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Mean-Semivariance Behavior (Ii): The D-Capm
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Mean-Semivariance Behavior (Ii): The D-Capm (2002)Mean-Semivariance Behavior (Ii): The D-Ca…Systematic risk in emerging markets: the D-CAPM (2002)Systematic risk in emerging m…The Cost of Equity in Emerging Markets: A Downside Risk Approach (Ii) (2001)The Cost of Equity in Emergin…Managing downside risk in financial markets (2001)Managing downside risk in fin…Prospect Theory: An Analysis of Decision under Risk (2000)Prospect Theory: An Analysis …A Brief History of Downside Risk Measures (1999)A Brief History of Downside R…GLOBALIZATION OF CAPITAL MARKETS AND THE COST OF CAPITAL: THE CASE OF NESTLÉ (1995)GLOBALIZATION OF CAPITAL MARK…Foundations of Portfolio Theory (1991)Foundations of Portfolio Theo…Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence (1989)Asset Pricing in a Generalize…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …Approximating Expected Utility by a Function of Mean and Variance (1979)Approximating Expected Utilit…Capital market equilibrium in a mean-lower partial moment framework (1977)Capital market equilibrium in…Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance (1974)Toward the Development of an …The Cross-Section of Expected Stock Returns (1992)Time‐Varying World Market Integration (1995)Conditional Skewness in Asset Pricing Tests (2000)Liquidity and stock returns in emerging equity markets (2003)The Drivers of Expected Returns in International Markets (2005)Risk Measures for Hedge Funds: a Cross‐sectional Approach (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)Equilibrium in a Capital Asset Market (1966)Safety-First, Stochastic Dominance, and Optimal Portfolio Choice (1978)Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis (2002)The 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)Gain, Loss, and Asset Pricing (2000)ESG shareholder engagement and downside risk (2023)A BEHAVIORAL MODEL OF RATIONAL CHOICE (1955)Mean-semivariance behavior: Downside risk and capital asset pricing (2005)Mean-Semivariance Optimization: A Heuristic Approach (2007)Theory of games and economic behavior (2019)Prospect theory: An analysis of decision under risk (1988)Oil prices and transport sector returns: an international analysis (2009)PORTFOLIO SELECTION* (1952)Commissioned Paper: Capacity Management, Investment, and Hedging: Review and Recent Developments (2003)The Adaptive Markets Hypothesis (2004)The Failure of Risk Management: Why It's Broken and How to Fix It (2009)Liquidity Preference as Behavior Towards Risk (1958)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1976)Mean-Variance Versus Direct Utility Maximization (1984)60 Years of portfolio optimization: Practical challenges and current trends (2013)DOWNSIDE RISK IMPLICATIONS OF MULTINATIONALITY AND INTERNATIONAL JOINT VENTURES. (2000)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)The Framing of Decisions and the Psychology of Choice (1981)Advances in prospect theory: Cumulative representation of uncertainty (1992)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Linking Measured Risk Aversion to Individual Characteristics (2002)Long–Term Orientation and Intertemporal Choice in Family Firms (2011)What you Should Know about Megaprojects and Why: An Overview (2014)
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References

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  • 1995GLOBALIZATION OF CAPITAL MARKETS AND THE COST OF CAPITAL: THE CASE OF NESTLÉ103 cited
  • 2001Managing downside risk in financial markets75 cited

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