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Author(s): Thierry Post, Cass Business School, Guido Baltussen, New York University
A portfolio construction experiment reveals strong evidence for a conditional 1/n diversification heuristic. Subjects have a tendency to exclude choice alternatives that are unattractive when held in isolation, despite their attractive diversification benefits.
Updated: 02/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 58
Author(s): Thierry Post, Cass Business School, Pim Van Vliet, Erasmus University Rotterdam
We analyse if the value-weighted stock market portfolio is second-order stochastic dominance (SSD) efficient relative to benchmark portfolios formed on size, value, and momentum.
Updated: 05/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 66
Author(s): Thierry Post, Cass Business School
First-order Stochastic Dominance (FSD) is one of the fundamental concepts of decision making under uncertainty, relying only on the assumption of nonsatiation, or decision makers preferring more to less.
Updated: 05/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 91
Author(s): Thierry Post, Cass Business School
We propose linear programming tests for spanning and intersection based on stochasticdominance rather than mean-variance analysis.
Updated: 05/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 62
Author(s): Thierry Post, Cass Business School, Haim Levy, Hebrew University of Jerusalem
We investigate whether risk seeking or non-concave utility functions can help to explainthe cross-sectional pattern of stock returns.
Updated: 02/09/2010 | Comments: 0 | Rating: Not yet rated | Views: 60
