Citation map · Study

Simple Rules for Optimal Portfolio Selection: The Multi Group Case

7 references·7 citing·43 second hop

this work references cited by second hop

References

1975THE 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.]6,743 cited
1973ESTIMATING THE DEPENDENCE STRUCTURE OF SHARE PRICES —IMPLICATIONS FOR PORTFOLIO SELECTION280 cited
1967An Empirical Evaluation of Alternative Portfolio-Selection Models275 cited
1971A Linear Programming Approximation for the General Portfolio Analysis Problem219 cited
1967A Linear Programming Algorithm for Mutual Fund Portfolio Selection190 cited
1967CRITERIA FOR PORTFOLIO BUILDING74 cited
1976Finance as a Dynamic Process65 cited

Cited by

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work