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Empirical Studies in Portfolio Performance Using Higher Degrees of Stochastic Dominance
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Empirical Studies in Portfolio Performance Using Higher Degrees of Stochastic Dominance (1980)Empirical Studies in Portfolio Performanc…Third-Degree Stochastic Dominance (2016)Third-Degree Stochastic Domin…The Efficiency Analysis of Choices Involving Risk (2013)The Efficiency Analysis of Ch…Approximating Expected Utility by a Function of Mean and Variance (1979)Approximating Expected Utilit…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Optimal rules for ordering uncertain prospects (1975)Optimal rules for ordering un…Models of Capital Budgeting, E-V Vs E-S (1970)Models of Capital Budgeting, …The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Rules for Ordering Uncertain Prospects (1969)Rules for Ordering Uncertain …RISK AND THE REQUIRED RETURN ON EQUITY (1967)RISK AND THE REQUIRED RETURN …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Admissibility and Measurable Utility Functions (1962)Admissibility and Measurable …Portfolio Selection: Efficient Diversification of Investments. (1960)Portfolio Selection: Efficien…Criteria for Choice Among Risky Ventures (1959)Criteria for Choice Among Ris…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*On the measurement of inequality (1970)On Economic Inequality (1973)A theory of anticipated utility (1982)Theory of games and economic behavior (2019)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Conditional Skewness in Asset Pricing Tests (2000)… and the Cross-Section of Expected Returns (2015)The Utility Analysis of Choices Involving Risk (1948)Stochastic Dominance and Expected Utility: Survey and Analysis (1992)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Liquidity Preference as Behavior Towards Risk (1958)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 effect of estimation risk on optimal portfolio choice (1976)Capital market equilibrium in a mean-lower partial moment framework (1977)Chapter 2 Measurement of inequality (2000)Portfolio selection and skewness: Evidence from international stock markets (1997)Optimal Portfolio Allocation under Higher Moments (2006)Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns (2008)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)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)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 arbitrage theory of capital asset pricing (1976)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 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
  • 1975Optimal rules for ordering uncertain prospects860 cited
  • 1967RISK AND THE REQUIRED RETURN ON EQUITY666 cited
  • 1960Portfolio Selection: Efficient Diversification of Investments.582 cited
  • 1962Admissibility and Measurable Utility Functions559 cited
  • 2016Third-Degree Stochastic Dominance483 cited
  • 1959Criteria for Choice Among Risky Ventures401 cited
  • 2013The Efficiency Analysis of Choices Involving Risk205 cited
  • 1970Models of Capital Budgeting, E-V Vs E-S197 cited

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