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A Quarterly Econometric Model of Portfolio Choice—Part I: Specification and Estimation Problems*
16 references·0 citing·33 second hop
A Quarterly Econometric Model of Portfolio Choice—Part I: Specification and Estimation Problems* (1973)A Quarterly Econometric Model of Portfoli…EXPECTATIONS AND ADJUSTMENTS IN THE MONETARY SECTOR (2005)EXPECTATIONS AND ADJUSTMENTS …An introduction to monetary theory and policy (1976)An introduction to monetary t…Portfolio Theory and Capital Markets. (1972)Portfolio Theory and Capital …Portfolio Behavior of Financial Institutions. (1972)Portfolio Behavior of Financi…The Econometric Study of the United Kingdom. (1971)The Econometric Study of the …Econometric Models of the Financial Sector (1971)Econometric Models of the Fin…Discount House Portfolio and Debt Selection (1970)Discount House Portfolio and …Interrelated Factor Demand Functions (1969)Interrelated Factor Demand Fu…Pitfalls in Financial Model-Building (1968)Pitfalls in Financial Model-B…Adjustment Costs in the Theory of Investment of the Firm (1968)Adjustment Costs in the Theor…Optimal Investment Policy and the Flexible Accelerator (1967)Optimal Investment Policy and…The Brookings Quarterly Econometric Model of the United States (1966)The Brookings Quarterly Econo…The investment decision under uncertainty (1962)The investment decision under…The Analysis of Family Budgets (1956)The Analysis of Family BudgetsPORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Foundations of Economic Analysis (1948)Foundations of Economic Analy…Labor as a Quasi-Fixed Factor (1962)Capital Theory and Investment Behavior (1963)The Cyclical Behavior of Marginal Cost and Price (1987)Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England (2000)Labor Hiring, Investment, and Stock Return Predictability in the Cross Section (2014)Overcapacity and the Acceleration Principle (1952)Distributed Lags and Investment Analysis (1956)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)External Constraints on Monetary Policy and the Financial Accelerator (2007)Macroeconomics and Reality (1980)Shareholder value, stakeholder management, and social issues: what's the bottom line? (2001)Do ESG Controversies Matter for Firm Value? Evidence from International Data (2016)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)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)An Empirical Investigation of the Arbitrage Pricing Theory (1980)The Pricing of Options and Corporate Liabilities (1973)The New Institutionalism: Organizational Factors in Political Life (1983)The resource‐based view within the conversation of strategic management (1992)The effects of price and cost uncertainty on investment (1972)Optimal Investment under Uncertainty. (1983)A Unified Model of Investment Under Uncertainty (1993)Poverty and Famines (1983)Children and Household Economic Behavior (1992)The analysis of household surveys (1997)Markets in licenses and efficient pollution control programs (1972)On Economic Inequality (1973)Sensitivity analysis: A review of recent advances (2015)Conditional value-at-risk for general loss distributions (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)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)Chapter 20 Income and price effects in foreign trade (1985)Dynamic Econometrics (1995)
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References

  • 1952PORTFOLIO SELECTION*18,429 cited
  • 1948Foundations of Economic Analysis2,965 cited
  • 1972Portfolio Theory and Capital Markets.1,221 cited
  • 1968Pitfalls in Financial Model-Building1,042 cited
  • 1968Adjustment Costs in the Theory of Investment of the Firm557 cited
  • 1956The Analysis of Family Budgets545 cited
  • 1967Optimal Investment Policy and the Flexible Accelerator362 cited
  • 1969Interrelated Factor Demand Functions318 cited
  • 1966The Brookings Quarterly Econometric Model of the United States209 cited
  • 1962The investment decision under uncertainty153 cited
  • 1970Discount House Portfolio and Debt Selection143 cited
  • 1971The Econometric Study of the United Kingdom.57 cited
  • 2005EXPECTATIONS AND ADJUSTMENTS IN THE MONETARY SECTOR54 cited
  • 1972Portfolio Behavior of Financial Institutions.44 cited
  • 1971Econometric Models of the Financial Sector24 cited
  • 1976An introduction to monetary theory and policy17 cited

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