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Optimum portfolio diversification in a general continuous-time model
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Optimum portfolio diversification in a general continuous-time model (1984)Optimum portfolio diversification in a ge…Stochastic Programming (2010)Stochastic ProgrammingUn Cours sur les Intégrales Stochastiques (2002)Un Cours sur les Intégrales S…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Controlled Stochastic Processes (1979)Controlled Stochastic Process…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments (1970)The Fundamental Approximation…Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions (1970)Optimal Investment and Consum…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …Optimal Multiperiod Portfolio Policies (1968)Optimal Multiperiod Portfolio…General Proof that Diversification Pays (1967)General Proof that Diversific…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Brownian Motion in the Stock Market (1959)Brownian Motion in the Stock …Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Robust Consumption and Portfolio Policies When Asset Prices Can Jump (2017)Robust Consumption and Portfo…Portfolio Choice in Markets with Contagion (2015)Portfolio Choice in Markets w…Mean–Variance portfolio selection in presence of infrequently traded stocks (2013)Mean–Variance portfolio selec…Portfolio Selection: A Review (2012)Portfolio Selection: A ReviewOn the History of the Growth-Optimal Portfolio (2012)On the History of the Growth-…Applied Intertemporal Optimization (2010)Applied Intertemporal Optimiz…Portfolio choice with jumps: a closed-form solution (2009)Portfolio choice with jumps: …Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility (2006)Controlled stochastic differe…“Itô's Lemma” and the Bellman Equation for Poisson Processes: An Applied View (2006)“Itô's Lemma” and the Bellman…Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach (2005)Worst-Case Scenario Portfolio…Systemic Risk and International Portfolio Choice (2002)Systemic Risk and Internation…Dynamic Asset Allocation With Event Risk (2002)Dynamic Asset Allocation With…Stability for multidimensional jump-diffusion processes (1999)Stability for multidimensiona…Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments (1990)Conditions for optimality in …Contingent claims valuation when the security price is a combination of an Ito process and a random point process (1988)Contingent claims valuation w…COMPOUND DISTRIBUTION MODELS OF STOCK RETURNS: AN EMPIRICAL COMPARISON (1987)COMPOUND DISTRIBUTION MODELS …Aspects of the Theory of Risk-Bearing. (1966)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)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of rational option pricing (2005)Chance-Constrained Programming (1959)Robust solutions of uncertain linear programs (1999)Optimization under uncertainty: state-of-the-art and opportunities (2003)Lectures on Stochastic Programming: Modeling and Theory (2009)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)Portfolio Analysis in a Stable Paretian Market (1965)On the Distribution of Stock Price Differences (1967)Rational Theory of Warrant Pricing (2015)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)Myopic Loss Aversion and the Equity Premium Puzzle (1993)International Asset Allocation With Regime Shifts (2002)On the measurement of inequality (1970)The arbitrage theory of capital asset pricing (1976)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 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
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 2010Stochastic Programming2,228 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 1959Brownian Motion in the Stock Market946 cited
  • 1968Optimal Multiperiod Portfolio Policies779 cited
  • 1970The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments731 cited
  • 2002Un Cours sur les Intégrales Stochastiques421 cited
  • 1967General Proof that Diversification Pays377 cited
  • 1979Controlled Stochastic Processes351 cited
  • 1970Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions

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347 cited

Cited by

  • 2015Portfolio Choice in Markets with Contagion88 cited
  • 1988Contingent claims valuation when the security price is a combination of an Ito process and a random point process86 cited
  • 2009Portfolio choice with jumps: a closed-form solution85 cited
  • 2002Dynamic Asset Allocation With Event Risk79 cited
  • 2006“Itô's Lemma” and the Bellman Equation for Poisson Processes: An Applied View68 cited
  • 2002Systemic Risk and International Portfolio Choice68 cited
  • 1987COMPOUND DISTRIBUTION MODELS OF STOCK RETURNS: AN EMPIRICAL COMPARISON63 cited
  • 2012Portfolio Selection: A Review55 cited
  • 2017Robust Consumption and Portfolio Policies When Asset Prices Can Jump52 cited
  • 2005Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach49 cited
  • 2006Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility43 cited
  • 1990Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments39 cited
  • 2013Mean–Variance portfolio selection in presence of infrequently traded stocks38 cited
  • 2012On the History of the Growth-Optimal Portfolio35 cited
  • 1999Stability for multidimensional jump-diffusion processes34 cited
  • 2010Applied Intertemporal Optimization33 cited