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Approximation methods for ranking risky investment alternatives
16 references·0 citing·23 second hop
Approximation methods for ranking risky investment alternatives (1995)Approximation methods for ranking risky i…Two-Moment Decision Models and Expected Utility Maximization (2016)Two-Moment Decision Models an…The Rationale of the Mean-Standard Deviation Analysis, Skewness Preference, and the Demand for Money (1989)The Rationale of the Mean-Sta…Approximating Expected Utility by a Function of Mean and Variance (1979)Approximating Expected Utilit…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments (1970)The Fundamental Approximation…On the measurement of inequality (1970)On the measurement of inequal…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Rules for Ordering Uncertain Prospects (1969)Rules for Ordering Uncertain …Mean-Variance Analysis in the Theory of Liquidity Preference and Portfolio Selection (1969)Mean-Variance Analysis in the…A Note on Uncertainty and Indifference Curves (1969)A Note on Uncertainty and Ind…Aspects of the Theory of Risk-Bearing. (1966)Aspects of the Theory of Risk…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…An Expected Gain-Confidence Limit Criterion for Portfolio Selection (1963)An Expected Gain-Confidence L…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…On Economic Inequality (1973)A theory of anticipated utility (1982)Theory of games and economic behavior (2019)The Utility Analysis of Choices Involving Risk (1948)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Optimal rules for ordering uncertain prospects (1975)Stochastic Dominance and Expected Utility: Survey and Analysis (1992)A Class of Decomposable Poverty Measures (1984)The Dimensions of Residential Segregation (1988)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Risk Aversion and Incentive Effects (2002)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)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)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)Mean-Variance Versus Direct Utility Maximization (1984)Commissioned Paper: Capacity Management, Investment, and Hedging: Review and Recent Developments (2003)60 Years of portfolio optimization: Practical challenges and current trends (2013)The arbitrage theory of capital asset pricing (1976)
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References

  • 1970On the measurement of inequality6,456 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 1966Aspects of the Theory of Risk-Bearing.1,888 cited
  • 1969Rules for Ordering Uncertain Prospects1,757 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1979Approximating Expected Utility by a Function of Mean and Variance874 cited
  • 1970The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments731 cited
  • 2016Two-Moment Decision Models and Expected Utility Maximization590 cited
  • 1963An Expected Gain-Confidence Limit Criterion for Portfolio Selection429 cited
  • 1969Mean-Variance Analysis in the Theory of Liquidity Preference and Portfolio Selection351 cited
  • 1989The Rationale of the Mean-Standard Deviation Analysis, Skewness Preference, and the Demand for Money349 cited

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  • 1969A Note on Uncertainty and Indifference Curves297 cited
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