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The effect of limited information and estimation risk on optimal portfolio diversification
14 references·16 citing·26 second hop
The effect of limited information and estimation risk on optimal portfolio diversification (1977)The effect of limited information and est…Theory of games and economic behavior (2019)Theory of games and economic …The effect of estimation risk on optimal portfolio choice (1976)The effect of estimation risk…Optimal rules for ordering uncertain prospects (1975)Optimal rules for ordering un…The Use of Unbounded Utility Functions in Expected-Utility Maximization: Response (1974)The Use of Unbounded Utility …Studies in the Theory of Capital Markets. (1973)Studies in the Theory of Capi…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Portfolio Theory and Capital Markets. (1972)Portfolio Theory and Capital …Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…Portfolio Theory: A Step Toward Its Practical Application (1970)Portfolio Theory: A Step Towa…Equilibrium in a Capital Asset Market (1966)Equilibrium in a Capital Asse…SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)SECURITY PRICES, RISK, AND MA…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Theory of Games and Economic Behavior (1945)Theory of Games and Economic …Do the FASB's Standards Add Shareholder Value? (2017)Do the FASB's Standards Add S…IT'S 11 PM—DO YOU KNOW WHERE YOUR LIQUIDITY IS?: THE MEAN–VARIANCE–LIQUIDITY FRONTIER (2005)IT'S 11 PM—DO YOU KNOW WHERE …Capital Market Impact of Product Marketing Strategy: Evidence From the Relationship Between Advertising Expenses and Cost of Capital (2005)Capital Market Impact of Prod…The relaxed investor and parameter uncertainty (2001)The relaxed investor and para…Estimation Methods in Portfolio Selection and the Effectiveness of Short Sales Restrictions: UK Evidence (1994)Estimation Methods in Portfol…The allocation to property in the multi‐asset portfolio: The evidence and theory reconsidered (1992)The allocation to property in…Robust Measurement of Beta Risk (1992)Robust Measurement of Beta Ri…Information and Diversity of Analyst Opinion (1992)Information and Diversity of …Further results on asset pricing with incomplete information (1991)Further results on asset pric…Empirical Estimates of Beta When Investors Face Estimation Risk (1990)Empirical Estimates of Beta W…The Term Structure of Interest Rates in a Partially Observable Economy (1989)The Term Structure of Interes…FIRM SIZE AND DIVIDEND ANNOUNCEMENTS (1988)FIRM SIZE AND DIVIDEND ANNOUN…Some Further Evidence on the Stochastic Properties of Systematic Risk (1987)Some Further Evidence on the …Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy (1986)Equilibrium Interest Rates an…Research Bibliography—Stochastic Dominance: A Research Bibliography (1982)Research Bibliography—Stochas…Methodologies for Risk and Hazard Assessment: A Survey and Status Report (1980)Methodologies for Risk and Ha…Portfolio Selection: Efficient Diversification of Investments (1959)An Intertemporal Capital Asset Pricing Model (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)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)The Behavior of Stock-Market Prices (1965)On Persistence in Mutual Fund Performance (1997)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)The New Institutionalism: Organizational Factors in Political Life (1983)Random matrix approach to cross correlations in financial data (2002)An Engine, Not a Camera (2006)Does board gender diversity improve the informativeness of stock prices? (2011)… and the Cross-Section of Expected Returns (2015)Moral Hazard and Observability (1979)Prospect theory: An analysis of decision under risk (1988)The New Institutional Economics: Taking Stock, Looking Ahead (2000)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Capital market equilibrium in a mean-lower partial moment framework (1977)Chapter 2 Measurement of inequality (2000)Toward a positive theory of consumer choice (1980)Non-cooperative games (1989)Representative design and probabilistic theory in a functional psychology. (1955)Features of similarity. (1977)Evolutionary game dynamics (2003)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 2019Theory of games and economic behavior16,630 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1966Equilibrium in a Capital Asset Market4,896 cited
  • 1945Theory of Games and Economic Behavior4,006 cited
  • 1972Essays in the Theory of Risk-Bearing.3,991 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
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  • 1972Portfolio Theory and Capital Markets.1,221 cited
  • 1975Optimal rules for ordering uncertain prospects860 cited
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  • 1974The Use of Unbounded Utility Functions in Expected-Utility Maximization: Response66 cited

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  • 1986Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy263 cited

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2001
The relaxed investor and parameter uncertainty
146 cited
  • 1982Research Bibliography—Stochastic Dominance: A Research Bibliography140 cited
  • 1987Some Further Evidence on the Stochastic Properties of Systematic Risk133 cited
  • 1992Robust Measurement of Beta Risk133 cited
  • 1990Empirical Estimates of Beta When Investors Face Estimation Risk114 cited
  • 2005Capital Market Impact of Product Marketing Strategy: Evidence From the Relationship Between Advertising Expenses and Cost of Capital107 cited
  • 1992Information and Diversity of Analyst Opinion107 cited
  • 2005IT'S 11 PM—DO YOU KNOW WHERE YOUR LIQUIDITY IS?: THE MEAN–VARIANCE–LIQUIDITY FRONTIER95 cited
  • 2017Do the FASB's Standards Add Shareholder Value?84 cited
  • 1989The Term Structure of Interest Rates in a Partially Observable Economy84 cited
  • 1992The allocation to property in the multi‐asset portfolio: The evidence and theory reconsidered83 cited
  • 1988FIRM SIZE AND DIVIDEND ANNOUNCEMENTS80 cited
  • 1991Further results on asset pricing with incomplete information80 cited
  • 1980Methodologies for Risk and Hazard Assessment: A Survey and Status Report79 cited
  • 1994Estimation Methods in Portfolio Selection and the Effectiveness of Short Sales Restrictions: UK Evidence76 cited