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Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when all Assets are Risky
16 references·1 citing·34 second hop
Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when all Assets are Risky (2013)Is the Market Portfolio Efficient? A New …Rollover Risk and Market Freezes (2011)Rollover Risk and Market Free…Equity Portfolio Diversification (2008)Equity Portfolio Diversificat…Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Trading Is Hazardous to Your …A Mean/Variance Analysis of Tracking Error (1992)A Mean/Variance Analysis of T…On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results (1991)On the Sensitivity of Mean-Va…The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal? (1989)The Markowitz Optimization En…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…How Many Stocks Make a Diversified Portfolio? (1987)How Many Stocks Make a Divers…Multivariate tests of financial models (1982)Multivariate tests of financi…A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…DIVERSIFICATION AND THE REDUCTION OF DISPERSION: AN EMPIRICAL ANALYSIS* (1968)DIVERSIFICATION AND THE REDUC…SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)SECURITY PRICES, RISK, AND MA…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Is Bitcoin a Safe Haven for Indian Investors? A GARCH Volatility Analysis (2022)Is Bitcoin a Safe Haven for I…The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Editor's Choice Digesting Anomalies: An Investment ApproachTHE 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)Value versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)Availability: A heuristic for judging frequency and probability (1973)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Industry costs of equity (1997)Just How Much Do Individual Investors Lose by Trading? (2008)Presidential Address: The Cost of Active Investing (2008)The Behavior of Individual Investors (2013)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Investor Psychology and Asset Pricing (2001)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)An Engine, Not a Camera (2006)Does board gender diversity improve the informativeness of stock prices? (2011)… and the Cross-Section of Expected Returns (2015)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)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

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 2000Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors3,953 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2,451 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1,333 cited
  • 2008Equity Portfolio Diversification1,221 cited
  • 1991On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results999 cited
  • 1992A Mean/Variance Analysis of Tracking Error747 cited
  • 1982Multivariate tests of financial models614 cited
  • 1987How Many Stocks Make a Diversified Portfolio?609 cited
  • 1968DIVERSIFICATION AND THE REDUCTION OF DISPERSION: AN EMPIRICAL ANALYSIS*

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