SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The classification of parametric choices under uncertainty: analysis of the portfolio choice problem
16 references·1 citing·33 second hop
The classification of parametric choices under uncertainty: analysis of the portfolio choice problem (2001)The classification of parametric choices …From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)From stochastic dominance to …Stochastic Dominance and Expected Utility: Survey and Analysis (1992)Stochastic Dominance and Expe…Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…Theory of Financial Decision Making. (1988)Theory of Financial Decision …Distributional Analysis of Portfolio Choice (1988)Distributional Analysis of Po…Mean-Gini, Portfolio Theory, and the Pricing of Risky Assets (1984)Mean-Gini, Portfolio Theory, …On the Class of Elliptical Distributions and their Applications to the Theory of Portfolio Choice (1983)On the Class of Elliptical Di…A characterization of the distributions that imply mean—Variance utility functions (1983)A characterization of the dis…Mutual fund separation in financial theory—The separating distributions (1978)Mutual fund separation in fin…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments (1970)The Fundamental Approximation…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Rules for Ordering Uncertain Prospects (1969)Rules for Ordering Uncertain …Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…On the impact of semidefinite positive correlation measures in portfolio theory (2015)On the impact of semidefinite…On the measurement of inequality (1970)On Economic Inequality (1973)A theory of anticipated utility (1982)Theory of games and economic behavior (2019)PORTFOLIO SELECTION* (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Conditional Skewness in Asset Pricing Tests (2000)… and the Cross-Section of Expected Returns (2015)The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Modern Portfolio Theory and Investment Analysis. (1982)Heuristics for cardinality constrained portfolio optimisation (2000)Conditional value-at-risk for general loss distributions (2002)Lectures on Stochastic Programming (2009)General Proof that Diversification Pays (1967)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Prices vs. Quantities (1974)The Utility Analysis of Choices Involving Risk (1948)Optimal rules for ordering uncertain prospects (1975)Prospect theory: An analysis of decision under risk (1988)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Dual Stochastic Dominance and Related Mean-Risk Models (2002)Risk, Return, and Equilibrium: Empirical Tests (1973)
this work references cited by second hop

References

  • 1976The arbitrage theory of capital asset pricing7,207 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,598 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,990 cited
  • 1988Theory of Financial Decision Making.1,870 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1969Rules for Ordering Uncertain Prospects1,757 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1992Stochastic Dominance and Expected Utility: Survey and Analysis843 cited
  • 1970The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments731 cited
  • 1999From stochastic dominance to mean-risk models: Semideviations as risk measures532 cited
  • 1983A characterization of the distributions that imply mean—Variance utility functions435 cited
  • 1983On the Class of Elliptical Distributions and their Applications to the Theory of Portfolio Choice372 cited
  • 1978Mutual fund separation in financial theory—The separating distributions345 cited
  • 1984Mean-Gini, Portfolio Theory, and the Pricing of Risky Assets

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

222 cited
  • 1988Distributional Analysis of Portfolio Choice221 cited
  • Cited by

    • 2015On the impact of semidefinite positive correlation measures in portfolio theory24 cited