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An Extended Family of Financial-Risk Measures
16 references·5 citing·39 second hop
An Extended Family of Financial-Risk Measures (1998)An Extended Family of Financial-Risk Meas…Foundations of Measurement (1990)Foundations of MeasurementFoundations for Financial Economics. (1989)Foundations for Financial Eco…Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence (1989)Asset Pricing in a Generalize…The Dual Theory of Choice under Risk (1987)The Dual Theory of Choice und…On an Extension of the Gini Inequality Index (1983)On an Extension of the Gini I…"Expected Utility" Analysis without the Independence Axiom (1982)"Expected Utility" Analysis w…Safety-First, Stochastic Dominance, and Optimal Portfolio Choice (1978)Safety-First, Stochastic Domi…Capital market equilibrium in a mean-lower partial moment framework (1977)Capital market equilibrium in…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Linear Measures of Income Inequality (1976)Linear Measures of Income Ine…Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Risk Analysis with Risk …On Economic Inequality (1973)On Economic InequalityOn the measurement of inequality (1970)On the measurement of inequal…Economics and Information Theory (1969)Economics and Information The…Safety First and the Holding of Assets (1952)Safety First and the Holding …The Measurement of the Inequality of Incomes (1920)The Measurement of the Inequa…Omega Performance Measure and Portfolio Insurance (2018)Omega Performance Measure and…A decision-theoretic foundation for reward-to-risk performance measures (2012)A decision-theoretic foundati…Constructing 130/30-portfolios with the Omega ratio (2011)Constructing 130/30-portfolio…Distortion Risk Measures in Portfolio Optimization (2009)Distortion Risk Measures in P…Zur Messung von Risiko (2005)Zur Messung von RisikoA theory of justice original editionA Mathematical Theory of Saving (1928)Poverty and Famines (1983)The Socialist System (1992)Counting and Multidimensional Poverty Measurement (2017)Risk Aversion in the Small and in the Large (1964)Aspects of the Theory of Risk-Bearing. (1966)Risk Aversion in the Small and in the Large (1976)A Class of Decomposable Poverty Measures (1984)The Dimensions of Residential Segregation (1988)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 (1965)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)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)A theory of anticipated utility (1982)Prospect theory: An analysis of decision under risk (1988)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Advances in prospect theory: Cumulative representation of uncertainty (1992)Individual differences in reasoning: Implications for the rationality debate? (2000)Subjective probability and expected utility without additivity (2004)Time-inconsistent Preferences and Consumer Self-Control (1991)A Cross-Cultural Study on Escalation of Commitment Behavior in Software Projects1 (2000)The Expected Utility Model: Its Variants, Purposes, Evidence and Limitations (2007)Theory of games and economic behavior (2019)On the Measurement of Poverty (1987)An Engine, Not a Camera (2006)Bank activity and funding strategies: The impact on risk and returns☆ (2010)Poverty: An Ordinal Approach to Measurement (1976)“Effective” Number of Parties (1979)Inequality and Growth in a Panel of Countries (2000)The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)Theory of Financial Decision Making. (1988)Decomposable Income Inequality Measures (1979)THE LAW OF CRIME CONCENTRATION AND THE CRIMINOLOGY OF PLACE* (2015)Contest success functions (1996)Handbook on Constructing Composite Indicators (2005)Tools for Composite Indicators Building (2005)
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References

  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1970On the measurement of inequality6,456 cited
  • 1973On Economic Inequality3,429 cited
  • 1952Safety First and the Holding of Assets2,537 cited
  • 1987The Dual Theory of Choice under Risk2,426 cited
  • 1969Economics and Information Theory2,117 cited
  • 1990Foundations of Measurement1,953 cited
  • 1982"Expected Utility" Analysis without the Independence Axiom1,518 cited
  • 1920The Measurement of the Inequality of Incomes1,498 cited
  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 1989Foundations for Financial Economics.831 cited
  • 1977Capital market equilibrium in a mean-lower partial moment framework821 cited
  • 1983On an Extension of the Gini Inequality Index608 cited
  • 1989Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence480 cited
  • 1978Safety-First, Stochastic Dominance, and Optimal Portfolio Choice277 cited
  • 1976Linear Measures of Income Inequality262 cited

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Cited by

  • 2018Omega Performance Measure and Portfolio Insurance67 cited
  • 2009Distortion Risk Measures in Portfolio Optimization58 cited
  • 2012A decision-theoretic foundation for reward-to-risk performance measures54 cited
  • 2011Constructing 130/30-portfolios with the Omega ratio40 cited
  • 2005Zur Messung von Risiko2 cited