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TEST OF PORTFOLIO BUILDING RULES
13 references·7 citing·30 second hop
TEST OF PORTFOLIO BUILDING RULES (1969)TEST OF PORTFOLIO BUILDING RULESGeometric Mean Approximations of Individual Security and Portfolio Performance (1969)Geometric Mean Approximations…DIVERSIFICATION AND THE REDUCTION OF DISPERSION: AN EMPIRICAL ANALYSIS* (1968)DIVERSIFICATION AND THE REDUC…CRITERIA FOR PORTFOLIO BUILDING (1967)CRITERIA FOR PORTFOLIO BUILDI…An Empirical Evaluation of Alternative Portfolio-Selection Models (1967)An Empirical Evaluation of Al…Market and Industry Factors in Stock Price Behavior (1966)Market and Industry Factors i…The Random Character of Stock Market Prices. (1965)The Random Character of Stock…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …PORTFOLIO SELECTION AND INVESTMENT PERFORMANCE (1965)PORTFOLIO SELECTION AND INVES…Rates of Return on Investments in Common Stocks (1964)Rates of Return on Investment…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Equity Portfolio Diversification: How Many Stocks are Enough? Evidence from Five Developed Markets (2012)Equity Portfolio Diversificat…Note—Naive Diversification and Portfolio Risk—A Note (1986)Note—Naive Diversification an…On the implementation of portfolio theory: Attitudes, understanding, and application (1976)On the implementation of port…Indirect versus Direct Diversification (1974)Indirect versus Direct Divers…Stock-Market Based Measures of Corporate Diversification (1973)Stock-Market Based Measures o…Ordinal Predictions and the Selection of Common Stocks (1971)Ordinal Predictions and the S…An Empirical Analysis of Some Aspects of Common Stock Diversification (1971)An Empirical Analysis of Some…Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Diversification, Ricardian Rents, and Tobin's q (1988)The Event Study Methodology Since 1969 (1998)Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)Exposition of a New Theory on the Measurement of Risk (1954)RISK AND THE REQUIRED RETURN ON EQUITY (1967)New concepts and algorithms for portfolio choice (1992)Daniel Bernoulli (1738): evolution and economics under risk (2000)Capitalism's growth imperative (2002)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Determinants of bid-asked spreads in the over-the-counter market (1974)Risk and the Rate of Return on Financial Assets: Some Old Wine in New Bottles (1975)Diversification in a Three-Moment World (1978)The Returns and Risk of Alternative Call Option Portfolio Investment Strategies (1978)The Theory of Corporate Finance: A Historical Overview (2000)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)Capital Growth and the Mean-Variance Approach to Portfolio Selection (1971)An Empirical Study of the Interest Rate Sensitivity of Commercial Bank Returns: A Multi-Index Approach (1980)ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY (2009)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Adjustment of Stock Prices to New Information (2003)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1966Market and Industry Factors in Stock Price Behavior838 cited
  • 1968DIVERSIFICATION AND THE REDUCTION OF DISPERSION: AN EMPIRICAL ANALYSIS*588 cited
  • 1967An Empirical Evaluation of Alternative Portfolio-Selection Models275 cited
  • 1964Rates of Return on Investments in Common Stocks150 cited
  • 1969Geometric Mean Approximations of Individual Security and Portfolio Performance108 cited
  • 1965The Random Character of Stock Market Prices.93 cited
  • 1967CRITERIA FOR PORTFOLIO BUILDING74 cited
  • 1965PORTFOLIO SELECTION AND INVESTMENT PERFORMANCE60 cited

Cited by

  • 1986Note—Naive Diversification and Portfolio Risk—A Note46 cited
  • 1974Indirect versus Direct Diversification34 cited
  • 2012

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Equity Portfolio Diversification: How Many Stocks are Enough? Evidence from Five Developed Markets
27 cited
  • 1971An Empirical Analysis of Some Aspects of Common Stock Diversification25 cited
  • 1971Ordinal Predictions and the Selection of Common Stocks23 cited
  • 1973Stock-Market Based Measures of Corporate Diversification21 cited
  • 1976On the implementation of portfolio theory: Attitudes, understanding, and application0 cited