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In which financial markets do mutual fund theorems hold true?
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In which financial markets do mutual fund theorems hold true? (2008)In which financial markets do mutual fund…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…The Mathematics of Arbitrage (2005)The Mathematics of ArbitrageThe asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Mutual fund separation in financial theory—The separating distributions (1978)Mutual fund separation in fin…The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds (1970)The structure of investor pre…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…A Revision of Demand Theory. (1957)A Revision of Demand Theory.Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)The Pricing of Options and Corporate Liabilities (1973)Theory of rational option pricing (2005)Tails, Fears, and Risk Premia (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Common risk factors in the returns on stocks and bonds (1993)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Implied Binomial Trees (1994)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)The Adaptive Markets Hypothesis (2004)
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References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market797 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 1970The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds434 cited
  • 1957A Revision of Demand Theory.398 cited
  • 1978Mutual fund separation in financial theory—The separating distributions

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345 cited
  • 2005The Mathematics of Arbitrage344 cited
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