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A Discretionary Wealth Approach for Investment Policy
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A Discretionary Wealth Approach for Investment Policy (2009)A Discretionary Wealth Approach for Inves…Portfolio selection with higher moments (2010)Portfolio selection with high…Portfolio Optimization with Mental Accounts (2010)Portfolio Optimization with M…Robust Portfolio Optimization and Management (2007)Robust Portfolio Optimization…Optimal Portfolio Choice with Parameter Uncertainty (2007)Optimal Portfolio Choice with…Risk and Asset Allocation (2005)Risk and Asset AllocationEfficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation. (2001)Efficient Asset Management: A…Theory of constant proportion portfolio insurance (1992)Theory of constant proportion…Global Portfolio Optimization (1992)Global Portfolio OptimizationContinuous-Time Finance. (1991)Continuous-Time Finance.Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods (1990)Asset Pricing and Optimal Por…Dynamic Strategies for Asset Allocation (1988)Dynamic Strategies for Asset …Bayes-Stein Estimation for Portfolio Analysis (1986)Bayes-Stein Estimation for Po…The Strong Case for the Generalized Logarithmic Utility Model as the Premier Model of Financial Markets (1976)The Strong Case for the Gener…THE STRONG CASE FOR THE GENERALIZED LOGARITHMIC UTILITY MODEL AS THE PREMIER MODEL OF FINANCIAL MARKETS (1976)THE STRONG CASE FOR THE GENER…Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods (1974)Fallacy of the log-normal app…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Optimum consumption and portfolio rules in a continuous-time model (1971)Brownian Motion and Stochastic Flow Systems. 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(1972)Optimal Portfolio Allocation under Higher Moments (2006)Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns (2007)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)An Engine, Not a Camera (2006)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)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)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Optimization Methods in Finance (2006)Robust portfolios: contributions from operations research and finance (2009)RCMARS: Robustification of CMARS with different scenarios under polyhedral uncertainty set (2011)
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References

  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1992Global Portfolio Optimization1,846 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1986Bayes-Stein Estimation for Portfolio Analysis960 cited
  • 2007Optimal Portfolio Choice with Parameter Uncertainty704 cited
  • 2010Portfolio selection with higher moments535 cited
  • 1990Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods518 cited
  • 1988Dynamic Strategies for Asset Allocation498 cited
  • 1992Theory of constant proportion portfolio insurance403 cited
  • 2007Robust Portfolio Optimization and Management402 cited
  • 2005Risk and Asset Allocation399 cited
  • 2001Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation.293 cited
  • 2010Portfolio Optimization with Mental Accounts277 cited
  • 1974Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods266 cited
  • 1976THE STRONG CASE FOR THE GENERALIZED LOGARITHMIC UTILITY MODEL AS THE PREMIER MODEL OF FINANCIAL MARKETS212 cited
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The Strong Case for the Generalized Logarithmic Utility Model as the Premier Model of Financial Markets
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