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Harry Markowitz and the Discretionary Wealth Hypothesis
8 references·3 citing·45 second hop
Harry Markowitz and the Discretionary Wealth Hypothesis (2003)Harry Markowitz and the Discretionary Wea…The Mismeasurement of Risk (2002)The Mismeasurement of RiskInvesting for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Distributional Characteristics of Emerging Market Returns and Asset Allocation (1998)Distributional Characteristic…Theory of constant proportion portfolio insurance (1992)Theory of constant proportion…Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods (1974)Fallacy of the log-normal app…MULTI‐PERIOD MEAN‐VARIANCE ANALYSIS: TOWARD A GENERAL THEORY OF PORTFOLIO CHOICE* (1971)MULTI‐PERIOD MEAN‐VARIANCE AN…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…A Discretionary Wealth Approach for Investment Policy (2009)A Discretionary Wealth Approa…Investment Management for Taxable Private Investors (2008)Investment Management for Tax…Capital growth: Theory and practice (2008)Capital growth: Theory and pr…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Theory of the Leisure Class (2009)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Risk Aversion in the Small and in the Large (1964)THE CURRENT STATUS OF THE CAPITAL ASSET PRICING MODEL (CAPM) (1978)The cost of capital, corporation finance and the theory of investment (2008)A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs (2012)A multi-period fuzzy portfolio optimization model with minimum transaction lots (2014)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option Pricing Bounds in Discrete Time (1984)Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase (2001)Recent advances in reinforcement learning in finance (2023)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)Value at Risk (2001)The Role of Real Estate in an Institutional Investor's Portfolio Revisited (2004)Alpha Hunters and Beta Grazers (2005)Valuation of intergenerational transfers in funded collective pension schemes (2007)Optimum consumption and portfolio rules in a continuous-time model (1971)Brownian Motion and Stochastic Flow Systems. (1987)Continuous-Time Finance. (1991)OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS (1993)Equilibrium Analysis of Portfolio Insurance (1996)Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans (2005)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)… and the Cross-Section of Expected Returns (2015)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)Business conditions and expected returns on stocks and bonds (1989)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Strategic Asset Allocation (2002)The Dog That Did Not Bark: A Defense of Return Predictability (2007)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Brownian Motion and Stochastic Calculus (2007)Analysis of the rebalancing frequency in log-optimal portfolio selection (2009)Can the Gains from International Diversification Be Achieved without Trading Abroad? (1999)Systemic Risk and International Portfolio Choice (2004)International asset allocation under regime switching, skew, and kurtosis preferences (2008)Risk, Return, and Equilibrium: Empirical Tests (1973)
this work references cited by second hop

References

  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 2000Investing for the Long Run when Returns Are Predictable1,372 cited
  • 1992Theory of constant proportion portfolio insurance403 cited
  • 1998Distributional Characteristics of Emerging Market Returns and Asset Allocation397 cited
  • 1974Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods266 cited
  • 1971MULTI‐PERIOD MEAN‐VARIANCE ANALYSIS: TOWARD A GENERAL THEORY OF PORTFOLIO CHOICE*211 cited
  • 2002The Mismeasurement of Risk80 cited

Cited by

  • 2008Capital growth: Theory and practice27 cited
  • 2008Investment Management for Taxable Private Investors23 cited
  • 2009A Discretionary Wealth Approach for Investment Policy21 cited

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