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A BENCHMARK APPROACH TO FINANCE
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A BENCHMARK APPROACH TO FINANCE (2006)A BENCHMARK APPROACH TO FINANCETriumph of the Optimists (2002)Triumph of the OptimistsThe asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…Changes of numéraire, changes of probability measure and option pricing (1995)Changes of numéraire, changes…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…A Theory of the Nominal Term Structure of Interest Rates (1992)A Theory of the Nominal Term …The numeraire portfolio (1990)The numeraire portfolioMartingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Valuation of Risk Assets …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Criteria for Choice Among Risky Ventures (1959)Criteria for Choice Among Ris…Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model: Empirical evidence from ASEAN stock indexes (2019)Portfolio optimization from a…No-arbitrage up to random horizon for quasi-left-continuous models (2017)No-arbitrage up to random hor…WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS (2015)WEAK AND STRONG NO-ARBITRAGE …On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration (2015)On an Optional Semimartingale…Fragility of arbitrage and bubbles in local martingale diffusion models (2015)Fragility of arbitrage and bu…BENCHMARKED RISK MINIMIZATION (2014)BENCHMARKED RISK MINIMIZATIONRisk, Return, and Ross Recovery (2012)Risk, Return, and Ross Recove…Processes of Class Sigma, Last Passage Times, and Drawdowns (2012)Processes of Class Sigma, Las…On the History of the Growth-Optimal Portfolio (2012)On the History of the Growth-…Optimal Trading Strategies Under Arbitrage (2011)Optimal Trading Strategies Un…On the semimartingale property of discounted asset-price processes (2011)On the semimartingale propert…Approximation of jump diffusions in finance and economics (2007)Approximation of jump diffusi…On the Distributional Characterization of Daily Log‐Returns of a World Stock Index (2006)On the Distributional Charact…No Arbitrage and the Growth Optimal Portfolio (2006)No Arbitrage and the Growth O…ON THE ROLE OF THE GROWTH OPTIMAL PORTFOLIO IN FINANCE (2005)ON THE ROLE OF THE GROWTH OPT…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)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)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)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)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)On Persistence in Mutual Fund Performance (1997)Arbitrage Theory in Continuous Time (1998)Does Option Compensation Increase Managerial Risk Appetite? (2000)Range‐Based Estimation of Stochastic Volatility Models (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,600 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1998Brownian Motion and Stochastic Calculus2,043 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1995Changes of numéraire, changes of probability measure and option pricing808 cited
  • 1998The fundamental theorem of asset pricing for unbounded stochastic processes710 cited
  • 2002Triumph of the Optimists659 cited
  • 1959Criteria for Choice Among Risky Ventures401 cited
  • 1992A Theory of the Nominal Term Structure of Interest Rates387 cited

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  • 1990The numeraire portfolio319 cited
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    • 2006On the Distributional Characterization of Daily Log‐Returns of a World Stock Index88 cited
    • 2012Risk, Return, and Ross Recovery82 cited
    • 2006No Arbitrage and the Growth Optimal Portfolio69 cited
    • 2015WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS42 cited
    • 2011On the semimartingale property of discounted asset-price processes42 cited
    • 2007Approximation of jump diffusions in finance and economics35 cited
    • 2012On the History of the Growth-Optimal Portfolio35 cited
    • 2012Processes of Class Sigma, Last Passage Times, and Drawdowns30 cited
    • 2019Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model: Empirical evidence from ASEAN stock indexes28 cited
    • 2014BENCHMARKED RISK MINIMIZATION28 cited
    • 2015On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration27 cited
    • 2017No-arbitrage up to random horizon for quasi-left-continuous models27 cited
    • 2015Fragility of arbitrage and bubbles in local martingale diffusion models26 cited
    • 2011Optimal Trading Strategies Under Arbitrage25 cited
    • 2005ON THE ROLE OF THE GROWTH OPTIMAL PORTFOLIO IN FINANCE23 cited