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A numerical evaluation of meta-heuristic techniques in portfolio optimisation
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A numerical evaluation of meta-heuristic techniques in portfolio optimisation (2009)A numerical evaluation of meta-heuristic …Theory of games and economic behavior (2019)Theory of games and economic …UNCERTAINTY AND THE WELFARE ECONOMICS OF MEDICAL CARE (2003)UNCERTAINTY AND THE WELFARE E…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Sociobiology: The New Synthesis. (1976)Sociobiology: The New Synthes…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…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…Exposition of a New Theory on the Measurement of Risk (1954)Exposition of a New Theory on…The Theory of Games and Economic Behavior (1945)The Theory of Games and Econo…Further Higher Moments in Portfolio Selection andA PrioriDetection of Bankruptcy, Under Multi‐layer Perceptron Neural Networks, Hybrid Neuro‐genetic MLPs, and the Voted Perceptron (2015)Further Higher Moments in Por…Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Selfish Gene (1976)Normative Influences on Altruism (1977)Sex differences in human mate preferences: Evolutionary hypotheses tested in 37 cultures (1989)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Non-cooperative games (1989)Frontiers in Group Dynamics (1947)A Method for Evaluating the Distribution of Power in a Committee System (1954)Measurement of health state utilities for economic appraisal (1986)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)The Cross-Section of Expected Stock Returns (1992)Health insurance and the demand for medical care: evidence from a randomized experiment. (1987)The Theory of Incentives: The Principal-Agent Model (2001)Information and the Change in the Paradigm in Economics (2002)On the measurement of inequality (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)The arbitrage theory of capital asset pricing (1976)
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References

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  • 1964Risk Aversion in the Small and in the Large4,964 cited
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  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
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  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING

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  • 2015Further Higher Moments in Portfolio Selection andA PrioriDetection of Bankruptcy, Under Multi‐layer Perceptron Neural Networks, Hybrid Neuro‐genetic MLPs, and the Voted Perceptron17 cited