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Portfolio Evaluation and Benchmark Selection
16 references·14 citing·29 second hop
Portfolio Evaluation and Benchmark Selection (2001)Portfolio Evaluation and Benchmark Select…On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015)On Market Timing and Investme…How to Rate Management of Investment Funds (2012)How to Rate Management of Inv…Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Empirical Characteristics of …Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…Performance Persistence (1995)Performance PersistenceEconomic Forces and the Stock Market (1986)Economic Forces and the Stock…On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)On Market Timing and Investme…Measuring the efficiency of decision making units (1978)Measuring the efficiency of d…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…The Performance of Mutual Funds in the Period 1945-1964 (1968)The Performance of Mutual Fun…Equilibrium in a Capital Asset Market (1966)Equilibrium in a Capital Asse…SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)SECURITY PRICES, RISK, AND MA…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Portfolio Selection (1952)Portfolio SelectionA Hybrid MCDM Approach Using the BWM and the TOPSIS for a Financial Performance-Based Evaluation of Saudi Stocks (2024)A Hybrid MCDM Approach Using …Directional distance based diversification super-efficiency DEA models for mutual funds (2019)Directional distance based di…An ensemble approach for portfolio selection in a multi-criteria decision making framework (2019)An ensemble approach for port…Evaluation of the efficiency of European Union farms: a risk-adjusted return approach (2018)Evaluation of the efficiency …Portfolio analysis with DEA: Prior to choosing a model (2017)Portfolio analysis with DEA: …Performance evaluation of Portuguese mutual fund portfolios using the value-based DEA method (2017)Performance evaluation of Por…DEA Performance Assessment of Mutual Funds (2016)DEA Performance Assessment of…On the informativeness of persistence for evaluating mutual fund performance using partial frontiers (2013)On the informativeness of per…Mutual Funds Efficiency Measurement under Financial and Social Responsibility Criteria (2013)Mutual Funds Efficiency Measu…Mutual funds performance evaluation based on endogenous benchmarks (2010)Mutual funds performance eval…Assessing the performance of alternative investments using non-parametric efficiency measurement approaches: Is it convincing? (2009)Assessing the performance of …TSD-consistent performance assessment of mutual funds (2007)TSD-consistent performance as…Empirical Study on Chinese Mutual Funds' Performance (2007)Empirical Study on Chinese Mu…Data Envelopment Analysis (2007)Data Envelopment AnalysisThe 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)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)Industry costs of equity (1997)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)International evidence on ethical mutual fund performance and investment style (2004)On the Industry Concentration of Actively Managed Equity Mutual Funds (2005)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)The Measurement of Productive Efficiency (1957)Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis (1984)A Procedure for Ranking Efficient Units in Data Envelopment Analysis (1993)A slacks-based measure of efficiency in data envelopment analysis (2001)The Behavior of Stock-Market Prices (1965)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)An Engine, Not a Camera (2006)Does board gender diversity improve the informativeness of stock prices? (2011)… and the Cross-Section of Expected Returns (2015)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
this work references cited by second hop

References

  • 1978Measuring the efficiency of decision making units29,755 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1966Equilibrium in a Capital Asset Market4,896 cited
  • 1952Portfolio Selection4,609 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2,451 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 1968The Performance of Mutual Funds in the Period 1945-19641,708 cited
  • 2012How to Rate Management of Investment Funds1,603 cited
  • 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills1,321 cited
  • 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds1,262 cited
  • 2015On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills1,206 cited

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  • 1995Performance Persistence946 cited
  • Cited by

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    • 2009Assessing the performance of alternative investments using non-parametric efficiency measurement approaches: Is it convincing?56 cited
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    • 2013Mutual Funds Efficiency Measurement under Financial and Social Responsibility Criteria54 cited
    • 2019An ensemble approach for portfolio selection in a multi-criteria decision making framework51 cited
    • 2016DEA Performance Assessment of Mutual Funds43 cited
    • 2019Directional distance based diversification super-efficiency DEA models for mutual funds39 cited
    • 2010Mutual funds performance evaluation based on endogenous benchmarks36 cited
    • 2007TSD-consistent performance assessment of mutual funds35 cited
    • 2017Portfolio analysis with DEA: Prior to choosing a model33 cited
    • 2017Performance evaluation of Portuguese mutual fund portfolios using the value-based DEA method33 cited
    • 2013On the informativeness of persistence for evaluating mutual fund performance using partial frontiers30 cited
    • 2007Empirical Study on Chinese Mutual Funds' Performance24 cited
    • 2018Evaluation of the efficiency of European Union farms: a risk-adjusted return approach14 cited