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Wealth and Portfolio Composition
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Wealth and Portfolio Composition (2005)Wealth and Portfolio CompositionEquilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio (2016)Equilibrium in an Imperfect M…Household Portfolios in Italy (2002)Household Portfolios in ItalyThe measurement and structure of household wealth (1999)The measurement and structure…Improving the Quality of Economic Data: Lessons from the HRS and AHEAD (1997)Improving the Quality of Econ…Asset Accumulation, Information, and the Life Cycle (1987)Asset Accumulation, Informati…Life Cycle, Individual Thrift, and the Wealth of Nations (1986)Life Cycle, Individual Thrift…The Econometrics of Nonlinear Budget Sets (1985)The Econometrics of Nonlinear…Taxation, Portfolio Choice, and Debt-Equity Ratios: A General Equilibrium Model (1983)Taxation, Portfolio Choice, a…Estimation of consumer demand systems with binding non-negativity constraints (1983)Estimation of consumer demand…Asset Holdings and the Life Cycle (1981)Asset Holdings and the Life C…Dummy Endogenous Variables in a Simultaneous Equation System (1977)Dummy Endogenous Variables in…Personal Taxation and Portfolio Composition: An Econometric Analysis (1976)Personal Taxation and Portfol…The Optimal Number of Securities in a Risky Asset Portfolio When There are Fixed Costs of Transacting: Theory and Some Empirical Results (1975)The Optimal Number of Securit…THE ASSET STRUCTURE OF INDIVIDUAL PORTFOLIOS AND SOME IMPLICATIONS FOR UTILITY FUNCTIONS (1975)THE ASSET STRUCTURE OF INDIVI…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Liquidity Preference as Behavior Towards Risk (1958)Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Bank funding modes (1987)Residual Risk, Trading Costs, and Commodity Futures Risk Premia: (1988)Social Performance and Firm Risk: Impact of the Financial Crisis (2016)Understanding Consumption (1992)Household Saving: Micro Theories and Micro Facts (1995)Precautionary Saving and Social Insurance (1995)The Wealth Dynamics of American Families, 1984-94 (1998)19 The World Distribution of Household Wealth (2008)Wealth Disparities Before and After the Great Recession (2013)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Some Statistical Models for Limited Dependent Variables with Application to the Demand for Durable Goods (1971)Shadow Prices, Market Wages, and Labor Supply (1974)Modeling Consumer Demand for Variety (2002)Recreation Demand Models (2004)Predicting the Effects of Sugar‐Sweetened Beverage Taxes on Food and Beverage Demand in a Large Demand System (2013)THE DEMAND FOR RISKY ASSETS (1977)How Many Stocks Make a Diversified Portfolio? (1987)Economic foundations of cost-effectiveness analysis (1997)Do Dividend Clienteles Exist? Evidence on Dividend Preferences of Retail Investors (2006)An Exploration in the Theory of Optimum Income Taxation (1971)Specification Tests in Econometrics (1978)Health insurance: The tradeoff between risk pooling and moral hazard (1996)Empirical Approaches to the Measurement of Welfare (1998)Admission, Tuition, and Financial Aid Policies in the Market for Higher Education (2006)The Elasticity of Taxable Income with Respect to Marginal Tax Rates: A Critical Review (2012)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Statistical Theories of Mental Test Scores (1969)The Economics and Econometrics of Active Labor Market Programs (1999)Discrete Choice Methods with Simulation (2001)Econometric Analysis of Cross Section and Panel Data (2001)Anticipation and the Valuation of Delayed Consumption (1987)FINANCIAL DEVELOPMENT AND ECONOMIC GROWTH: ASSESSING THE EVIDENCE* (1997)NBER Macroeconomics Annual 1987, Volume 2Wealth Inequality in the United States (2000)Unemployment Risk and Precautionary Wealth: Evidence from Households' Balance Sheets (2003)
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References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1977Dummy Endogenous Variables in a Simultaneous Equation System1,837 cited
  • 1986Life Cycle, Individual Thrift, and the Wealth of Nations1,274 cited
  • 2016Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio542 cited
  • 1983Estimation of consumer demand systems with binding non-negativity constraints439 cited
  • 1975THE ASSET STRUCTURE OF INDIVIDUAL PORTFOLIOS AND SOME IMPLICATIONS FOR UTILITY FUNCTIONS378 cited
  • 1985The Econometrics of Nonlinear Budget Sets378 cited
  • 1981Asset Holdings and the Life Cycle282 cited
  • 1999The measurement and structure of household wealth282 cited
  • 1997Improving the Quality of Economic Data: Lessons from the HRS and AHEAD217 cited
  • 1983Taxation, Portfolio Choice, and Debt-Equity Ratios: A General Equilibrium Model187 cited
  • 1975The Optimal Number of Securities in a Risky Asset Portfolio When There are Fixed Costs of Transacting: Theory and Some Empirical Results156 cited
  • 1987Asset Accumulation, Information, and the Life Cycle141 cited
  • 1976Personal Taxation and Portfolio Composition: An Econometric Analysis

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  • 2002Household Portfolios in Italy122 cited
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