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Necessary and sufficient conditions for existence of an optimal portfolio
2 references·11 citing·39 second hop
Necessary and sufficient conditions for existence of an optimal portfolio (1974)Necessary and sufficient conditions for e…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Production under uncertainty and choice under uncertainty in the emergence of generalized expected utility theory (2022)Production under uncertainty …Silence can be golden: On the value of allowing managers to keep silent when information is soft (2021)Silence can be golden: On the…Stochastic programs without duality gaps (2012)Stochastic programs without d…Convex Duality in Stochastic Optimization and Mathematical Finance (2011)Convex Duality in Stochastic …The Optimality of Simple Contracts: Moral Hazard and Loss Aversion (2008)The Optimality of Simple Cont…On Optimal Contracting with Subjective Evaluation (2001)On Optimal Contracting with S…Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities (1993)Mean-risk analysis of risk av…Some Results on Comparative Statics under Uncertainty (1987)Some Results on Comparative S…Portfolio Selection in the Mean-Variance Model: A Note (1987)Portfolio Selection in the Me…On equilibrium in Hart's securities exchange model (1987)On equilibrium in Hart's secu…Chapter 13 On the microeconomic theory of investment under uncertainty (1982)Chapter 13 On the microeconom…Stochastic Optimal Control (1989)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Stochastic Finance (2004)Multiple-priors optimal investment in discrete time for unbounded utility function (2018)Robust Utility Maximization in Discrete-Time Markets with Friction (2018)Linear Programming under Uncertainty (1955)Linear Programming Under Uncertainty (2004)Lectures on Stochastic Programming (2009)Dual representation of superhedging costs in illiquid markets (2011)Liquidity Preference as Behavior Towards Risk (1958)The Efficiency Analysis of Choices Involving Risk (1969)An Analytic Derivation of the Efficient Portfolio Frontier (1972)Capital Market Equilibrium with Restricted Borrowing (1972)The Rationale of the Mean-Standard Deviation Analysis, Skewness Preference, and the Demand for Money (1989)Positive Prices in CAPM (1992)Conditions for a CAPM equilibrium with positive prices (2007)PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS1 (1996)Stochastic orders and their applications in financial optimization (1999)Statistical estimation of composite risk functionals and risk optimization problems (2016)Theory of games and economic behavior (2019)Existence of an Equilibrium for a Competitive Economy (1954)Core and Equilibria of a Large Economy. (1975)Existence of an equilibrium for a competitive economy (2008)OVERLAPPING SETS OF PRIORS AND THE EXISTENCE OF EFFICIENT ALLOCATIONS AND EQUILIBRIA FOR RISK MEASURES (2010)Moral Hazard and Observability (1979)Equilibrium Unemployment as a Worker Discipline Device (1986)Multitask Principal–Agent Analyses: Incentive Contracts, Asset Ownership, and Job Design (1991)Optimal Contracts, Adverse Selection, and Social Preferences: An Experiment (2000)The Rise of Individual Performance Pay (2012)Credence Goods, Costly Diagnosis and Subjective Evaluation (2017)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)On the measurement of inequality (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)The arbitrage theory of capital asset pricing (1976)
this work references cited by second hop

References

  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited

Cited by

  • 1987On equilibrium in Hart's securities exchange model74 cited
  • 2001On Optimal Contracting with Subjective Evaluation68 cited
  • 1993Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities65 cited
  • 1987Some Results on Comparative Statics under Uncertainty65 cited
  • 2011Convex Duality in Stochastic Optimization and Mathematical Finance50 cited
  • 1987Portfolio Selection in the Mean-Variance Model: A Note42 cited
  • 2012Stochastic programs without duality gaps38 cited
  • 1982Chapter 13 On the microeconomic theory of investment under uncertainty28 cited
  • 2021Silence can be golden: On the value of allowing managers to keep silent when information is soft19 cited
  • 2008The Optimality of Simple Contracts: Moral Hazard and Loss Aversion6 cited
  • 2022Production under uncertainty and choice under uncertainty in the emergence of generalized expected utility theory2 cited

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