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Risk and Asset Allocation
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Risk and Asset Allocation (2005)Risk and Asset AllocationOptimal Portfolio Choice with Estimation Risk: No Risk-Free Asset Case (2021)Optimal Portfolio Choice with…Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly (2018)Factor Models for Portfolio S…Gini-Type Measures of Risk and Variability: Gini Shortfall, Capital Allocations, and Heavy-Tailed Risks (2016)Gini-Type Measures of Risk an…Spread of risk across financial markets: better to invest in the peripheries (2013)Spread of risk across financi…Robust multiobjective optimization & applications in portfolio optimization (2013)Robust multiobjective optimiz…Exponential smoothing weighted correlations (2012)Exponential smoothing weighte…Is Regime Switching in Stock Returns Important in Portfolio Decisions? (2010)Is Regime Switching in Stock …High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: Risk underestimation (2010)High-dimensionality effects i…Bayesian Portfolio Analysis (2010)Bayesian Portfolio AnalysisTechnical analysis: An asset allocation perspective on the use of moving averages☆ (2009)Technical analysis: An asset …Robust portfolios: contributions from operations research and finance (2009)Robust portfolios: contributi…ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY (2009)ENHANCEMENT OF THE APPLICABIL…Pricing discretely monitored Asian options under Lévy processes (2008)Pricing discretely monitored …Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance (2008)Portfolio Performance Evaluat…Channel coordination in supply chains with agents having mean-variance objectives☆ (2007)Channel coordination in suppl…Optimization Methods in Finance (2006)Optimization Methods in Finan…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Brownian Motion and Stochastic Calculus (2007)The Econometrics of Financial Markets (2012)Sparse Signals in the Cross‐Section of Returns (2018)Crude oil time series prediction model based on LSTM network with chaotic Henry gas solubility optimization (2021)Stock Market Prediction Using Machine Learning Techniques: A Decade Survey on Methodologies, Recent Developments, and Future Directions (2021)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**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)Power and Centrality: A Family of Measures (1987)The Multiplex Dependency Structure of Financial Markets (2017)Econophysics and sociophysics: Their milestones & challenges (2018)A Review of Two Decades of Correlations, Hierarchies, Networks and Clustering in Financial Markets (2021)Option pricing when underlying stock returns are discontinuous (1976)Option valuation using the fast Fourier transform (1999)Financial Modelling with Jump Processes (2003)Tempered stable and tempered infinitely divisible GARCH models (2010)Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions (2013)A General Framework for Pricing Asian Options Under Markov Processes (2015)PORTFOLIO SELECTION* (1952)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach (2010)Multivariate linear and nonlinear causality tests (2010)Approaching Mean-Variance Efficiency for Large Portfolios (2015)Portfolio Selection: Efficient Diversification of Investments (1959)Robust Convex Optimization (1998)Robust solutions to multi-objective linear programs with uncertain data (2014)Multicriteria decision support in local energy planning: An evaluation of alternative scenarios for the Sustainable Energy Action Plan (2016)Robust multiobjective portfolio optimization: A minimax regret approach (2017)Theory of Financial Decision Making. (1988)Supply Chain Coordination with Contracts (2003)Mean–variance analysis of the newsvendor model with stockout cost☆ (2008)Supply chain risk management in financial crises—A multiple case-study approach (2011)Supply chain risk management: review, classification and future research directions (2011)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Beyond Sharpe ratio: Optimal asset allocation using different performance ratios (2008)An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints (2009)Twenty years of linear programming based portfolio optimization (2013)Risk, Uncertainty and Profit (1921)Coherent Measures of Risk (1999)Portfolio selection under distributional uncertainty: A relative robust CVaR approach (2009)Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature (2017)Forest through the Trees: Building Cross‐Sections of Stock Returns (2025)The arbitrage theory of capital asset pricing (1976)Common risk factors in the returns on stocks and bonds (1993)Bayesian estimation of the global minimum variance portfolio (2016)Intelligent Asset Allocation via Market Sentiment Views (2018)Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models (2022)Risk Aversion in the Small and in the Large (1964)Time to Build and Aggregate Fluctuations (1982)The equity premium: A puzzle (1985)Is international diversification really beneficial? (2009)Portfolio rebalancing model using multiple criteria (2010)Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement (2012)
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  • 2021Optimal Portfolio Choice with Estimation Risk: No Risk-Free Asset Case115 cited
  • 2010High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: Risk underestimation114 cited
  • 2012Exponential smoothing weighted correlations

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114 cited
  • 2016Gini-Type Measures of Risk and Variability: Gini Shortfall, Capital Allocations, and Heavy-Tailed Risks109 cited
  • 2018Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly105 cited