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On the microeconomic theory of investment under uncertainty
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On the microeconomic theory of investment under uncertainty (1977)On the microeconomic theory of investment…The Dark Side of Financial Innovation (2009)The Dark Side of Financial In…Wealth and Portfolio Composition (2005)Wealth and Portfolio Composit…Stock Options as Incentive Contracts and Dividend Policy (2002)Stock Options as Incentive Co…Future Possibilities in Finance Theory and Finance Practice (2002)Future Possibilities in Finan…Estimating Beta (2002)Estimating BetaSome Results on Comparative Statics under Uncertainty (1987)Some Results on Comparative S…The Effects of the Sample Size, the Investment Horizon and Market Conditions on the Validity of Composite Performance Measures: A Generalization (1986)The Effects of the Sample Siz…Time preference and capital asset pricing models (1985)Time preference and capital a…Portfolio separation for stockholder owned depository financial intermediaries (1985)Portfolio separation for stoc…Wealth and Portfolio Composition: Theory and Evidence (1984)Wealth and Portfolio Composit…Call options and the risk of underlying securities (1984)Call options and the risk of …The Sampling Relationship Between Sharpe's Performance Measure and its Risk Proxy: Sample Size, Investment Horizon and Market Conditions (1981)The Sampling Relationship Bet…A Time-State-Preference Model of Security Valuation (1968)A Time-State-Preference Model…PORTFOLIO SELECTION* (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Transparency, Risk Management and International Financial Fragility (2003)Design of Financial Systems: Towards a Syntheses of Function and Structure (2005)Modeling Financial Crises and Sovereign Risks (2009)Liquidity Preference as Behavior Towards Risk (1958)The Efficiency Analysis of Choices Involving Risk (1969)Risk Aversion in the Small and in the Large (1976)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)A Theory of the Term Structure of Interest Rates (1985)Capital Asset Pricing Model (1989)Recursive utility and the Ramsey problem (1990)Optimal Investment Strategies for University Endowment Funds (1991)A Theory of the Banking Firm (1971)INPUTS, OUTPUTS, AND A THEORY OF PRODUCTION AND COST AT DEPOSITORY FINANCIAL INSTITUTIONS (1977)Alternative approaches to the theory of the banking firm (1980)Cyclical effects of bank capital requirements with imperfect credit markets (2010)Global banking and the conduct of macroprudential policy in a monetary union (2017)Interest on reserves and Federal Reserve unwinding (2018)Risk, Return, and Equilibrium: Empirical Tests (1973)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)Portfolio performance evaluation (2006)Performance of the Average Directional Index as a market timing tool for the most actively traded USD based currency pairs (2018)Theory of Rational Option Pricing (1973)Employee Reload Options: Pricing, Hedging, and Optimal Exercise (2003)Theory of rational option pricing (2005)Information Quality and Options (2006)On the qualitative effect of volatility and duration on prices of Asian options (2008)The Cross-Section of Expected Stock Returns (1992)Financial Innovation and Financial Fragility (2010)Barriers to Financial Innovation—Corporate Finance Perspective (2020)The General Theory of Employment, Interest and Money. (1936)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Measurement of Systematic Risk for Securities and Portfolios: Some Empirical Results (1971)MARKET EQUILIBRIUM IN A MULTIPERIOD STATE PREFERENCE MODEL WITH LOGARITHMIC UTILITY† (1975)Finance, Theoretical and Applied (2015)Risk Aversion and Determinants of Stock Market Behavior (1988)Financial Innovation, Market Participation, and Asset Prices (2004)Fight or Flight? Portfolio Rebalancing by Individual Investors (2007)Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio (2016)Common risk factors in the returns on stocks and bonds (1993)Value‐at‐risk (2010)
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  • 1984Call options and the risk of underlying securities79 cited
  • 1987Some Results on Comparative Statics under Uncertainty65 cited
  • 1985Time preference and capital asset pricing models63 cited
  • 1968A Time-State-Preference Model of Security Valuation63 cited
  • 1984Wealth and Portfolio Composition: Theory and Evidence55 cited
  • 2002Future Possibilities in Finance Theory and Finance Practice47 cited
  • 2002Estimating Beta39 cited
  • 1985Portfolio separation for stockholder owned depository financial intermediaries35 cited
  • 1981The Sampling Relationship Between Sharpe's Performance Measure and its Risk Proxy: Sample Size, Investment Horizon and Market Conditions33 cited
  • 2009The Dark Side of Financial Innovation30 cited
  • 1986The Effects of the Sample Size, the Investment Horizon and Market Conditions on the Validity of Composite Performance Measures: A Generalization23 cited
  • 2005Wealth and Portfolio Composition17 cited
  • 2002Stock Options as Incentive Contracts and Dividend Policy16 cited

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