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PORTFOLIO DISTRIBUTIONS AND TESTS OF SECURITY SELECTION MODELS* · Study

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ArticlePORTFOLIO DISTRIBUTIONS AND TESTS OF SECURITY SELECTION MODELS*

William J. Breen1968

Article1968

PORTFOLIO DISTRIBUTIONS AND TESTS OF SECURITY SELECTION MODELS*

William J. Breen

28 citations·0/0 files stored·The Journal of Finance

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Risk and Portfolio Optimization

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1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE 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.]1959Portfolio Selection: Efficient Diversification of Investments 1964Risk Aversion in the Small and in the Large 1976Risk Aversion in the Small and in the Large 1952Portfolio Selection 1963A Simplified Model for Portfolio Analysis

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Year1968

Typearticle

Published1968-12-01

VenueThe Journal of Finance

ISSN-L0022-1082

Languageen

Citations28

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1111/j.1540-6261.1968.tb00318.x

openalex_workW2058079113

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1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS 1971An Empirical Analysis of Some Aspects of Common Stock Diversification 1972ECONOMETRIC FORECASTING OF COMMON STOCK INVESTMENT RETURNS: A NEW METHODOLOGY USING FUNDAMENTAL OPERATING DATA 1979EARNINGS REPORTS AND MARKET EFFICIENCIES: AN ANALYSIS OF THE CONTRARY EVIDENCE