Gerrit Post, PhD


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Personal profile

Professional Information

After completing his PhD in Finance at the Tinbergen Institute in 1999, Gerrit Tjeerd (Thierry) Post (1971) had functions as assistant professor, associate professor, full professor (Asset Pricing chair) and head of the Finance department at Erasmus School of Economics in Rotterdam, the Netherlands. His areas of interest are asset management, portfolio theory, asset pricing, behavioral finance and financial econometrics. He taught courses on these topics at BSc, MSc, PhD and MBA level, published over 50 articles in international refereed journals (including American Economic Review, Journal of Finance and Management Science) and published a textbook on Investments together with Prof. Haim Levy of the Hebrew University in Jerusalem. He also held visiting professor positions at Cass Business School of the City University in London and the Graduate School of Business of Koc University in Istanbul. His work on behavioral finance received widespread attention in the international media. In the industry, he headed the Quantitative Strategies department of Robeco Asset Management, a team of 20 dedicated quant researchers that develops quantitative equity and fixed income investment models and strategies for about 16bn euro assets under management.


nternational (refereed) journals

Post, Th. and V. Potì (2017), Portfolio Analysis using Stochastic Dominance, Relative Entropy and Empirical Likelihood, Management Science63, 153-165.
Fang, Yi, and Thierry Post (2017), Higher-Degree Stochastic Dominance Optimality and Efficiency, forthcoming in European Journal of Operational Research.
Gokcen, Umut and Thierry Post (2016), Trading Volume, return variability and short-term momentum, forthcoming in European Journal of Finance.
Post Thierry (2016), Empirical Tests for Stochastic Dominance Optimality, forthcoming in Review of Finance, DOI 10.1093/rof/rfw010.
Post, Thierry, and Milos Kopa (2016), Portfolio Choice based on Third-order Stochastic Dominance, forthcoming in Management Science.
Post, Thierry (2016), Standard Stochastic Dominance, European Journal of Operational Research 248, 1009-1020.
Post, Thierry, YiFang and Milos Kopa (2015): Linear Tests for DARA Stochastic Dominance, Management Science 61, 1615-1629.
Kopa, Milos, and Thierry Post (2015): A General Test for SSD Portfolio Efficiency, Operations Research Spectrum37, 703-734.
Linton, Oliver, Thierry Post, Yoon-Jae Whang (2014):Testing for the stochastic dominance efficiency of a given portfolio, Econometrics Journal 17, 59-74.
Guo,Xu, Thierry Post, Wing-Keung Wong and Lixing Zhu (2014), Moment conditions for Almost Stochastic Dominance, Economics Letters 124, 163-167.
Post, Thierry and Milos Kopa (2013), General Linear Formulations of Stochastic Dominance Criteria, European Journal of Operational Research230, 321 – 332.
Post, Thierry, and Milos Kopa (2013):Aggregate Investor Preferences and Beliefs, Journal of Empirical Finance 23, 187-197.
Baltussen, G., Post, G.T. andVan Vliet, P. (2012), Downside Risk Aversion, Fixed-Income Exposure, and the Value Premium Puzzle, Journal of Banking and Finance36 (12), 3382-3398.
Baltussen, Guido,Post, Thierry, Martijn J. Van den Assem and Peter P. Wakker (2012), ‘Random Incentive Systems in a Dynamic Choice Experiment’,Experimental Economics 15 (3), 418-443.
De Giorgi, Enrico and Thierry Post (2011): ‘Loss Aversion with a State-dependent Reference Point’, Management Science57 (6): 1094-1110.
Baltussen, Guido and Post, Thierry (2011), “Irrational Diversification: An Experimental Examination of Portfolio Construction”, Journal of Financial and Quantitative Analysis46 (5), 1463-1491.
Huij, Joop, and Thierry Post (2011), “On the Performance of Emerging Market Equity Mutual Funds”, Emerging Markets Review12 (3): 238–249.
Post, Thierry and Milos Kopa (2009), “A Portfolio Efficiency Test Based on FSD Journal of Financial and Quantitative Analysis44 (5): 1103 – 1124.
Post, Thierry, Van den Assem, Martijn J., Baltussen, Guido and Thaler, Richard H. (2008), “Deal or No Deal? Decision Making Under Risk in a Large-Payoff Game Show”, American Economic Review98 (1), 38-71.
De Giorgi, Enrico G. and Post, Thierry (2008), “Second Order Stochastic Dominance, Reward-Risk Portfolio Selection and the CAPM”, Journal of Financial and Quantitative Analysis 43 (2), 525-546.
Post, Thierry (2008): ‘On the Dual Test for SSD Efficiency: With an Application to Momentum Investment Strategies’, European Journal of Operational Research185 (3), 1564-1573.
Kuosmanen, Timo, ThierryPost and Stefan Scholtes (2007): Nonparametric Tests of Productive Efficiency with Errors-in-Variables’, Journal of Econometrics127 (1), 131-162.
Post, Thierry and Philippe Versijp (2007), Multivariate tests for stochastic dominance efficiency of a given portfolio, Journal of Financial and Quantitative Analysis42, 489-515.
Post, Thierry (2007): ‘Nonparametric Efficiency Estimation in Stochastic Environments II: noise-to-signal estimation, finite sample performance and hypothesis testing’, Journal of Banking and Finance, 31 (7), 2065-2080.
Baltussen, Guido, Post, Thierry and van Vliet, Pim (2006), “Violations of CPT in Mixed Gambles”, Management Science 52(8), 1268-1290.
Post, G. T. and P. Van Vliet (2006): Downside Risk and Asset Pricing, Journal of Banking and Finance30, 823-849.
Post, Thierry and Haim Levy (2005), Does Risk Seeking Drive Stock Prices? A Stochastic Dominance Analysis of Aggregate Investor Preferences and Beliefs,Review of Financial Studies, 18, 925-953.
Post, Thierry, van Vliet, Pim and Levy, Haim (2005), “Risk Aversion and Skewness Preference”, Journal of Banking and Finance 185(3), 1564-1573.
Haim Levy and Thierry Post (2004), ‘Investments’, Prentice Hall, Pearson Education, ISBN 0-273-65164-1, 928p.
Berkelaar, Arjan, Roy Kouwenberg and Thierry Post (2004), “Optimal portfolio choice under loss aversion”, Review of Economics and Statistics86, 973-987.
Kuosmanen, Timo,Thierry Post and Timo Sipiläinen (2004): Shadow Price Approach to Total Factor Productivity Measurement: With an Application to Finnish Grass-Silage Production, Journal of Productivity Analysis 22 (1), 95–121.
Kuosmanen, Timo and Thierry Post (2003): Measuring economic efficiency with incomplete price information’, European Journal of Operational Research144,454-457.
Post, Thierry (2003): ‘Empirical Tests for Stochastic Dominance Efficiency’, Journal of Finance 58(5), 1905-1932.
Post, Thierry, Laurens Cherchye, and Timo Kuosmanen (2003), ‘Nonparametric efficiency estimation in stochastic environments’, Operations Research 50 (4).
Cherchye, Laurens and Post, Thierry (2003): “Methodological Advances in DEA: A survey and an application for the Dutch electricity sector”, Statistica Neerlandica57 (4), 410-438.
Post, G. T. and P. Van Vliet (2003), Value Stocks and Market Efficiency: Comment, Journal of Economics and Finance24, 28-35.
Cherchye, Laurens, Timo Kuosmanen and Post,Thierry (2002) “Nonparametric Production Analysis in Non-Competitive Environments”, International Journal of Production Economics 80 (3), 279-294.
Kuosmanen, Timo, and ThierryPost (2002): Nonparametric Efficiency Analysis under Uncertainty: A First-Order Stochastic Dominance Approach, Journal of Productivity Analysis 17 (3), 183-200.
Kuosmanen, Timo and ThierryPost (2002): ‘Quadratic Data Envelopment Analysis’, Journal of Operations Research Society 53(11), 1204-1214.
Cherchye, Laurens, Timo Kuosmanen and Post,Thierry (2001), FDH Directional distance functions with an application to European Commercial banks, Journal of Productivity Analysis 15, 201-215.
Cherchye, Laurens, Timo Kuosmanen and Post,Thierry (2001), Alternative Treatments of Congestion in DEA, European Journal of Operational Research 132 (1), 75-80.
Dekker, D.J. and ThierryPost (2001): ‘A quasi-concave DEA model with an application for bank branch performance evaluation’, European Journal of Operational Research 132 (2), 54-68.
Kuosmanen, Timo and ThierryPost (2001): ‘Measuring Economic Efficiency under Imperfect Price Information: With an Application to European Commercial Banks’, European Journal of Operational Research 134 (1), 43-58.
Post, Thierry (2001): ‘Performance benchmarking in stochastic environment using Mean-Variance Data Envelopment Analysis’, Operations Research49 (2).
Post, Thierry (2001): ‘Transconcave Data Envelopment Analysis’, European Journal of Operational Research 132 (2), 131-146.
Post, Thierry (2001): ‘Estimating non-convex production sets using transconcave DEA’, European Journal of Operational Research131 (1): 132-142.
Cherchye, Laurens, Timo Kuosmanen and Post,Thierry (2000), “What is the Economic Meaning of FDH?”, Journal of Productivity Analysis 13 (3): 259-263.
Post, Thierryand Jaap Spronk (1999): ‘Performance Benchmarking Using Interactive Data Envelopment Analysis’, European Journal of Operational Research115: 472-487.
National/Dutch (refereed) journals

Guido Baltussen, Martijn Van den Assem, Thierry Post (2007): ‘De ene euro is de andere niet’, Economisch Statistische Berichten, 13 Juli 2007, pp. 427-428.
Van den Assem, Martijn, Thierry Post (2005): ‘Miljoenenjacht: Voer voor economen’, Economisch Statistische Berichten, 16 December 2005, pp. 538-539.
Post, Thierry (2000): ‘De toezichthouder beoordeeld’, Economisch Statistische Berichten4252, 21 April 2000, pp. 336-339.
Books, or contributions to books

Post, Thierryand Jaap Spronk (2000): ‘Evaluating Productive Performance under Uncertainty: Combining Data Envelopment Analysis, Mean-Variance Analysis, and Multi-Factor Risk Models’. In: Shi, Y. and M. Zeleny (2000): “New Frontiers of Decision Making for the Information Technology Era“, World Scientific Publishing Co., Singapore, pp. 249-269.

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