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ADMISSIBLE PORTFOLIOS FOR ALL INDIVIDUALS
16 references·5 citing·23 second hop
ADMISSIBLE PORTFOLIOS FOR ALL INDIVIDUALS (1976)ADMISSIBLE PORTFOLIOS FOR ALL INDIVIDUALSRisk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Optimal rules for ordering uncertain prospects (1975)Optimal rules for ordering un…An Analytic Derivation of the Efficient Portfolio Frontier (1972)An Analytic Derivation of the…The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments (1970)The Fundamental Approximation…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Rules for Ordering Uncertain Prospects (1969)Rules for Ordering Uncertain …Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…A Stochastic Programming Model (1963)A Stochastic Programming ModelA Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Admissibility and Measurable Utility Functions (1962)Admissibility and Measurable …Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Safety First and the Holding of Assets (1952)Safety First and the Holding …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*The Utility Analysis of Choices Involving Risk (1948)The Utility Analysis of Choic…Roy’s Safety‐First Portfolio Principle in Financial Risk Management of Disastrous Events (2012)Roy’s Safety‐First Portfolio …Compound Utility Theory: A Simple Generalized Approach to Decision Under Risk (2005)Compound Utility Theory: A Si…Portfolio Choice Theory with Non-Gaussian Distributed Returns (2003)Portfolio Choice Theory with …Nonparametric tests of efficiency of portfolio investment (1989)Nonparametric tests of effici…Mean Lower Partial Moment Valuation and Lognormally Distributed Returns (1988)Mean Lower Partial Moment Val…On the measurement of inequality (1970)On Economic Inequality (1973)A theory of anticipated utility (1982)Theory of games and economic behavior (2019)On the Measurement of Poverty (1987)An Engine, Not a Camera (2006)Bank activity and funding strategies: The impact on risk and returns☆ (2010)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Risk as feelings. (2001)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (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 PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Adjustment of Stock Prices to New Information (2003)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)The arbitrage theory of capital asset pricing (1976)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 1948The Utility Analysis of Choices Involving Risk3,097 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1952Safety First and the Holding of Assets2,537 cited
  • 1969Rules for Ordering Uncertain Prospects1,757 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1972An Analytic Derivation of the Efficient Portfolio Frontier1,039 cited
  • 1975Optimal rules for ordering uncertain prospects860 cited
  • 1970The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments731 cited
  • 1963A Stochastic Programming Model575 cited
  • 1962Admissibility and Measurable Utility Functions

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Cited by

  • 1988Mean Lower Partial Moment Valuation and Lognormally Distributed Returns53 cited
  • 2003Portfolio Choice Theory with Non-Gaussian Distributed Returns43 cited
  • 2012Roy’s Safety‐First Portfolio Principle in Financial Risk Management of Disastrous Events42 cited
  • 1989Nonparametric tests of efficiency of portfolio investment32 cited
  • 2005Compound Utility Theory: A Simple Generalized Approach to Decision Under Risk1 cited