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Portfolio selection in multidimensional general and partial moment space
16 references·4 citing·37 second hop
Portfolio selection in multidimensional general and partial moment space (2009)Portfolio selection in multidimensional g…Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)Nonlinear Pricing Kernels, Ku…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…A general methodology for bootstrapping in non-parametric frontier models (2000)A general methodology for boo…The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)The Effect of Errors in Means…Foundations of Portfolio Theory (1991)Foundations of Portfolio Theo…A Theory of Disappointment Aversion (1991)A Theory of Disappointment Av…Precautionary Saving in the Small and in the Large (1990)Precautionary Saving in the S…Precautionary Saving in the Small and in the Large (1989)Precautionary Saving in the S…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …On The Direction of Preference for Moments of Higher Order Than The Variance (1980)On The Direction of Preferenc…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Optimal rules for ordering uncertain prospects (1975)Optimal rules for ordering un…Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Risk Analysis with Risk …Portfolio Selection (1952)Portfolio SelectionSpillovers beyond the variance: Exploring the higher order risk linkages between commodity markets and global financial markets (2022)Spillovers beyond the varianc…The performance of US equity mutual funds (2015)The performance of US equity …Portfolio selection with skewness: A comparison of methods and a generalized one fund result (2013)Portfolio selection with skew…Portfolio performance gauging in discrete time using a Luenberger productivity indicator (2010)Portfolio performance gauging…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)… and the Cross-Section of Expected Returns (2015)Disappointment in Decision Making Under Uncertainty (1985)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Risk, Ambiguity, and the Savage Axioms (1961)Judgment under Uncertainty: Heuristics and Biases (1975)The Framing of Decisions and the Psychology of Choice (1981)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)Editor's Choice Digesting Anomalies: An Investment ApproachTHE 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)Value versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)Saving and Uncertainty: The Precautionary Demand for Saving (1968)Uninsured Idiosyncratic Risk and Aggregate Saving (1994)The analysis of household surveys (1997)Aspects of the Theory of Risk-Bearing. (1966)Risk Aversion in the Small and in the Large (1976)Time-inconsistent Preferences and Consumer Self-Control (1991)A Cross-Cultural Study on Escalation of Commitment Behavior in Software Projects1 (2000)The Expected Utility Model: Its Variants, Purposes, Evidence and Limitations (2007)Understanding Consumption (1992)Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Advances in prospect theory: Cumulative representation of uncertainty (1992)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)
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References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1952Portfolio Selection4,609 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1990Precautionary Saving in the Small and in the Large1,850 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1989Precautionary Saving in the Small and in the Large1,498 cited
  • 1991A Theory of Disappointment Aversion1,343 cited
  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
  • 2000A general methodology for bootstrapping in non-parametric frontier models1,152 cited
  • 1991Foundations of Portfolio Theory1,129 cited
  • 1975Optimal rules for ordering uncertain prospects860 cited
  • 2002Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns840 cited
  • 1980

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On The Direction of Preference for Moments of Higher Order Than The Variance
737 cited

Cited by

  • 2015The performance of US equity mutual funds39 cited
  • 2013Portfolio selection with skewness: A comparison of methods and a generalized one fund result38 cited
  • 2010Portfolio performance gauging in discrete time using a Luenberger productivity indicator33 cited
  • 2022Spillovers beyond the variance: Exploring the higher order risk linkages between commodity markets and global financial markets30 cited