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Comparison of Alternative Utility Functions in Portfolio Selection Problems
9 references·16 citing·39 second hop
Comparison of Alternative Utility Functions in Portfolio Selection Problems (1983)Comparison of Alternative Utility Functio…Decisions with Multiple Objectives: Preferences and Value Tradeoffs. (1994)Decisions with Multiple Objec…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…The Fundamental Theorem of Parameter-Preference Security Valuation (1973)The Fundamental Theorem of Pa…Experimental Evidence on Alternative Portfolio Decision Rules (1972)Experimental Evidence on Alte…An Analytic Derivation of the Efficient Portfolio Frontier (1972)An Analytic Derivation of the…The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments (1970)The Fundamental Approximation…DIVERSIFICATION AND THE REDUCTION OF DISPERSION: AN EMPIRICAL ANALYSIS* (1968)DIVERSIFICATION AND THE REDUC…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…The Introduction of Risk into a Programming Model (1956)The Introduction of Risk into…Harmful diversification: Evidence from alternative investments (2018)Harmful diversification: Evid…Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds (2013)Tri-criterion inverse portfol…Socially Responsible Investment: A multicriteria approach to portfolio selection combining ethical and financial objectives (2011)Socially Responsible Investme…Optimal hedging with higher moments (2011)Optimal hedging with higher m…Modeling supply-chain planning under demand uncertainty using stochastic programming: A survey motivated by asset–liability management (2009)Modeling supply-chain plannin…Asset pricing and portfolio selection based on the multivariate extended skew-Student-t distribution (2009)Asset pricing and portfolio s…The Innovest Austrian Pension Fund Financial Planning Model InnoALM (2008)The Innovest Austrian Pension…The Stochastic Programming Approach to Asset, Liability, and Wealth Management (2003)The Stochastic Programming Ap…Global Asset Liability Management (2003)Global Asset Liability Manage…Portfolio Selection: A Compromise Programming Solution (1996)Portfolio Selection: A Compro…Chapter 3 Capital growth theory (1995)Chapter 3 Capital growth theo…Estimation Methods in Portfolio Selection and the Effectiveness of Short Sales Restrictions: UK Evidence (1994)Estimation Methods in Portfol…Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities (1993)Mean-risk analysis of risk av…Stochastic network optimization models for investment planning (1989)Stochastic network optimizati…Mis-Specifications in Portfolio Selection Problems (1984)Mis-Specifications in Portfol…Research Bibliography—Stochastic Dominance: A Research Bibliography (1982)Research Bibliography—Stochas…Theory of Games and Economic Behavior (1945)Risk Aversion in the Small and in the Large (1964)Ethical requirement and financial interest: a literature review on socially responsible investing (2014)Integrating multiple ESG investors' preferences into sustainable investment: A fuzzy multicriteria methodological approach (2017)Essays in the Theory of Risk-Bearing. (1972)Portfolio Theory and Capital Markets. (1972)An aggregation theorem for securities markets (1974)Portfolio selection and skewness: Evidence from international stock markets (1997)Optimal Portfolio Allocation under Higher Moments (2006)Portfolio Selection: Efficient Diversification of Investments (1959)A Note on Uncertainty and Indifference Curves (1969)An Intertemporal Capital Asset Pricing Model (1973)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Theory of Financial Decision Making. (1988)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Systemic Risk and International Portfolio Choice (2004)PORTFOLIO SELECTION* (1952)Multiple criteria decision aiding for finance: An updated bibliographic survey (2015)Sustainable Operations (2016)Theory of games and economic behavior (2019)Social responsibility portfolio optimization incorporating ESG criteria (2021)The Utility Analysis of Choices Involving Risk (1948)Alternative Approaches to the Theory of Choice in Risk-Taking Situations (1951)Discount House Portfolio and Debt Selection (1970)Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming (1986)Operations Research Models and the Management of Agricultural and Forestry Resources: A Review and Comparison (2006)Determinants of bid-asked spreads in the over-the-counter market (1974)Risk and the Rate of Return on Financial Assets: Some Old Wine in New Bottles (1975)Diversification in a Three-Moment World (1978)Conjoint Analysis in Consumer Research: Issues and Outlook (1978)Risk management in a dynamic society: a modelling problem (1997)Best-worst multi-criteria decision-making method (2014)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)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)
this work references cited by second hop

References

  • 1994Decisions with Multiple Objectives: Preferences and Value Tradeoffs.8,369 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1972An Analytic Derivation of the Efficient Portfolio Frontier1,039 cited
  • 1970The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments731 cited
  • 1956The Introduction of Risk into a Programming Model614 cited
  • 1968DIVERSIFICATION AND THE REDUCTION OF DISPERSION: AN EMPIRICAL ANALYSIS*588 cited
  • 1973The Fundamental Theorem of Parameter-Preference Security Valuation447 cited
  • 1972Experimental Evidence on Alternative Portfolio Decision Rules64 cited

Cited by

  • 2011Socially Responsible Investment: A multicriteria approach to portfolio selection combining ethical and financial objectives202 cited
  • 2013Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds166 cited
  • 2003The Stochastic Programming Approach to Asset, Liability, and Wealth Management155 cited
  • 1982Research Bibliography—Stochastic Dominance: A Research Bibliography140 cited
  • 1989Stochastic network optimization models for investment planning130 cited

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  • 2009Asset pricing and portfolio selection based on the multivariate extended skew-Student-t distribution126 cited
  • 2008The Innovest Austrian Pension Fund Financial Planning Model InnoALM116 cited
  • 1996Portfolio Selection: A Compromise Programming Solution103 cited
  • 2009Modeling supply-chain planning under demand uncertainty using stochastic programming: A survey motivated by asset–liability management102 cited
  • 2003Global Asset Liability Management94 cited
  • 1994Estimation Methods in Portfolio Selection and the Effectiveness of Short Sales Restrictions: UK Evidence76 cited
  • 1995Chapter 3 Capital growth theory69 cited
  • 1984Mis-Specifications in Portfolio Selection Problems66 cited
  • 2018Harmful diversification: Evidence from alternative investments65 cited
  • 1993Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities65 cited
  • 2011Optimal hedging with higher moments64 cited