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Emerging markets, downside risk and the asset allocation decision
16 references·5 citing·41 second hop
Emerging markets, downside risk and the asset allocation decision (2001)Emerging markets, downside risk and the a…Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies (2000)Mean Reversion across Nationa…Asset Allocation in a Downside Risk Framework (2000)Asset Allocation in a Downsid…Distributional Characteristics of Emerging Market Returns and Asset Allocation (1998)Distributional Characteristic…Emerging equity market volatility (1997)Emerging equity market volati…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Time-Varying World Market Integration (1995)Time-Varying World Market Int…The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)The Effect of Errors in Means…Asset Allocation in a Downside-Risk Framework (1991)Asset Allocation in a Downsid…The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal? (1989)The Markowitz Optimization En…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Bayes-Stein Estimation for Portfolio Analysis (1986)Bayes-Stein Estimation for Po…International Portfolio Diversification with Estimation Risk (1985)International Portfolio Diver…Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Performance Hypothesis Testin…Capital market equilibrium in a mean-lower partial moment framework (1977)Capital market equilibrium in…SURVEY OF CAPITAL BUDGETING: THEORY AND PRACTICE (1970)SURVEY OF CAPITAL BUDGETING: …Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Risk Conception and Evaluation in Taiwan Financial Markets (2014)Risk Conception and Evaluatio…Estimation of Discount Rates in Latin America: empirical evidence and challenges (2010)Estimation of Discount Rates …An Empirical Analysis of Emerging Stock Markets of Europe (2006)An Empirical Analysis of Emer…Real estate portfolio construction and estimation risk (2005)Real estate portfolio constru…Portfolio allocations and the emerging equity markets of Central Europe (2005)Portfolio allocations and the…Portfolio Selection: Efficient Diversification of Investments. (1962)International Diversification of Investment Portfolios (1970)On estimating the expected return on the market (1980)Portfolio Selection and Asset Pricing Models (2000)Stock return predictability and model uncertainty (2002)60 Years of portfolio optimization: Practical challenges and current trends (2013)An Empirical Evaluation of Accounting Income Numbers (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Construct validity of an objective (entropy) categorical measure of diversification strategy (1993)CORPORATE DIVESTITURE INTENSITY IN RESTRUCTURING FIRMS: EFFECTS OF GOVERNANCE, STRATEGY, AND PERFORMANCE. (1994)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)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)An Analytic Derivation of the Efficient Portfolio Frontier (1972)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)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Foreign Speculators and Emerging Equity Markets (2000)International Asset Allocation With Regime Shifts (2002)Does financial liberalization spur growth? (2005)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)Editor's Choice Digesting Anomalies: An Investment ApproachValue versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)Robust Portfolio Selection Problems (2003)Optimal Portfolio Choice with Parameter Uncertainty (2007)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Cross-Section of Expected Stock Returns (1992)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)An Engine, Not a Camera (2006)
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References

  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1997Emerging equity market volatility1,703 cited
  • 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1,333 cited
  • 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
  • 1986Bayes-Stein Estimation for Portfolio Analysis960 cited
  • 1981Performance Hypothesis Testing with the Sharpe and Treynor Measures860 cited
  • 1977Capital market equilibrium in a mean-lower partial moment framework821 cited
  • 1985International Portfolio Diversification with Estimation Risk672 cited
  • 1995Time-Varying World Market Integration594 cited
  • 1991Asset Allocation in a Downside-Risk Framework398 cited
  • 1998Distributional Characteristics of Emerging Market Returns and Asset Allocation397 cited
  • 1970SURVEY OF CAPITAL BUDGETING: THEORY AND PRACTICE381 cited
  • 2000Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies358 cited

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Asset Allocation in a Downside Risk Framework
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  • 2005Portfolio allocations and the emerging equity markets of Central Europe37 cited
  • 2006An Empirical Analysis of Emerging Stock Markets of Europe32 cited
  • 2005Real estate portfolio construction and estimation risk29 cited
  • 2010Estimation of Discount Rates in Latin America: empirical evidence and challenges25 cited
  • 2014Risk Conception and Evaluation in Taiwan Financial Markets0 cited