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Budgeting and Monitoring Pension Fund Risk
2 references·4 citing·23 second hop
Budgeting and Monitoring Pension Fund Risk (2002)Budgeting and Monitoring Pension Fund RiskLiabilities— A New Approach (1990)Liabilities— A New ApproachImputing Expected Security Returns from Portfolio Composition (1974)Imputing Expected Security Re…Fejezetek a kockázat témaköréből a közgazdaságtanban (2015)Fejezetek a kockázat témaköré…Portfolio selection with marginal risk control (2010)Portfolio selection with marg…People and the Psychology of Pension Fund Decisions (2004)People and the Psychology of …Liability-Relative Investing II (2004)Liability-Relative Investing …Portfolio Selection: Efficient Diversification of Investments (1959)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 Dimensions of Active Management (2003)The Black–Litterman Model for Active Portfolio Management (2009)Optimal Portfolios under Time-Varying Investment Opportunities, Parameter Uncertainty, and Ambiguity Aversion (2019)The financial analysts journal (1960)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)TIPS, the Dual Duration, and the Pension Plan (2004)Don’t Kill the Golden Goose! Saving Pension Plans (2007)An Asset–Liability Version of the Capital Asset Pricing Model with a Multi-Period Two-Fund Theorem (2009)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Portfolio Selection: Efficient Diversification of Investments. (1962)Optimization of conditional value-at-risk (2000)On the coherence of expected shortfall (2002)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)World Population Prospects The 2006 Revision (2007)Strategic asset allocation with liabilities: Beyond stocks and bonds (2008)Insurance: Mathematics and Economics (2013)Gender differences in financial risk tolerance (2017)
this work references cited by second hop

References

  • 1990Liabilities— A New Approach340 cited
  • 1974Imputing Expected Security Returns from Portfolio Composition101 cited

Cited by

  • 2004Liability-Relative Investing II57 cited
  • 2010Portfolio selection with marginal risk control30 cited
  • 2015Fejezetek a kockázat témaköréből a közgazdaságtanban0 cited
  • 2004People and the Psychology of Pension Fund Decisions0 cited

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