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Is Mean-Variance Analysis Vacuous: Or was Beta Still Born?
16 references·1 citing·29 second hop
Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? (1997)Is Mean-Variance Analysis Vacuous: Or was…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Another Look at the Cross-Section of Expected Stock Returns (1995)Another Look at the Cross-Sec…On the Cross-Sectional Relation between Expected Returns and Betas (1994)On the Cross-Sectional Relati…CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS (1994)CONTINGENT CLAIMS VALUED AND …The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Mean-Variance Hedging in Continuous Time (1991)Mean-Variance Hedging in Cont…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Mean-Variance Theory in Complete Markets (1982)Mean-Variance Theory in Compl…Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1982)Arbitrage, Factor Structure, …The Pricing of Contingent Claims in Discrete Time Models (1979)The Pricing of Contingent Cla…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…On the existence of equilibrium in a securities model (1974)On the existence of equilibri…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Equilibrium in a Capital Asset Market (1966)Equilibrium in a Capital Asse…SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)SECURITY PRICES, RISK, AND MA…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Beyond Markowitz with multiple criteria decision aiding (2013)Beyond Markowitz with multipl…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. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)Common risk factors in the returns on stocks and bonds (1993)Is the Risk of Bankruptcy a Systematic Risk? (1998)What Drives Firm‐Level Stock Returns? (2002)Predicting returns with financial ratios (2004)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)An Empirical Investigation of the Arbitrage Pricing Theory (1980)The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)Overconfidence, Arbitrage, and Equilibrium Asset Pricing (2001)Panels with Nonstationary Multifactor Error Structures (2006)The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)Option pricing and Esscher transform under regime switching (2005)A Guided Tour through Quadratic Hedging Approaches (2010)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)Option pricing when underlying stock returns are discontinuous (1976)An Engine, Not a Camera (2006)Does board gender diversity improve the informativeness of stock prices? (2011)… and the Cross-Section of Expected Returns (2015)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1966Equilibrium in a Capital Asset Market4,896 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2,451 cited
  • 1995Another Look at the Cross-Section of Expected Stock Returns1,007 cited
  • 1982Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets975 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 1979The Pricing of Contingent Claims in Discrete Time Models546 cited
  • 1994On the Cross-Sectional Relation between Expected Returns and Betas408 cited
  • 1991Mean-Variance Hedging in Continuous Time383 cited
  • 1982Mean-Variance Theory in Complete Markets256 cited
  • 1974On the existence of equilibrium in a securities model168 cited
  • 1994

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CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
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  • 2013Beyond Markowitz with multiple criteria decision aiding33 cited