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14 Probability distributions for financial models
16 references·11 citing·26 second hop
14 Probability distributions for financial models (1996)14 Probability distributions for financia…Theory of games and economic behavior (2019)Theory of games and economic …The variation of certain speculative prices (1997)The variation of certain spec…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The valuation of options for alternative stochastic processes (1976)The valuation of options for …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…On the measurement of inequality (1970)On the measurement of inequal…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Theory of Games and Economic Behaviour. (1946)Theory of Games and Economic …OPTIMAL BONUS-MALUS SYSTEMS USING FINITE MIXTURE MODELS (2014)OPTIMAL BONUS-MALUS SYSTEMS U…Stable mixture GARCH models (2012)Stable mixture GARCH modelsTIME‐VARYING VOLATILITY MODELLING OF BALTIC STOCK MARKETS (2010)TIME‐VARYING VOLATILITY MODEL…On the Tail Mean–Variance optimal portfolio selection (2010)On the Tail Mean–Variance opt…Skew Brownian Motion and Pricing European Options (2007)Skew Brownian Motion and Pric…Information Quality and Options (2006)Information Quality and Optio…An Econometric Analysis of Emission Trading Allowances (2006)An Econometric Analysis of Em…Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions (2005)Extracting Probabilistic Info…The Conditional Distribution of Real Estate Returns: Are Higher Moments Time Varying? (2003)The Conditional Distribution …Testing the stable Paretian assumption (2001)Testing the stable Paretian a…A model for stock return distribution (2001)A model for stock return dist…Aspects of the Theory of Risk-Bearing. (1966)On Economic Inequality (1973)Risk Aversion in the Small and in the Large (1976)A Class of Decomposable Poverty Measures (1984)The Dimensions of Residential Segregation (1988)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Econometric Analysis of Cross Section and Panel Data (2001)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Non-cooperative games (1989)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)The arbitrage theory of capital asset pricing (1976)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 2019Theory of games and economic behavior16,630 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1970On the measurement of inequality6,456 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1946

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Theory of Games and Economic Behaviour.
1,285 cited

Cited by

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  • 2010On the Tail Mean–Variance optimal portfolio selection69 cited
  • 2006Information Quality and Options63 cited
  • 2012Stable mixture GARCH models60 cited
  • 2007Skew Brownian Motion and Pricing European Options57 cited
  • 2003The Conditional Distribution of Real Estate Returns: Are Higher Moments Time Varying?51 cited
  • 2005Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions48 cited
  • 2014OPTIMAL BONUS-MALUS SYSTEMS USING FINITE MIXTURE MODELS45 cited
  • 2010TIME‐VARYING VOLATILITY MODELLING OF BALTIC STOCK MARKETS36 cited
  • 2001Testing the stable Paretian assumption32 cited