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More on Multidimensional Portfolio Analysis
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More on Multidimensional Portfolio Analysis (1973)More on Multidimensional Portfolio Analys…Another Look at Mutual Fund Performance (1971)Another Look at Mutual Fund P…Mutual fund liquidity timing ability in the higher moment framework (2019)Mutual fund liquidity timing …Taiwan stock market and four-moment asset pricing model (2003)Taiwan stock market and four-…International Portfolio Formation, Skewness and the Role of Gold (2003)International Portfolio Forma…The Derivation of a New Model of Equity Duration (2001)The Derivation of a New Model…Accounting for Illiquidity and Non-Normality of Returns in the Performance Assessment (2001)Accounting for Illiquidity an…Systematic skewness in futures contracts (1991)Systematic skewness in future…Risk return and the three-moment capital asset pricing model: another look (1991)Risk return and the three-mom…Equity yields in models considering higher moments of the return distribution (1988)Equity yields in models consi…The Hybrid Model and Related Approaches to Capital Market Equilibria (1986)The Hybrid Model and Related …A SIMPLIFYING PERFORMANCE MEASURE RECOGNIZING SKEWNESS (1986)A SIMPLIFYING PERFORMANCE MEA…A simple approximation for semivariance (1986)A simple approximation for se…Morphology of asset asymmetry (1980)Morphology of asset asymmetryRETURN, DISPERSION, AND SKEWNESS: SYNTHESIS AND INVESTMENT STRATEGY (1979)RETURN, DISPERSION, AND SKEWN…Stochastic Breakeven Analysis (1978)Stochastic Breakeven AnalysisSkewness and Investors' Decisions: A Reply (1975)Skewness and Investors' Decis…The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Prospect theory: An analysis of decision under risk (1988)Co-volatility and correlation clustering : a multivariate correlated ARCH framework (2001)Flow-through capability: The Spanish case (2005)Performance measurement with loss aversion (2006)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. 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References

  • 1971Another Look at Mutual Fund Performance157 cited

Cited by

  • 1986A simple approximation for semivariance68 cited
  • 2003International Portfolio Formation, Skewness and the Role of Gold60 cited
  • 1979RETURN, DISPERSION, AND SKEWNESS: SYNTHESIS AND INVESTMENT STRATEGY42 cited
  • 1988Equity yields in models considering higher moments of the return distribution39 cited
  • 1975Skewness and Investors' Decisions: A Reply33 cited
  • 1980Morphology of asset asymmetry26 cited
  • 2001The Derivation of a New Model of Equity Duration24 cited
  • 1986A SIMPLIFYING PERFORMANCE MEASURE RECOGNIZING SKEWNESS22 cited
  • 2019Mutual fund liquidity timing ability in the higher moment framework21 cited
  • 1978Stochastic Breakeven Analysis21 cited
  • 2003Taiwan stock market and four-moment asset pricing model20 cited
  • 2001Accounting for Illiquidity and Non-Normality of Returns in the Performance Assessment19 cited
  • 1991Systematic skewness in futures contracts17 cited
  • 1991Risk return and the three-moment capital asset pricing model: another look17 cited

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1986
The Hybrid Model and Related Approaches to Capital Market Equilibria
17 cited