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Another Look at Mutual Fund Performance
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Another Look at Mutual Fund Performance (1971)Another Look at Mutual Fund PerformanceRISK AND THE REQUIRED RETURN ON EQUITY (1967)RISK AND THE REQUIRED RETURN …Supply Chains Involving a Mean‐Variance‐Skewness‐Kurtosis Newsvendor: Analysis and Coordination (2020)Supply Chains Involving a Mea…A polynomial goal programming model for portfolio optimization based on entropy and higher moments (2017)A polynomial goal programming…The MAX effect: An exploration of risk and mispricing explanations (2016)The MAX effect: An exploratio…Skewness of return distribution and coefficient of risk premium (2009)Skewness of return distributi…Neural network-based mean–variance–skewness model for portfolio selection (2006)Neural network-based mean–var…Multi-moment Asset Allocation and Pricing Models (2006)Multi-moment Asset Allocation…Mean-Variance-Skewness-Kurtosis-based Portfolio Optimization (2006)Mean-Variance-Skewness-Kurtos…Portfolio performance evaluation in a mean–variance–skewness framework (2005)Portfolio performance evaluat…Mean-variance-skewness model for portfolio selection with transaction costs (2003)Mean-variance-skewness model …Mean-Variance-Skewness Model for Portfolio Selection with Transaction Costs (2002)Mean-Variance-Skewness Model …The Performance of Australian Superannuation Funds (1983)The Performance of Australian…Skewness Preference and Portfolio Choice (1982)Skewness Preference and Portf…Efficiency Analysis with Borrowing and Lending: Criteria and Their Effectiveness (1979)Efficiency Analysis with Borr…Composite Measures for the Evaluation of Investment Performance (1979)Composite Measures for the Ev…ORDERING UNCERTAIN OPTIONS WITH BORROWING AND LENDING (1978)ORDERING UNCERTAIN OPTIONS WI…PORTFOLIO EFFICIENCY ANALYSIS IN THREE MOMENTS: THE MULTIPERIOD CASE† (1975)PORTFOLIO EFFICIENCY ANALYSIS…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Optimum consumption and portfolio rules in a continuous-time model (1971)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)Time-Varying Conditional Skewness and the Market Risk Premium (2005)Canonical vine copulas in the context of modern portfolio management: Are they worth it? (2013)Portfolio Selection: Efficient Diversification of Investments (1959)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The value of coskewness in mutual fund performance evaluation (2009)A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES (2013)Measuring the efficiency of decision making units (1978)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Portfolio rebalancing model using multiple criteria (2010)An integrated multi-objective Markowitz–DEA cross-efficiency model with fuzzy returns for portfolio selection problem (2015)Data envelopment analysis in financial services: a citations network analysis of banks, insurance companies and money market funds (2016)Portfolio Selection (1952)Liquidity Preference as Behavior Towards Risk (1958)Conditional Skewness in Asset Pricing Tests (2000)Fuzzy mean–variance–skewness portfolio selection models by interval analysis (2010)Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection (2011)PORTFOLIO SELECTION* (1952)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Research Bibliography—Stochastic Dominance: A Research Bibliography (1982)Market Reaction to Quarterly Earnings' Announcements: A Stochastic Dominance Based Test of Market Efficiency (1989)On The Direction of Preference for Moments of Higher Order Than The Variance (1980)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Financial portfolio management through the goal programming model: Current state-of-the-art (2013)Evolutionary multi-objective optimization algorithms for fuzzy portfolio selection (2015)Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection and Asset Pricing (2002)Diversified models for portfolio selection based on uncertain semivariance (2016)American Economic Review (2019)Portfolio selection in multidimensional general and partial moment space (2009)Geometric representation of the mean–variance–skewness portfolio frontier based upon the shortage function (2010)Theory of games and economic behavior (2019)Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China (2019)Portfolio selection and skewness: Evidence from international stock markets (1997)Optimal Portfolio Allocation under Higher Moments (2006)Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns (2008)
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References

  • 1967RISK AND THE REQUIRED RETURN ON EQUITY666 cited

Cited by

  • 1982Skewness Preference and Portfolio Choice177 cited
  • 1975PORTFOLIO EFFICIENCY ANALYSIS IN THREE MOMENTS: THE MULTIPERIOD CASE†160 cited
  • 2005Portfolio performance evaluation in a mean–variance–skewness framework141 cited
  • 2006Neural network-based mean–variance–skewness model for portfolio selection128 cited
  • 1978ORDERING UNCERTAIN OPTIONS WITH BORROWING AND LENDING123 cited
  • 1979Composite Measures for the Evaluation of Investment Performance104 cited
  • 2003Mean-variance-skewness model for portfolio selection with transaction costs100 cited
  • 2006Mean-Variance-Skewness-Kurtosis-based Portfolio Optimization97 cited
  • 2006Multi-moment Asset Allocation and Pricing Models93 cited
  • 2009Skewness of return distribution and coefficient of risk premium87 cited
  • 2016The MAX effect: An exploration of risk and mispricing explanations85 cited
  • 2017A polynomial goal programming model for portfolio optimization based on entropy and higher moments85 cited
  • 2002Mean-Variance-Skewness Model for Portfolio Selection with Transaction Costs84 cited
  • 1979Efficiency Analysis with Borrowing and Lending: Criteria and Their Effectiveness

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78 cited
  • 2020Supply Chains Involving a Mean‐Variance‐Skewness‐Kurtosis Newsvendor: Analysis and Coordination76 cited
  • 1983The Performance of Australian Superannuation Funds74 cited