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A Multivariate Model of Strategic Asset Allocation
16 references·16 citing·37 second hopsampled
A Multivariate Model of Strategic Asset Allocation (2001)A Multivariate Model of Strategic Asset A…The Econometrics of Financial Markets (2012)The Econometrics of Financial…The Econometrics of Financial Markets (1997)The Econometrics of Financial…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Dividend yields and expected stock returns (1988)Dividend yields and expected …The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Asset returns and inflation (1977)Asset returns and inflationAn Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Reinvestment Risk and the Equity Term Structure (2021)Reinvestment Risk and the Equ…Long-Horizon Returns (2018)Long-Horizon ReturnsPrice Pressures on UK Real Rates: An Empirical Investigation (2015)Price Pressures on UK Real Ra…Stock Return Serial Dependence and Out-of-Sample Portfolio Performance (2014)Stock Return Serial Dependenc…When Can Life Cycle Investors Benefit from Time-Varying Bond Risk Premia? (2009)When Can Life Cycle Investors…Real Estate for the Long Term: The Effect of Return Predictability on Long‐Horizon Allocations (2009)Real Estate for the Long Term…Home bias and high turnover: Dynamic portfolio choice with incomplete markets (2009)Home bias and high turnover: …Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds (2008)Inflation Bets or Deflation H…Optimal Value and Growth Tilts in Long-Horizon Portfolios (2006)Optimal Value and Growth Tilt…Asset Allocation Under Multivariate Regime Switching (2006)Asset Allocation Under Multiv…International Capital Flows, Returns and World Financial Integration (2005)International Capital Flows, …Optimal Investment for an Insurer to Minimize Its Probability of Ruin (2004)Optimal Investment for an Ins…Dynamic Portfolio Selection by Augmenting the Asset Space (2004)Dynamic Portfolio Selection b…Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors? (2003)Does the Failure of the Expec…Sequential Optimal Portfolio Performance: Market and Volatility Timing (2002)Sequential Optimal Portfolio …Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor (2001)Stock Market Mean Reversion a…Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)Aspects of the Theory of Risk-Bearing. (1966)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Rational Expectations and the Theory of Price Movements (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)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**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 Cross-Section of Expected Stock Returns (1992)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)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)Introductory Econometrics for Finance (2008)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1977Asset returns and inflation2,701 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited

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  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • Cited by

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    • 2008Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds121 cited
    • 2009Real Estate for the Long Term: The Effect of Return Predictability on Long‐Horizon Allocations119 cited
    • 2004Optimal Investment for an Insurer to Minimize Its Probability of Ruin117 cited
    • 2001Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor103 cited
    • 2006Asset Allocation Under Multivariate Regime Switching103 cited
    • 2009Home bias and high turnover: Dynamic portfolio choice with incomplete markets93 cited
    • 2006Optimal Value and Growth Tilts in Long-Horizon Portfolios87 cited
    • 2002Sequential Optimal Portfolio Performance: Market and Volatility Timing79 cited
    • 2018Long-Horizon Returns76 cited
    • 2004Dynamic Portfolio Selection by Augmenting the Asset Space72 cited
    • 2021Reinvestment Risk and the Equity Term Structure70 cited
    • 2005International Capital Flows, Returns and World Financial Integration70 cited
    • 2003Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?60 cited