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Portfolio Efficient Sets
5 references·7 citing·35 second hop
Portfolio Efficient Sets (1982)Portfolio Efficient SetsMutual fund separation in financial theory—The separating distributions (1978)Mutual fund separation in fin…A Simple Approach to the Valuation of Risky Streams (1978)A Simple Approach to the Valu…THE CAPITAL ASSET PRICING MODEL (CAPM), SHORT‐SALE RESTRICTIONS AND RELATED ISSUES (1977)THE CAPITAL ASSET PRICING MOD…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…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…A Portfolio Optimality Test Based on the First-Order Stochastic Dominance Criterion (2009)A Portfolio Optimality Test B…Rationalizing Constrained Contingent Claims (2007)Rationalizing Constrained Con…Theory of Valuation: Overview and Recent Developments (2005)Theory of Valuation: Overview…Portfolio Choice Theory with Non-Gaussian Distributed Returns (2003)Portfolio Choice Theory with …Portfolio selection with stable distributed returns (2002)Portfolio selection with stab…Revealed preference and portfolio choice (1993)Revealed preference and portf…Arbitrage (1987)ArbitragePORTFOLIO SELECTION* (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)Optimal asset allocation aid system: From “one-size” vs “tailor-made” performance ratio (2007)The equity premium: A puzzle (1985)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)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)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets and Martingales (1989)Gain, Loss, and Asset Pricing (2000)Jump risk, stock returns, and slope of implied volatility smile (2010)Risk, Uncertainty and Profit (1921)Intertemporal Asset Pricing with Heterogeneous Consumers and Without Demand Aggregation (1982)A unified beta pricing theory (1984)Modern portfolio theory, 1950 to date (2011)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)A Test of the Efficiency of a Given Portfolio (1989)Myopic Loss Aversion and the Equity Premium Puzzle (1995)Monte Carlo Methods in Financial Engineering (2003)Diversification-consistent data envelopment analysis with general deviation measures (2012)Robustness of optimal portfolios under risk and stochastic dominance constraints (2013)A general test for SSD portfolio efficiency (2014)Theory of Rational Option Pricing (1973)Short Interest: Explanations and Tests (1990)The Risk Exposure of Emerging Equity Markets (1995)Exponent of Cross‐Sectional Dependence: Estimation and Inference (2015)
this work references cited by second hop

References

  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1978A Simple Approach to the Valuation of Risky Streams578 cited
  • 1978Mutual fund separation in financial theory—The separating distributions345 cited
  • 1977THE CAPITAL ASSET PRICING MODEL (CAPM), SHORT‐SALE RESTRICTIONS AND RELATED ISSUES225 cited

Cited by

  • 2009A Portfolio Optimality Test Based on the First-Order Stochastic Dominance Criterion47 cited
  • 2003Portfolio Choice Theory with Non-Gaussian Distributed Returns43 cited
  • 2002Portfolio selection with stable distributed returns37 cited
  • 2005Theory of Valuation: Overview and Recent Developments24 cited
  • 1987Arbitrage24 cited
  • 1993Revealed preference and portfolio choice1 cited
  • 2007Rationalizing Constrained Contingent Claims0 cited

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