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Estimation of an Adaptive Expectations Model
5 references·1 citing·23 second hop
Estimation of an Adaptive Expectations Model (1977)Estimation of an Adaptive Expectations Mo…Estimation of a Risk Response Model with Some Degree of Flexibility (1976)Estimation of a Risk Response…Mean-Variance Analysis in the Theory of Liquidity Preference and Portfolio Selection (1969)Mean-Variance Analysis in the…A Note on Uncertainty and Indifference Curves (1969)A Note on Uncertainty and Ind…The Estimation of Distributed Lags (1958)The Estimation of Distributed…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Do Regulatory Measures Necessarily Affect Oman’s Seafood Export-Supply? (2020)Do Regulatory Measures Necess…Portfolio Analysis in a Stable Paretian Market (1965)A Model of the Demand for Money by Firms (1966)The Random Character of Stock Market Prices (1968)Entropy, market risk, and the selection of efficient portfolios (1972)On the Application of Portfolio Theory to Depository Financial Intermediaries (1974)ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY (2009)Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine (1953)An Analytic Derivation of the Efficient Portfolio Frontier (1972)An Intertemporal Capital Asset Pricing Model (1973)An equilibrium model of the international capital market (1974)Distributed Lags and Investment Analysis (1956)Optimal Properties of Exponentially Weighted Forecasts (1960)The Generalized Envelope Theorem and Price Uncertainty (1980)Measuring and factors affecting the risk attitudes of selected farmers in Story County, Iowa (1981)Rational Expectations and the Theory of Price Movements (1961)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Citations, Citation Indicators, and Research Quality: An Overview of Basic Concepts and Theories (2019)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)Rational Distributed Lag Functions (1966)Estimating Distributed Lags in Short Panels with an Application to the Specification of Depreciation Patterns and Capital Stock Constructs (1984)Predictive Failure and Econometric Modelling in Macroeconomics: The Transactions Demand for Money (2000)
this work references cited by second hop

References

  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1969Mean-Variance Analysis in the Theory of Liquidity Preference and Portfolio Selection351 cited
  • 1969A Note on Uncertainty and Indifference Curves297 cited
  • 1958The Estimation of Distributed Lags184 cited
  • 1976Estimation of a Risk Response Model with Some Degree of Flexibility11 cited

Cited by

  • 2020Do Regulatory Measures Necessarily Affect Oman’s Seafood Export-Supply?11 cited

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