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Warning: Physics Envy May be Hazardous to Your Wealth! · Study

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PreprintWarning: Physics Envy May be Hazardous to Your Wealth!

Andrew W. Lo2010

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Preprintgreen2010

Warning: Physics Envy May be Hazardous to Your Wealth!

Andrew W. Lo · Mark T. Mueller

158 citations·0/0 files stored·SSRN Electronic Journal

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Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Stochastic processes and financial applications

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1956A Contribution to the Theory of Economic Growth 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*2019Theory of games and economic behavior 1921Risk, Uncertainty and Profit 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1951Non-Cooperative Games 1975THE 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.]

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Details

Year2010

Typepreprint

Published2010-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations158

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.2139/ssrn.1563882

openalex_workW2096924070

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