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GROWTH-OPTIMAL PORTFOLIO RESTRICTIONS ON ASSET PRICING MODELS
16 references·16 citing·37 second hopsampled
GROWTH-OPTIMAL PORTFOLIO RESTRICTIONS ON ASSET PRICING MODELS (1997)GROWTH-OPTIMAL PORTFOLIO RESTRICTIONS ON …By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Assessing Specification Errors in Stochastic Discount Factor Models (1997)Assessing Specification Error…Keeping up with the Joneses: Consumption Externalities, Portfolio Choice, and Asset Prices (1994)Keeping up with the Joneses: …Explaining the Variance of Price–Dividend Ratios (1992)Explaining the Variance of Pr…Implications of Security Market Data for Models of Dynamic Economies (1990)Implications of Security Mark…Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…Asset Prices under Habit Formation and Catching up with the Joneses (1990)Asset Prices under Habit Form…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth (1989)Intertemporally Dependent Pre…Theory of Financial Decision Making. (1988)Theory of Financial Decision …The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)The Role of Conditioning Info…The equity premium: A puzzle (1985)The equity premium: A puzzleMartingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …A Simple Approach to the Valuation of Risky Streams (1978)A Simple Approach to the Valu…The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…Optimal Growth with Intertemporally Dependent Preferences (1973)Optimal Growth with Intertemp…Model‐Free International Stochastic Discount Factors (2020)Model‐Free International Stoc…The Term Structure of Currency Carry Trade Risk Premia (2019)The Term Structure of Currenc…Term structures of asset prices and returns (2018)Term structures of asset pric…(Almost) Model‐Free Recovery (2018)(Almost) Model‐Free RecoveryEconomic Implications of Nonlinear Pricing Kernels (2016)Economic Implications of Nonl…Nobel Lecture: Uncertainty Outside and Inside Economic Models (2014)Nobel Lecture: Uncertainty Ou…Sources of Entropy in Representative Agent Models (2013)Sources of Entropy in Represe…Dynamic Valuation Decomposition Within Stochastic Economies (2012)Dynamic Valuation Decompositi…The Forward Premium Puzzle in a Two-Country World (2011)The Forward Premium Puzzle in…Sources of Entropy in Representative Agent Models (2011)Sources of Entropy in Represe…The Cross-Section and Time-Series of Stock and Bond Returns (2010)The Cross-Section and Time-Se…Risk-Price Dynamics (2010)Risk-Price DynamicsIntertemporal Substitution and Risk Aversion (2007)Intertemporal Substitution an…Chapter 61 Intertemporal Substitution and Risk Aversion (2007)Chapter 61 Intertemporal Subs…Stochastic Discount Factor Bounds with Conditioning Information (2003)Stochastic Discount Factor Bo…Is mean-variance analysis applicable to hedge funds? (1999)Is mean-variance analysis app…Optimum consumption and portfolio rules in a continuous-time model (1971)The Pricing of Options and Corporate Liabilities (1973)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Post-'87 crash fears in the S&P 500 futures option market (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of games and economic behavior (2019)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)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)The arbitrage theory of capital asset pricing (1976)Time-varying conditional covariances in tests of asset pricing models (1989)Distribution-free estimation of some nonlinear panel data models (1999)The conditional CAPM does not explain asset-pricing anomalies☆ (2006)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)The Theory of Syndicates (1968)The Conditional CAPM and the Cross-Section of Expected Returns (1996)Conditional Skewness in Asset Pricing Tests (2000)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)Prospect Theory and Asset Prices (2001)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Implied Binomial Trees (1994)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)The Adaptive Markets Hypothesis (2004)
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References

  • 1985The equity premium: A puzzle5,785 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1990Asset Prices under Habit Formation and Catching up with the Joneses2,021 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1990Implications of Security Market Data for Models of Dynamic Economies1,088 cited
  • 1987The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models980 cited
  • 1997Assessing Specification Errors in Stochastic Discount Factor Models768 cited
  • 1994Keeping up with the Joneses: Consumption Externalities, Portfolio Choice, and Asset Prices640 cited
  • 1973Optimal Growth with Intertemporally Dependent Preferences593 cited
  • 1978A Simple Approach to the Valuation of Risky Streams578 cited
  • 1989Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth

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527 cited
  • 1992Explaining the Variance of Price–Dividend Ratios482 cited
  • Cited by

    • 2014Nobel Lecture: Uncertainty Outside and Inside Economic Models152 cited
    • 2013Sources of Entropy in Representative Agent Models145 cited
    • 2012Dynamic Valuation Decomposition Within Stochastic Economies131 cited
    • 2019The Term Structure of Currency Carry Trade Risk Premia122 cited
    • 1999Is mean-variance analysis applicable to hedge funds?111 cited
    • 2007Chapter 61 Intertemporal Substitution and Risk Aversion107 cited
    • 2007Intertemporal Substitution and Risk Aversion98 cited
    • 2018Term structures of asset prices and returns80 cited
    • 2010The Cross-Section and Time-Series of Stock and Bond Returns79 cited
    • 2010Risk-Price Dynamics77 cited
    • 2018(Almost) Model‐Free Recovery77 cited
    • 2016Economic Implications of Nonlinear Pricing Kernels76 cited
    • 2003Stochastic Discount Factor Bounds with Conditioning Information76 cited
    • 2011Sources of Entropy in Representative Agent Models71 cited
    • 2020Model‐Free International Stochastic Discount Factors55 cited
    • 2011The Forward Premium Puzzle in a Two-Country World43 cited