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Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
16 references·0 citing·44 second hop
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation (2007)Optimal portfolio allocation under the pr…Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Value-at-Risk-Based Risk Mana…Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program (2000)Financial Innovation and the …Ex-day behavior with dividend preference and limitations to short-term arbitrage: the case of Swedish lottery bonds (1999)Ex-day behavior with dividend…The Valuation of Nonsystematic Risks and the Pricing of Swedish Lottery Bonds (1997)The Valuation of Nonsystemati…Financial Innovation and Arbitrage Pricing in Frictional Economies (1995)Financial Innovation and Arbi…FINANCIAL INNOVATION: ACHIEVEMENTS AND PROSPECTS (1992)FINANCIAL INNOVATION: ACHIEVE…Arbitrage, Short Sales, and Financial Innovation (1991)Arbitrage, Short Sales, and F…Portfolio Insurance in Complete Markets: A Note (1989)Portfolio Insurance in Comple…Theory of Financial Decision Making. (1988)Theory of Financial Decision …Optimal Security Design (1988)Optimal Security DesignFinancial Innovation: The Last Twenty Years and the Next (1986)Financial Innovation: The Las…Who Should Buy Portfolio Insurance? (1980)Who Should Buy Portfolio Insu…Portfolio choice and equilibrium in capital markets with safety-first investors (1977)Portfolio choice and equilibr…Options and Efficiency (1976)Options and EfficiencySafety First and the Holding of Assets (1952)Safety First and the Holding …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Conditional Skewness in Asset Pricing Tests (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of games and economic behavior (2019)Expectation in Economics (1949)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)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Bank Governance, Regulation, and Risk Taking (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk Aversion in the Small and in the Large (1964)Equilibrium in a Capital Asset Market (1966)Behavioral Portfolio Theory (2000)Sensitivity analysis of Values at Risk (2000)Mean-Modified Value-at-Risk Optimization with Hedge Funds (2002)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Theory of rational option pricing (2005)The Role of Securities in the Optimal Allocation of Risk-bearing (1973)The arbitrage theory of capital asset pricing (1976)Efficiency and the Bear: Short Sales and Markets Around the World (2007)Short‐Sales Constraints and Price Discovery: Evidence from the Hong Kong Market (2007)Financial Innovation: The Bright and the Dark Sides (2012)Why There Are Organized Futures Markets (1981)A Functional Perspective of Financial Intermediation (1995)The theory of financial intermediation (1997)Technology and the regulation of financial markets : securities, futures, and banking (2003)Wages and Human Capital in the U.S. Finance Industry: 1909–2006* (2012)The Economic Theory of Agency: The Principal's Problem. (1973)Prices of State-Contingent Claims Implicit in Option Prices (1978)Recovering Risk Aversion from Option Prices and Realized Returns (2000)Demand-Based Option Pricing (2005)An Engine, Not a Camera (2006)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)On the Impossibility of Informationally Efficient Markets (1980)The Capital Structure Puzzle (1984)Was Prometheus Unbound by Chance? Risk, Diversification, and Growth (1997)The Pooling and Tranching of Securities: A Model of Informed Intermediation (2004)Asset Prices in an Exchange Economy (1978)Coherent Measures of Risk (1999)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Risks and Portfolio Decisions Involving Hedge Funds (2003)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1952PORTFOLIO SELECTION*18,429 cited
  • 1952Safety First and the Holding of Assets2,555 cited
  • 1988Theory of Financial Decision Making.1,870 cited
  • 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices858 cited
  • 1976Options and Efficiency830 cited
  • 1986Financial Innovation: The Last Twenty Years and the Next519 cited
  • 1980Who Should Buy Portfolio Insurance?392 cited
  • 1988Optimal Security Design297 cited
  • 1977Portfolio choice and equilibrium in capital markets with safety-first investors215 cited
  • 1991Arbitrage, Short Sales, and Financial Innovation162 cited
  • 1999Ex-day behavior with dividend preference and limitations to short-term arbitrage: the case of Swedish lottery bonds130 cited
  • 2000Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program123 cited
  • 1992FINANCIAL INNOVATION: ACHIEVEMENTS AND PROSPECTS121 cited
  • 1989Portfolio Insurance in Complete Markets: A Note86 cited
  • 1997The Valuation of Nonsystematic Risks and the Pricing of Swedish Lottery Bonds69 cited
  • 1995

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Financial Innovation and Arbitrage Pricing in Frictional Economies
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