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On the equivalence of quadratic optimization problems commonly used in portfolio theory
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On the equivalence of quadratic optimization problems commonly used in portfolio theory (2013)On the equivalence of quadratic optimizat…Portfolio Choice Problems (2010)Portfolio Choice ProblemsDynamic Portfolio Selection by Augmenting the Asset Space (2006)Dynamic Portfolio Selection b…Distributional properties of portfolio weights (2005)Distributional properties of …A geometric approach to multiperiod mean variance optimization of assets and liabilities (2003)A geometric approach to multi…Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…The Sampling Error in Estimates of Mean‐Variance Efficient Portfolio Weights (1999)The Sampling Error in Estimat…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Theory of Financial Decision Making. (1988)Theory of Financial Decision …Mean-Variance Versus Direct Utility Maximization (1984)Mean-Variance Versus Direct U…Foundations of Finance. (1977)Foundations of Finance.Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…An Analytic Derivation of the Efficient Portfolio Frontier (1972)An Analytic Derivation of the…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*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)Theory of games and economic behavior (2019)Aspects of the Theory of Risk-Bearing. (1966)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Portfolio Selection: Efficient Diversification of Investments (1959)A Note on Uncertainty and Indifference Curves (1969)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)Editor's Choice Digesting Anomalies: An Investment ApproachCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)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)Value versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)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)On the measurement of inequality (1970)The arbitrage theory of capital asset pricing (1976)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1977Foundations of Finance.1,128 cited
  • 1972An Analytic Derivation of the Efficient Portfolio Frontier1,039 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 1984Mean-Variance Versus Direct Utility Maximization527 cited
  • 1999The Sampling Error in Estimates of Mean‐Variance Efficient Portfolio Weights472 cited
  • 2010Portfolio Choice Problems325 cited
  • 2006Dynamic Portfolio Selection by Augmenting the Asset Space230 cited
  • 2005Distributional properties of portfolio weights212 cited
  • 2003A geometric approach to multiperiod mean variance optimization of assets and liabilities

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