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ALTERNATIVE EFFICIENCY CRITERIA: AN EMPIRICAL ANALYSIS
12 references·8 citing·30 second hop
ALTERNATIVE EFFICIENCY CRITERIA: AN EMPIRICAL ANALYSIS (1970)ALTERNATIVE EFFICIENCY CRITERIA: AN EMPIR…Relative Effectiveness of Efficiency Criteria for Portfolio Selection (1970)Relative Effectiveness of Eff…Efficient Portfolio Selection with Quadratic and Cubic Utility (1970)Efficient Portfolio Selection…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Rules for Ordering Uncertain Prospects (1969)Rules for Ordering Uncertain …Mean-Variance Analysis in the Theory of Liquidity Preference and Portfolio Selection (1969)Mean-Variance Analysis in the…A Note on Indifference Curves and Uncertainty (1969)A Note on Indifference Curves…Aspects of the Theory of Risk-Bearing. (1966)Aspects of the Theory of Risk…SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)SECURITY PRICES, RISK, AND MA…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…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 SelectionStochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency (2017)Stochastic dominance via quan…Further evidence on international Islamic and conventional portfolios diversification under regime switching (2016)Further evidence on internati…Stochastic dominance analysis of CTA funds (2012)Stochastic dominance analysis…The characteristics of portfolios selected by n-degree Lower Partial Moment (1992)The characteristics of portfo…Sampling Errors and Portfolio Efficient Analysis (1980)Sampling Errors and Portfolio…Empirical Studies in Portfolio Performance Using Higher Degrees of Stochastic Dominance (1980)Empirical Studies in Portfoli…An Efficient Algorithm to Determine Stochastic Dominance Admissible Sets (1979)An Efficient Algorithm to Det…Stochastic dominance and portfolio analysis (1975)Stochastic dominance and port…On the measurement of inequality (1970)On Economic Inequality (1973)A theory of anticipated utility (1982)Theory of games and economic behavior (2019)Portfolio Analysis in a Stable Paretian Market (1965)A Model of the Demand for Money by Firms (1966)The Random Character of Stock Market Prices (1968)Entropy, market risk, and the selection of efficient portfolios (1972)On the Application of Portfolio Theory to Depository Financial Intermediaries (1974)ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY (2009)The Utility Analysis of Choices Involving Risk (1948)Optimal rules for ordering uncertain prospects (1975)Stochastic Dominance and Expected Utility: Survey and Analysis (1992)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Risk Aversion and Incentive Effects (2002)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)A UTILITY FUNCTION DEPENDING ON THE FIRST THREE MOMENTS (1969)Downside risk and asset pricing (2005)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)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)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)The arbitrage theory of capital asset pricing (1976)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1952Portfolio Selection4,609 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2,451 cited
  • 1966Aspects of the Theory of Risk-Bearing.1,888 cited
  • 1969Rules for Ordering Uncertain Prospects1,757 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1969Mean-Variance Analysis in the Theory of Liquidity Preference and Portfolio Selection351 cited
  • 1970Efficient Portfolio Selection with Quadratic and Cubic Utility146 cited
  • 1970Relative Effectiveness of Efficiency Criteria for Portfolio Selection105 cited
  • 1969A Note on Indifference Curves and Uncertainty14 cited

Cited by

  • 1980Sampling Errors and Portfolio Efficient Analysis64 cited
  • 1979An Efficient Algorithm to Determine Stochastic Dominance Admissible Sets55 cited
  • 1992The characteristics of portfolios selected by n-degree Lower Partial Moment49 cited

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  • 1980Empirical Studies in Portfolio Performance Using Higher Degrees of Stochastic Dominance42 cited
  • 1975Stochastic dominance and portfolio analysis36 cited
  • 2017Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency32 cited
  • 2012Stochastic dominance analysis of CTA funds29 cited
  • 2016Further evidence on international Islamic and conventional portfolios diversification under regime switching20 cited