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Simulating Security Markets in Dynamic and Equilibrium Modes
14 references·0 citing·36 second hop
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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 PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Adjustment of Stock Prices to New Information (2003)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)
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References

  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1992Global Portfolio Optimization1,846 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1979Approximating Expected Utility by a Function of Mean and Variance874 cited
  • 2001Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation.293 cited
  • 2000Microscopic Simulation of Financial Markets: From Investor Behavior to Market Phenomena180 cited
  • 1989Investment rules, margin, and market volatility142 cited
  • 2005Market Efficiency: A Theoretical Distinction and So What?136 cited
  • 2005Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions116 cited
  • 1996The Danger of Assuming Homogeneous Expectations57 cited
  • 2006Trimability and Fast Optimization of Long–Short Portfolios55 cited
  • 2009Tumbling Tower of Babel: Subprime Securitization and the Credit Crisis48 cited
  • 1999Capital Ideas and Market Realities: Option Replication, Investor Behavior, and Stock Market Crashes29 cited

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