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Portfolio construction incorporating asymmetric dependence structures: a user's guide
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Portfolio construction incorporating asymmetric dependence structures: a user's guide (2007)Portfolio construction incorporating asym…Copula Methods in Finance (2004)Copula Methods in FinanceOn the coherence of expected shortfall (2002)On the coherence of expected …International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Optimization of conditional value-at-risk (2000)Optimization of conditional v…An Introduction to Copulas (1999)An Introduction to CopulasIs the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…The Asymptotic Theory of Extreme Order Statistics (1990)The Asymptotic Theory of Extr…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The variation of certain speculative prices (1997)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)Conditional value-at-risk for general loss distributions (2002)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)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)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Introductory Econometrics for Finance (2008)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)On the measurement of inequality (1970)The arbitrage theory of capital asset pricing (1976)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1999An Introduction to Copulas7,743 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2004Copula Methods in Finance2,013 cited
  • 1990The Asymptotic Theory of Extreme Order Statistics1,830 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited

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