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AN ALTERNATIVE MEASURE OF MUTUAL FUND PERFORMANCE
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AN ALTERNATIVE MEASURE OF MUTUAL FUND PERFORMANCE (1990)AN ALTERNATIVE MEASURE OF MUTUAL FUND PER…Third-Degree Stochastic Dominance (2016)Third-Degree Stochastic Domin…How to Rate Management of Investment Funds (2012)How to Rate Management of Inv…Mean-Gini, Portfolio Theory, and the Pricing of Risky Assets (1984)Mean-Gini, Portfolio Theory, …Stochastic Dominance, Mean Variance, and Gini's Mean Difference (1982)Stochastic Dominance, Mean Va…AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE (1978)AMBIGUITY WHEN PERFORMANCE IS…A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Stochastic Dominance and Mutual Fund Performance (1974)Stochastic Dominance and Mutu…Another Look at Mutual Fund Performance (1971)Another Look at Mutual Fund P…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Rules for Ordering Uncertain Prospects (1969)Rules for Ordering Uncertain …THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…Mutual Fund Performance (1966)Mutual Fund PerformanceThe Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Admissibility and Measurable Utility Functions (1962)Admissibility and Measurable …On the volatility of measures of financial risk: an investigation using returns from European markets (2000)On the volatility of measures…On the measurement of inequality (1970)On Economic Inequality (1973)A theory of anticipated utility (1982)Theory of games and economic behavior (2019)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 (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)The Utility Analysis of Choices Involving Risk (1948)Stochastic Dominance and Expected Utility: Survey and Analysis (1992)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)An Engine, Not a Camera (2006)Optimal rules for ordering uncertain prospects (1975)Chapter 2 Measurement of inequality (2000)Lectures on Stochastic Programming: Modeling and Theory (2009)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)Noise Trader Risk in Financial Markets (1990)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)
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References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1969Rules for Ordering Uncertain Prospects1,757 cited
  • 2012How to Rate Management of Investment Funds1,603 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1962Admissibility and Measurable Utility Functions559 cited
  • 2016Third-Degree Stochastic Dominance483 cited
  • 1978AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE439 cited
  • 1982Stochastic Dominance, Mean Variance, and Gini's Mean Difference330 cited
  • 1984Mean-Gini, Portfolio Theory, and the Pricing of Risky Assets222 cited
  • 1971Another Look at Mutual Fund Performance157 cited
  • 1974Stochastic Dominance and Mutual Fund Performance

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  • 2000On the volatility of measures of financial risk: an investigation using returns from European markets19 cited