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An Analytic Derivation of the Efficient Portfolio Frontier
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An Analytic Derivation of the Efficient Portfolio Frontier (1972)An Analytic Derivation of the Efficient P…A Note on Uncertainty and Indifference Curves (1969)A Note on Uncertainty and Ind…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…WHAT DRIVES CAPITAL FLOWS TO EMERGING MARKETS? A SURVEY OF THE EMPIRICAL LITERATURE (2018)WHAT DRIVES CAPITAL FLOWS TO …Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…The relationship between risk and capital in commercial banks (1992)The relationship between risk…On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results (1991)On the Sensitivity of Mean-Va…A reexamination of mean-variance analysis of bank capital regulation (1990)A reexamination of mean-varia…Theory of Financial Decision Making. (1988)Theory of Financial Decision …Risk in Banking and Capital Regulation (1988)Risk in Banking and Capital R…Bayes-Stein Estimation for Portfolio Analysis (1986)Bayes-Stein Estimation for Po…International Portfolio Diversification with Estimation Risk (1985)International Portfolio Diver…A characterization of the distributions that imply mean—Variance utility functions (1983)A characterization of the dis…Regulation of Bank Capital and Portfolio Risk (1980)Regulation of Bank Capital an…Estimation for Markowitz Efficient Portfolios (1980)Estimation for Markowitz Effi…AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE (1978)AMBIGUITY WHEN PERFORMANCE IS…Capital market equilibrium in a mean-lower partial moment framework (1977)Capital market equilibrium in…A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…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)Adapted solution of a backward stochastic differential equation (1990)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Controlled Markov Processes and Viscosity Solutions (2005)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Risk Aversion in the Small and in the Large (1964)The Economic Theory of Agency: The Principal's Problem. (1973)Risk Aversion in the Small and in the Large (1976)Capital regulation and bank risk-taking: A note (1989)The role of capital in financial institutions (1995)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)Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence (1989)Gain, Loss, and Asset Pricing (2000)ESG shareholder engagement and downside risk (2023)Portfolio Selection (1952)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)60 Years of portfolio optimization: Practical challenges and current trends (2013)Portfolio Selection: Efficient Diversification of Investments. (1962)Statistical Decision Theory (1989)On the Predictability of Stock Returns: An Asset‐Allocation Perspective (1996)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)The Properties of Equally Weighted Risk Contribution Portfolios (2010)Safety First and the Holding of Assets (1952)Does bank capital affect lending behavior? (2004)Rethinking Bank Regulation: Till Angels Govern (2005)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)
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References

  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1969A Note on Uncertainty and Indifference Curves297 cited

Cited by

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1988Risk in Banking and Capital Regulation1,058 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 1991On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results999 cited
  • 1980Regulation of Bank Capital and Portfolio Risk973 cited
  • 1986Bayes-Stein Estimation for Portfolio Analysis960 cited
  • 1977Capital market equilibrium in a mean-lower partial moment framework821 cited
  • 1992The relationship between risk and capital in commercial banks776 cited
  • 1985International Portfolio Diversification with Estimation Risk672 cited
  • 1980Estimation for Markowitz Efficient Portfolios554 cited
  • 1978AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE

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439 cited
  • 1983A characterization of the distributions that imply mean—Variance utility functions435 cited
  • 2018WHAT DRIVES CAPITAL FLOWS TO EMERGING MARKETS? A SURVEY OF THE EMPIRICAL LITERATURE387 cited
  • 1990A reexamination of mean-variance analysis of bank capital regulation370 cited