Thierry Post and Valerio Potì
Koc University - Graduate School of Business and University College Dublin
Downloads 88 (164,896)

Abstract:

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

40.

A Stochastic Dominance Approach to Spanning

ERIM Report Series Reference No. ERS-2002-01-F&A
Number of pages: 20 Posted: 26 Aug 2006
Thierry Post
Koc University - Graduate School of Business
Downloads 85 (234,319)

Abstract:

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

41.

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
Koc University - Graduate School of Business, Jilin University (JLU) - Center for Quantitative Economics and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 79 (206,956)

Abstract:

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

42.

Nonparametric Efficiency Estimation in Stochastic Environments (Ii)

ERIM Report Series Reference No. ERS-2001-26-F&A
Number of pages: 21 Posted: 26 Aug 2006
L. Cherchye and Thierry Post
KU Leuven and Koc University - Graduate School of Business
Downloads 79 (244,737)
Citation 4

Abstract:

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

43.

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
Koc University - Graduate School of Business and Amsterdam Business School
Downloads 67 (255,972)
Citation 1

Abstract:

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

44.

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
Koc University - Graduate School of Business
Downloads 51 (319,321)
Citation 2

Abstract:

Stochastic Dominance, Portfolio Diversification, Optimality, Admissibility

45.

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, Koc University - Graduate School of Business, Asia University, Department of Finance and Hong Kong Baptist University (HKBU) - Department of Mathematics
Downloads 43 (308,245)

Abstract:

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

46.

Empirical Tests for Stochastic Dominance Optimality

Number of pages: 24 Posted: 17 Sep 2015 Last Revised: 18 Sep 2015
Thierry Post
Koc University - Graduate School of Business
Downloads 21 (295,461)
Citation 31

Abstract:

Decision Making under Risk, Stochastic Dominance, Empirical Likelihood

47.

A Review of Portfolio Choice Based on Stochastic Dominance

Number of pages: 10 Posted: 01 Mar 2017 Last Revised: 03 Mar 2017
Thierry Post
Koc University - Graduate School of Business
Downloads 0 (295,461)

Abstract:

Decision Making Under Uncertainty, Stochastic Dominance, Portfolio Choice

48.

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 Koc University - Graduate School of Business
Downloads 0 (381,877)

Abstract:

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

49.

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, Koc University - Graduate School of Business and Seoul National University - School of Economics
Downloads 0 (381,877)

Abstract:

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

50.

Portfolio Optimization Based on Stochastic Dominance and Empirical Likelihood

Number of pages: 30 Posted: 24 Aug 2016 Last Revised: 16 Mar 2017
Thierry Post and Selcuk Karabati
Koc University - Graduate School of Business and Koc University - College of Administrative Sciences and Economics
Downloads 0 (99,974)

Abstract:

Portfolio optimization, Stochastic Dominance, Empirical Likelihood, Momentum strategies

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 Koc University - Graduate School of Business
Downloads 0 (295,461)

Abstract:

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

52.

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
Koc University - Graduate School of Business and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 0 (109,431)

Abstract:

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

53.

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
Koc University - Graduate School of Business
Downloads 0 (331,091)

Abstract:

Decision Making under Risk, Expected Utility Theory, Stochastic Dominance

54.

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, Koc University - Graduate School of Business and Seoul National University - School of Economics
Downloads 0 (548,341)
Citation 4

Abstract:

Linear programming, Portfolio choice, Stochastic dominance, Subsampling

55.

Empirical Tests for Stochastic Dominance Efficiency

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

Abstract:

56.

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
Koc University - Graduate School of Business

Abstract:

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