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The Fundamental Theorem of Parameter-Preference Security Valuation
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The Fundamental Theorem of Parameter-Preference Security Valuation (1973)The Fundamental Theorem of Parameter-Pref…Portfolio Theory and Capital Markets. (1972)Portfolio Theory and Capital …Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry (2016)Why Invest in Emerging Market…Stock Options as Lotteries (2014)Stock Options as LotteriesImproving Portfolio Selection Using Option-Implied Volatility and Skewness (2013)Improving Portfolio Selection…Optimal Portfolio Allocation under Higher Moments (2006)Optimal Portfolio Allocation …Empirical distributions of stock returns: between the stretched exponential and the power law? 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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

  • 1972Essays in the Theory of Risk-Bearing.3,991 cited
  • 1972Portfolio Theory and Capital Markets.1,221 cited

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  • 1983Comparison of Alternative Utility Functions in Portfolio Selection Problems

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