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Time to wealth goals in capital accumulation
16 references·2 citing·26 second hop
Time to wealth goals in capital accumulation (2005)Time to wealth goals in capital accumulat…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Dual Stochastic Dominance and Related Mean-Risk Models (2002)Dual Stochastic Dominance and…Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Value-at-Risk-Based Risk Mana…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent Measures of Risk (1999)Coherent Measures of RiskThe Econometrics of Financial Markets (1997)The Econometrics of Financial…Value at risk: the new benchmark for controlling market risk (1996)Value at risk: the new benchm…The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)The Effect of Errors in Means…Continuous-Time Finance. (1991)Continuous-Time Finance.Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Mean-Variance Analysis in Por…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Factor Analysis as a Statistical Method. (1973)Factor Analysis as a Statisti…Factor Analysis as a Statistical Method. (1972)Factor Analysis as a Statisti…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Portfolio Selection (1952)Portfolio SelectionProjective Capital Asset Pricing Model (2022)Projective Capital Asset Pric…Robust Growth-Optimal Portfolios (2015)Robust Growth-Optimal Portfol…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Conditional value-at-risk for general loss distributions (2002)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Theory and Applications of Robust Optimization (2010)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)An Engine, Not a Camera (2006)Inferential Theory for Factor Models of Large Dimensions (2003)Handbook on Constructing Composite Indicators (2005)Panel Data Models With Interactive Fixed Effects (2009)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)The Capital Asset Pricing Model: Theory and Evidence (2004)On the measurement of inequality (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)The arbitrage theory of capital asset pricing (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1952Portfolio Selection4,609 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1972Factor Analysis as a Statistical Method.1,471 cited
  • 1989Mean-Variance Analysis in Portfolio Choice and Capital Markets.1,160 cited
  • 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
  • 1996Value at risk: the new benchmark for controlling market risk1,018 cited
  • 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices834 cited
  • 1973Factor Analysis as a Statistical Method.730 cited
  • 2002Dual Stochastic Dominance and Related Mean-Risk Models496 cited

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  • 2015Robust Growth-Optimal Portfolios56 cited
  • 2022Projective Capital Asset Pricing Model1 cited