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Portfolio Optimization in Practice
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(1992)The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)Time-varying correlation between stock market returns and real estate returns (2012)Macro Asset Allocation with Social Impact Investments (2019)How resilient are REITs to a pandemic? The COVID-19 effect (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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. 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(1962)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Markowitz versus Michaud: Portfolio Optimization Strategies Reconsidered (2009)Risk parity portfolio optimization under a Markov regime-switching framework (2018)Harnessing a Hybrid CNN-LSTM Model for Portfolio Performance: A Case Study on Stock Selection and Optimization (2023)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Portfolio selection in multidimensional general and partial moment space (2009)The diversification effects of volatility-related assets (2010)When Diversification Fails (2018)
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  • 2020An Entropy-Based Approach to Portfolio Optimization54 cited
  • 2022Cryptocurrencies and portfolio diversification in an emerging market53 cited

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2007
Multiperiod Mean-Variance Optimization with Intertemporal Restrictions
43 cited
  • 2002Portfolio Optimization with Constraints on Tracking Error41 cited