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A Decision Theory Approach to Portfolio Selection
5 references·3 citing·28 second hop
A Decision Theory Approach to Portfolio Selection (1966)A Decision Theory Approach to Portfolio S…RISK‐AVERSION IN THE STOCK MARKET: SOME EMPIRICAL EVIDENCE (1965)RISK‐AVERSION IN THE STOCK MA…A Method for Allocating Funds to Investment Projects when Returns are Subject to Uncertainty (1964)A Method for Allocating Funds…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Safety First and the Holding of Assets (1952)Safety First and the Holding …Bayesian portfolio selection with multi-variate random variance models (2005)Bayesian portfolio selection …An integrated multiobjective portfolio management system (1989)An integrated multiobjective …Bayesian Models for Forecasting Future Security Prices (1973)Bayesian Models for Forecasti…Mathematical Methods in Investment and Finance (1975)Security Analysis and Portfolio Management (1975)Security Analysis and Portfolio Management. (1976)Portfolio Selection (1952)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Portfolio selection using λ mean and hybrid entropy (2009)Optimal strategies for selecting project portfolios using uncertain value estimates (2013)On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability (2015)Three Problems in Rationing Capital (1955)Mathematical Programming and the Analysis of Capital Budgeting Problems. (1965)The Capital Budgeting Decision (2012)Enterprise Resilience Assessment—A Quantitative Approach (2019)Portfolio Selection: Efficient Diversification of Investments. (1962)The Behavior of Stock-Market Prices (1965)Information and the Cost of Capital in a Mean‐Variance Efficient Market (2015)On the Measurement of Poverty (1987)An Engine, Not a Camera (2006)Bank activity and funding strategies: The impact on risk and returns☆ (2010)Corporate Investment Criteria and the Valuation of Risk Assets (1970)PORTFOLIO ANALYSIS, STOCK VALUATION AND CAPITAL BUDGETING DECISION RULES FOR RISKY PROJECTS (1971)Normal Investors, Then and Now (2005)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)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 Adjustment of Stock Prices to New Information (2003)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)
this work references cited by second hop

References

  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1952Safety First and the Holding of Assets2,537 cited
  • 1965RISK‐AVERSION IN THE STOCK MARKET: SOME EMPIRICAL EVIDENCE74 cited
  • 1964A Method for Allocating Funds to Investment Projects when Returns are Subject to Uncertainty48 cited

Cited by

  • 2005Bayesian portfolio selection with multi-variate random variance models45 cited
  • 1973Bayesian Models for Forecasting Future Security Prices40 cited
  • 1989An integrated multiobjective portfolio management system36 cited

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