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Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities
16 references·6 citing·31 second hop
Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities (1993)Mean-risk analysis of risk aversion and w…Theory of games and economic behavior (2019)Theory of games and economic …Stochastic Dominance and Expected Utility: Survey and Analysis (1992)Stochastic Dominance and Expe…Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION (1990)PIECEWISE LINEAR RISK FUNCTIO…Choosing Between Risky Prospects: The Characterization of Comparative Statics Results, and Location Independent Risk (1989)Choosing Between Risky Prospe…Theory of Financial Decision Making. (1988)Theory of Financial Decision …Comparison Methods for Queues and Other Stochastic Models. (1986)Comparison Methods for Queues…Comparison Methods for Queues and Other Stochastic Models (1984)Comparison Methods for Queues…Comparison of Alternative Utility Functions in Portfolio Selection Problems (1983)Comparison of Alternative Uti…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk (1976)Optimal Portfolios with One S…A Comparative Statics Analysis of Risk Premiums (1973)A Comparative Statics Analysi…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Statistical estimation of composite risk functionals and risk optimization problems (2016)Statistical estimation of com…A decision-theoretic foundation for reward-to-risk performance measures (2012)A decision-theoretic foundati…Kusuoka representation of higher order dual risk measures (2010)Kusuoka representation of hig…An enhanced model for portfolio choice with SSD criteria: a constructive approach (2010)An enhanced model for portfol…Stochastic orders and their applications in financial optimization (1999)Stochastic orders and their a…PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS1 (1996)PORTFOLIO SELECTION PROBLEMS …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Post-'87 crash fears in the S&P 500 futures option market (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)Heuristics for cardinality constrained portfolio optimisation (2000)Portfolio optimization with conditional value-at-risk objective and constraints (2001)The Utility Analysis of Choices Involving Risk (1948)Rules for Ordering Uncertain Prospects (1969)On the measurement of inequality (1970)Optimal rules for ordering uncertain prospects (1975)Prospect theory: An analysis of decision under risk (1988)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Dual Stochastic Dominance and Related Mean-Risk Models (2002)Moral Hazard and Observability (1979)The New Institutional Economics: Taking Stock, Looking Ahead (2000)Dynamic server allocation to parallel queues with randomly varying connectivity (1993)Stability, queue length, and delay of deterministic and stochastic queueing networks (1994)Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)Toward a positive theory of consumer choice (1980)Non-cooperative games (1989)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)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)
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References

  • 2019Theory of games and economic behavior16,630 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1972Essays in the Theory of Risk-Bearing.3,991 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1986Comparison Methods for Queues and Other Stochastic Models.938 cited
  • 1992Stochastic Dominance and Expected Utility: Survey and Analysis843 cited
  • 1984Comparison Methods for Queues and Other Stochastic Models720 cited
  • 1983Comparison of Alternative Utility Functions in Portfolio Selection Problems202 cited
  • 1990PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION173 cited
  • 1976Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk171 cited
  • 1989Choosing Between Risky Prospects: The Characterization of Comparative Statics Results, and Location Independent Risk142 cited

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  • 1973A Comparative Statics Analysis of Risk Premiums135 cited
  • Cited by

    • 1999Stochastic orders and their applications in financial optimization59 cited
    • 2016Statistical estimation of composite risk functionals and risk optimization problems58 cited
    • 1996PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS157 cited
    • 2012A decision-theoretic foundation for reward-to-risk performance measures54 cited
    • 2010An enhanced model for portfolio choice with SSD criteria: a constructive approach53 cited
    • 2010Kusuoka representation of higher order dual risk measures43 cited