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DOES CONSTANT RELATIVE RISK AVERSION IMPLY ASSET DEMANDS THAT ARE LINEAR IN EXPECTED RETURNS?
11 references·1 citing·38 second hop
DOES CONSTANT RELATIVE RISK AVERSION IMPLY ASSET DEMANDS THAT ARE LINEAR IN EXPECTED RETURNS? (1989)DOES CONSTANT RELATIVE RISK AVERSION IMPL…The Rationale of the Mean-Standard Deviation Analysis, Skewness Preference, and the Demand for Money (1989)The Rationale of the Mean-Sta…Aspects of Investor Behaviour Under Risk (1987)Aspects of Investor Behaviour…Portfolio Crowding-Out, Empirically Estimated (1985)Portfolio Crowding-Out, Empir…Lectures in Public Economics. (1982)Lectures in Public Economics.The Determinants of the Treasury Security Yield Curve (1981)The Determinants of the Treas…Symmetry Restrictions in a System of Financial Asset Demands: A Theoretical and Empirical Analysis (1980)Symmetry Restrictions in a Sy…IN SEARCH OF AN EXPLANATION OF COMMERCIAL BANK SHORT‐RUN PORTFOLIO SELECTION* (1980)IN SEARCH OF AN EXPLANATION O…Price Inflation, Portfolio Choice, and Nominal Interest Rates (1978)Price Inflation, Portfolio Ch…CLEARING BANK ASSET CHOICE BEHAVIOUR: A MEAN VARIANCE TREATMENT* (1974)CLEARING BANK ASSET CHOICE BE…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…Pitfalls in Financial Model-Building (1968)Pitfalls in Financial Model-B…Inventory investment and foreign ownership in Greek manufacturing firms (2007)Inventory investment and fore…PORTFOLIO SELECTION* (1952)Risk Aversion in the Small and in the Large (1964)Optimal rules for ordering uncertain prospects (1975)Risk Aversion in the Small and in the Large (1976)THE DEMAND FOR RISKY ASSETS (1977)Approximating Expected Utility by a Function of Mean and Variance (1979)Maximum likelihood estimation of a complete system of demand equations (1969)An Intertemporal Capital Asset Pricing Model (1973)Firms as Portfolios: A Mean-Variance Analysis of Unquoted UK Companies (1989)WHAT DETERMINES INSTITUTIONAL INVESTMENT? AN EXAMINATION OF UK PENSION FUNDS IN THE 1980s (1993)Rational Expectations and the Theory of Price Movements (1961)A General Equilibrium Approach To Monetary Theory (1969)WHO PUTS THE INFLATION PREMIUM INTO NOMINAL INTEREST RATES? (1978)Homeownership Returns, Tenure Choice and Inflation (1985)Debt Management and the Term Structure of Interest Rates: An Empirical Analysis of Recent Experience (1967)Crowding Out Or Crowding In? The Economic Consequences of Financing Government Deficits (1978)Do asset-demand functions optimize over the mean and variance of real returns? A six-currency test (1984)Ten Years of Mrs. T. (1989)Measuring risk in the mining sector with ARCH models with important observations on sample size (1996)The Economic Consequences of Disappearing Government Debt (2000)Portfolio Selection (1952)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Testing Theories of Discount House Portfolio Selection (1975)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)Value and Capital (1939)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)The effect of interest rate volatility on treasury yields (2002)Macroeconomics and Reality (1980)Shareholder value, stakeholder management, and social issues: what's the bottom line? (2001)Do ESG Controversies Matter for Firm Value? Evidence from International Data (2016)Pigou, Tiebout, property taxation, and the underprovision of local public goods (1986)Fiscal policy and growth: evidence from OECD countries (1999)The effects of government ownership on bank lending (2003)The Substitutability of Debt and Equity Securities (1983)Moral Hazard and Observability (1979)Prospect theory: An analysis of decision under risk (1988)The New Institutional Economics: Taking Stock, Looking Ahead (2000)
this work references cited by second hop

References

  • 1972Essays in the Theory of Risk-Bearing.3,991 cited
  • 1982Lectures in Public Economics.1,556 cited
  • 1968Pitfalls in Financial Model-Building1,042 cited
  • 1989The Rationale of the Mean-Standard Deviation Analysis, Skewness Preference, and the Demand for Money349 cited
  • 1985Portfolio Crowding-Out, Empirically Estimated75 cited
  • 1978Price Inflation, Portfolio Choice, and Nominal Interest Rates47 cited
  • 1981The Determinants of the Treasury Security Yield Curve32 cited
  • 1974CLEARING BANK ASSET CHOICE BEHAVIOUR: A MEAN VARIANCE TREATMENT*30 cited
  • 1980IN SEARCH OF AN EXPLANATION OF COMMERCIAL BANK SHORT‐RUN PORTFOLIO SELECTION*23 cited
  • 1980Symmetry Restrictions in a System of Financial Asset Demands: A Theoretical and Empirical Analysis23 cited
  • 1987Aspects of Investor Behaviour Under Risk12 cited

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  • 2007Inventory investment and foreign ownership in Greek manufacturing firms13 cited

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