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On the Application of the Continuous-Time Theory of Finance to Financial Intermediation and Insurance
16 references·16 citing·29 second hopsampled
On the Application of the Continuous-Time Theory of Finance to Financial Intermediation and Insurance (1989)On the Application of the Continuous-Time…Option pricing: A simplified approach (1979)Option pricing: A simplified …An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…The valuation of options for alternative stochastic processes (1976)The valuation of options for …The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Theory of Value (1959)Theory of ValuePortfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*The Self-Fulfilling Prophecy (1948)The Self-Fulfilling ProphecyCustomers and investors: A framework for understanding the evolution of financial institutions (2018)Customers and investors: A fr…Thoughts on the Future: Life-Cycle Investing in Theory and Practice (2015)Thoughts on the Future: Life-…Are bank stocks sensitive to risk management? (2009)Are bank stocks sensitive to …130/30 (2008)130/30The Case of the Missing Market: The Bond Market and Why it Matters for Financial Development (2006)The Case of the Missing Marke…DESIGN OF FINANCIAL SYSTEMS: TOWARDS A SYNTHESIS OF FUNCTION AND STRUCTURE (2005)DESIGN OF FINANCIAL SYSTEMS: …The Design of Financial Systems: Towards a Synthesis of Function and Structure (2004)The Design of Financial Syste…Thoughts on the Future: Theory and Practice in Investment Management (2003)Thoughts on the Future: Theor…Thoughts on the Future: Life-Cycle Investing in Theory and Practice (2003)Thoughts on the Future: Life-…Innovations in Financial Services, Relationships, and Risk Sharing (1999)Innovations in Financial Serv…CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS1 (1996)CHOQUET PRICING FOR FINANCIAL…Life Insurance in a Contingent Claim Framework: Pricing and Regulatory Implications (1994)Life Insurance in a Contingen…Influence of mathematical models in finance on practice: past, present and future (1994)Influence of mathematical mod…Deposit insurance reform: a functional approach (1993)Deposit insurance reform: a f…A contingent claim analysis of a regulated depository institution (1991)A contingent claim analysis o…The Financial System and Economic Performance (1990)The Financial System and Econ…Aspects of the Theory of Risk-Bearing. (1966)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1959Theory of Value2,538 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1948The Self-Fulfilling Prophecy

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Cited by

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  • 2006The Case of the Missing Market: The Bond Market and Why it Matters for Financial Development171 cited
  • 2004The Design of Financial Systems: Towards a Synthesis of Function and Structure153 cited
  • 1994Life Insurance in a Contingent Claim Framework: Pricing and Regulatory Implications145 cited
  • 1993Deposit insurance reform: a functional approach136 cited
  • 1990The Financial System and Economic Performance125 cited
  • 1999Innovations in Financial Services, Relationships, and Risk Sharing103 cited
  • 1996CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS1100 cited
  • 1994Influence of mathematical models in finance on practice: past, present and future94 cited
  • 2009Are bank stocks sensitive to risk management?73 cited
  • 2015Thoughts on the Future: Life-Cycle Investing in Theory and Practice70 cited
  • 2018Customers and investors: A framework for understanding the evolution of financial institutions70 cited
  • 2008130/3067 cited
  • 2003Thoughts on the Future: Life-Cycle Investing in Theory and Practice66 cited
  • 1991A contingent claim analysis of a regulated depository institution66 cited
  • 2003Thoughts on the Future: Theory and Practice in Investment Management61 cited