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A Performance Interpretation of Multivariate Tests of Asset Set Intersection, Spanning, and Mean-Variance Efficiency
11 references·16 citing·41 second hop
A Performance Interpretation of Multivariate Tests of Asset Set Intersection, Spanning, and Mean-Variance Efficiency (1989)A Performance Interpretation of Multivari…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…On multivariate tests of the CAPM (1987)On multivariate tests of the …On correlations and inferences about mean-variance efficiency (1987)On correlations and inference…Mean-Variance Spanning (1987)Mean-Variance SpanningMultivariate tests of the zero-beta CAPM (1985)Multivariate tests of the zer…Measuring Investment Performance in a Rational Expectations Equilibrium Model (1985)Measuring Investment Performa…Potential performance and tests of portfolio efficiency (1982)Potential performance and tes…On the exclusion of assets from tests of the two-parameter model (1982)On the exclusion of assets fr…Multivariate tests of financial models (1982)Multivariate tests of financi…A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…An Analytic Derivation of the Efficient Portfolio Frontier (1972)An Analytic Derivation of the…Bayesian estimation of the global minimum variance portfolio (2016)Bayesian estimation of the gl…International Diversification Benefits with Foreign Exchange Investment Styles (2013)International Diversification…International diversification with factor funds (2010)International diversification…Diversification benefits of commodity futures (2010)Diversification benefits of c…Estimation of optimal portfolio compositions for Gaussian returns (2009)Estimation of optimal portfol…Econometrical analysis of the sample efficient frontier (2008)Econometrical analysis of the…Are Household Portfolios Efficient? an Analysis Conditional on Housing (2008)Are Household Portfolios Effi…A test for the weights of the global minimum variance portfolio in an elliptical model (2007)A test for the weights of the…Single-Period Markowitz Portfolio Selection, Performance Gauging, and Duality: A Variation on the Luenberger Shortage Function (2004)Single-Period Markowitz Portf…Multinationals and the gains from international diversification (2004)Multinationals and the gains …Evaluating style analysis (2003)Evaluating style analysisCurrency hedging for international stock portfolios: The usefulness of mean–variance analysis (2003)Currency hedging for internat…Country risk and stock market volatility, predictability, and diversification in the Middle East and Africa (2003)Country risk and stock market…Tests of Mean-Variance Spanning (2000)Tests of Mean-Variance Spanni…Confidence regions for the mean-variance efficient set: An alternative approach to estimation risk (1991)Confidence regions for the me…A Mean-Variance Framework for Tests of Asset Pricing Models (1989)A Mean-Variance Framework for…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Integration vs. Segmentation in the Canadian Stock Market (1986)Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence (1989)Size-related anomalies and stock return seasonality (1983)On the Cross-Sectional Relation between Expected Returns and Betas (1994)Resurrecting the (C)Capm: A Cross-Sectional Test When Risk Premia Wre Time-Varying (2000)The specification of conditional expectations (2001)Liquidity Preference as Behavior Towards Risk (1958)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Capital Market Equilibrium with Restricted Borrowing (1972)Multivariate proxies and asset pricing relations (1987)The integration of the real estate market and the stock market: Some preliminary evidence (1990)Estimating and testing beta pricing models: Alternative methods and their performance in simulations☆ (2007)The arbitrage theory of capital asset pricing (1976)A Skeptical Appraisal of Asset Pricing Tests (2006)Economic forces and the stock market revisited (2006)Measuring security price performance (1980)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)Evaluating Fund Performance in a Dynamic Market (1996)The performance of socially responsible investments: Investment funds and indices (2004)Australian Socially Responsible Funds: Performance, Risk and Screening Intensity (2011)Portfolio Selection: Efficient Diversification of Investments (1959)A Note on Uncertainty and Indifference Curves (1969)An Intertemporal Capital Asset Pricing Model (1973)Theory of Financial Decision Making. (1988)Editor's Choice Digesting Anomalies: An Investment ApproachTHE 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)Value versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data (1989)The Pricing of Exchange Rate Risk in the Stock Market (1991)Political Risk, Economic Risk, and Financial Risk (1996)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)The empirical foundations of the arbitrage pricing theory (1988)Diversification, Integration and Emerging Market Closed‐End Funds (1996)Can the Gains from International Diversification Be Achieved without Trading Abroad? (1999)
this work references cited by second hop

References

  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1972An Analytic Derivation of the Efficient Portfolio Frontier1,039 cited
  • 1982Multivariate tests of financial models614 cited
  • 1987Mean-Variance Spanning590 cited
  • 1982On the exclusion of assets from tests of the two-parameter model507 cited
  • 1985Multivariate tests of the zero-beta CAPM436 cited
  • 1982Potential performance and tests of portfolio efficiency266 cited
  • 1985Measuring Investment Performance in a Rational Expectations Equilibrium Model222 cited
  • 1987On correlations and inferences about mean-variance efficiency158 cited
  • 1987On multivariate tests of the CAPM148 cited

Cited by

  • 2010Diversification benefits of commodity futures109 cited
  • 2016Bayesian estimation of the global minimum variance portfolio104 cited
  • 2004Single-Period Markowitz Portfolio Selection, Performance Gauging, and Duality: A Variation on the Luenberger Shortage Function104 cited
  • 2013International Diversification Benefits with Foreign Exchange Investment Styles

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102 cited
  • 2003Evaluating style analysis102 cited
  • 2004Multinationals and the gains from international diversification88 cited
  • 2008Econometrical analysis of the sample efficient frontier87 cited
  • 2003Country risk and stock market volatility, predictability, and diversification in the Middle East and Africa86 cited
  • 1989A Mean-Variance Framework for Tests of Asset Pricing Models84 cited
  • 2007A test for the weights of the global minimum variance portfolio in an elliptical model70 cited
  • 2008Are Household Portfolios Efficient? an Analysis Conditional on Housing64 cited
  • 2003Currency hedging for international stock portfolios: The usefulness of mean–variance analysis58 cited
  • 2010International diversification with factor funds56 cited
  • 1991Confidence regions for the mean-variance efficient set: An alternative approach to estimation risk55 cited
  • 2009Estimation of optimal portfolio compositions for Gaussian returns54 cited
  • 2000Tests of Mean-Variance Spanning50 cited