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Mean–Gini analysis in R&D portfolio selection
14 references·9 citing·36 second hop
Mean–Gini analysis in R&D portfolio selection (2003)Mean–Gini analysis in R&D portfolio selec…Marginal Conditional Stochastic Dominance (1994)Marginal Conditional Stochast…Planning models for research and development (1990)Planning models for research …Selecting interrelated R & D projects in space technology planning (1986)Selecting interrelated R & D …Applied Decision Analysis. (1985)Applied Decision Analysis.Mean-Gini, Portfolio Theory, and the Pricing of Risky Assets (1984)Mean-Gini, Portfolio Theory, …Economic Models for R and D Project Selection in the Presence of Project Interactions (1984)Economic Models for R and D P…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…Handbook of operations research (1978)Handbook of operations resear…Analytical Effectiveness of Mathematical Models for R&D Project Selection (1973)Analytical Effectiveness of M…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…Mean-Variance Analysis in the Theory of Liquidity Preference and Portfolio Selection (1969)Mean-Variance Analysis in the…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…MCDM-Based R&D Project Selection: A Systematic Literature Review (2021)MCDM-Based R&D Project Select…Multi-criteria project portfolio selection and scheduling problem based on acceptability analysis (2019)Multi-criteria project portfo…Portfolio Selection Model for Enhancing Information Technology Synergy (2013)Portfolio Selection Model for…Forecasting research trends using population dynamics model with Burgers’ type interaction (2013)Forecasting research trends u…OR PRACTICE—R&D Project Portfolio Analysis for the Semiconductor Industry (2010)OR PRACTICE—R&D Project Portf…A real options perspective on R&D portfolio diversification (2009)A real options perspective on…Dynamic order acceptance and capacity planning on a single bottleneck resource (2007)Dynamic order acceptance and …A mixed R&D projects and securities portfolio selection model (2007)A mixed R&D projects and secu…Application of the Fuzzy Weighted Average in Strategic Portfolio Management* (2005)Application of the Fuzzy Weig…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Using daily stock returns (1985)LP solvable models for portfolio optimization: a classification and computational comparison (2003)Weighted risk capital allocations (2008)Revisiting the evidence for cardinal treatment of ordinal variables (2017)PORTFOLIO SELECTION* (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Gini's Mean difference: a superior measure of variability for non-normal distributions (2003)Beyond Sharpe ratio: Optimal asset allocation using different performance ratios (2008)Portfolio Analysis in a Stable Paretian Market (1965)A Model of the Demand for Money by Firms (1966)The Random Character of Stock Market Prices (1968)Entropy, market risk, and the selection of efficient portfolios (1972)On the Application of Portfolio Theory to Depository Financial Intermediaries (1974)ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY (2009)Three Problems in Rationing Capital (1955)Capital Budgeting of Interrelated Projects: Survey and Synthesis (1966)Recent Advances in R&D Benefit Measurement and Project Selection Methods (1975)Project Scheduling Problems: A Survey (1993)A multiple criteria decision model for information system project selection (1995)50th Anniversary Article: Technological Innovation, Product Development, and Entrepreneurship in Management Science (2004)Moral Hazard and Observability (1979)Prospect theory: An analysis of decision under risk (1988)The New Institutional Economics: Taking Stock, Looking Ahead (2000)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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 Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Adjustment of Stock Prices to New Information (2003)The Cross-Section of Expected Stock Returns (1992)Nonlinear dynamics of daily futures prices: Conditional heteroskedasticity or chaos? (1993)The Value of Using Imprecise Probabilities in Engineering Design (2005)Closed-form transformations from risk-neutral to real-world distributions (2007)
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References

  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1972Essays in the Theory of Risk-Bearing.3,991 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1969Mean-Variance Analysis in the Theory of Liquidity Preference and Portfolio Selection351 cited
  • 1985Applied Decision Analysis.231 cited
  • 1984Mean-Gini, Portfolio Theory, and the Pricing of Risky Assets222 cited
  • 1984Economic Models for R and D Project Selection in the Presence of Project Interactions158 cited
  • 1994Marginal Conditional Stochastic Dominance150 cited
  • 1978Handbook of operations research130 cited
  • 1973Analytical Effectiveness of Mathematical Models for R&D Project Selection74 cited
  • 1990Planning models for research and development72 cited
  • 1986Selecting interrelated R & D projects in space technology planning66 cited

Cited by

  • 2005Application of the Fuzzy Weighted Average in Strategic Portfolio Management*58 cited

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2009
A real options perspective on R&D portfolio diversification
57 cited
  • 2007Dynamic order acceptance and capacity planning on a single bottleneck resource44 cited
  • 2013Portfolio Selection Model for Enhancing Information Technology Synergy40 cited
  • 2007A mixed R&D projects and securities portfolio selection model40 cited
  • 2021MCDM-Based R&D Project Selection: A Systematic Literature Review38 cited
  • 2019Multi-criteria project portfolio selection and scheduling problem based on acceptability analysis33 cited
  • 2010OR PRACTICE—R&D Project Portfolio Analysis for the Semiconductor Industry22 cited
  • 2013Forecasting research trends using population dynamics model with Burgers’ type interaction9 cited