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Risk sensitive asset allocation
16 references·4 citing·36 second hopsampled
Risk sensitive asset allocation (2000)Risk sensitive asset allocationEstimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach (1999)Estimating Portfolio and Cons…Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Consumption and Portfolio Dec…Strategic asset allocation (1997)Strategic asset allocationStock Return Predictability and The Role of Monetary Policy (1997)Stock Return Predictability a…Introduction to Mathematical Finance: Discrete Time Models (1997)Introduction to Mathematical …Theory of incomplete markets (1996)Theory of incomplete marketsOn the Predictability of Stock Returns: An Asset‐Allocation Perspective (1996)On the Predictability of Stoc…Dynamic Nonmyopic Portfolio Behavior (1996)Dynamic Nonmyopic Portfolio B…Predictability of Stock Returns: Robustness and Economic Significance (1995)Predictability of Stock Retur…OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS (1993)OPTIMAL INVESTMENT STRATEGIES…A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)A Stochastic Calculus Model o…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates (2007)Solving long term optimal inv…Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation (2005)Risk Sensitive Portfolio Mana…Risk-Sensitive ICAPM With Application to Fixed-Income Management (2004)Risk-Sensitive ICAPM With App…Economic Properties of the Risk Sensitive Criterion for Portfolio Management (2003)Economic Properties of the Ri…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Asset Pricing at the Millennium (2000)Robust Portfolio Rules and Asset Pricing (2004)Portfolio Selection in Stochastic Environments (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)Essays in the Theory of Risk-Bearing. (1972)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Common risk factors in the returns on stocks and bonds (1993)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Economic Forces and the Stock Market (1986)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Conditioning Variables and the Cross Section of Stock Returns (1999)International evidence on ethical mutual fund performance and investment style (2004)Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis (2006)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 Cross-Section of Expected Stock Returns (1992)The equity premium: A puzzle (1985)Stock Return Predictability: Is it There? (2001)Bad Beta, Good Beta (2004)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)The arbitrage theory of capital asset pricing (1976)The theory and practice of econometrics (1986)Optimal Portfolio Choice with Parameter Uncertainty (2007)Manager sentiment and stock returns (2018)
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References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1999Consumption and Portfolio Decisions when Expected Returns are Time Varying1,035 cited
  • 1995Predictability of Stock Returns: Robustness and Economic Significance1,034 cited
  • 1996Dynamic Nonmyopic Portfolio Behavior747 cited
  • 1997Strategic asset allocation730 cited
  • 1996On the Predictability of Stock Returns: An Asset‐Allocation Perspective730 cited
  • 1996Theory of incomplete markets584 cited
  • 1997Stock Return Predictability and The Role of Monetary Policy541 cited
  • 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios540 cited
  • 1997Introduction to Mathematical Finance: Discrete Time Models425 cited
  • 1999Estimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach404 cited

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  • 1993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS384 cited
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    • 2003Economic Properties of the Risk Sensitive Criterion for Portfolio Management53 cited
    • 2004Risk-Sensitive ICAPM With Application to Fixed-Income Management42 cited
    • 2005Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation40 cited
    • 2007Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates36 cited