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Stochastic Programming with Aspiration or Fractile Criteria
4 references·7 citing·36 second hop
Stochastic Programming with Aspiration or Fractile Criteria (1967)Stochastic Programming with Aspiration or…Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints (1963)Deterministic Equivalents for…An Expected Gain-Confidence Limit Criterion for Portfolio Selection (1963)An Expected Gain-Confidence L…A Stochastic Programming Model (1963)A Stochastic Programming ModelSafety First and the Holding of Assets (1952)Safety First and the Holding …Overview of Different Approaches for Solving Stochastic Programming Problems with Multiple Objective Functions (1990)Overview of Different Approac…Technical Note—Financial Market Approaches to Facility Location under Uncertainty (1984)Technical Note—Financial Mark…REFINEMENTS IN THE ISMAIL‐LOUDERBACK STOCHASTIC CVP MODEL* (1980)REFINEMENTS IN THE ISMAIL‐LOU…ADMISSIBLE PORTFOLIOS FOR ALL INDIVIDUALS (1976)ADMISSIBLE PORTFOLIOS FOR ALL…A Research Bibliography in Stochastic Programming, 1955–1975 (1976)A Research Bibliography in St…Random-Payoff Two-Person Zero-Sum Games (1974)Random-Payoff Two-Person Zero…Public Facilities Location Under Stochastic Demand (1974)Public Facilities Location Un…Chance-Constrained Programming (1959)Chapter VIII Stochastic programming (1989)A joint chance-constrained programming model with row dependence (1994)Linear Programming Under Uncertainty (2004)Portfolio Selection: Efficient Diversification of Investments (1959)Data envelopment analysis theory and techniques for economics and operations research (2004)On Distributionally Robust Chance-Constrained Linear Programs (2006)Frameworks and Results in Distributionally Robust Optimization (2022)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**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 arbitrage theory of capital asset pricing (1976)Solution of a Satisficing Model for Random Payoff Games (1972)Existence of Nash equilibrium for chance-constrained games (2016)PORTFOLIO SELECTION* (1952)Risk Aversion in the Small and in the Large (1964)Mean Lower Partial Moment Valuation and Lognormally Distributed Returns (1988)Portfolio Choice Theory with Non-Gaussian Distributed Returns (2003)Roy’s Safety‐First Portfolio Principle in Financial Risk Management of Disastrous Events (2012)Dividends, Earnings, Leverage, Stock Prices and the Supply of Capital to Corporations (1962)The variation of certain speculative prices (1997)Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis (2002)Is There an Intertemporal Relation between Downside Risk and Expected Returns? (2009)RETRACTED: Common risk factors in the cross-section of corporate bond returns (2018)Central Facilities Location (1970)Location Models in Transportation (1999)US Coast Guard air station location with respect to distress calls: A spatial statistics and optimization based methodology (2008)Solving Chance-Constrained Optimization Problems with Stochastic Quadratic Inequalities (2016)The Newsboy Problem under Alternative Optimization Objectives (1980)Multi-Objective Decision Analysis with Engineering and Business Applications (1983)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)Chance Constrained Programming with Joint Constraints (1965)Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence (1989)Asset Allocation in a Downside Risk Framework (2000)
this work references cited by second hop

References

  • 1952Safety First and the Holding of Assets2,537 cited
  • 1963Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints992 cited
  • 1963A Stochastic Programming Model575 cited
  • 1963An Expected Gain-Confidence Limit Criterion for Portfolio Selection429 cited

Cited by

  • 1976A Research Bibliography in Stochastic Programming, 1955–197584 cited
  • 1990Overview of Different Approaches for Solving Stochastic Programming Problems with Multiple Objective Functions78 cited
  • 1976ADMISSIBLE PORTFOLIOS FOR ALL INDIVIDUALS61 cited
  • 1974Public Facilities Location Under Stochastic Demand53 cited
  • 1974Random-Payoff Two-Person Zero-Sum Games50 cited
  • 1984Technical Note—Financial Market Approaches to Facility Location under Uncertainty28 cited
  • 1980REFINEMENTS IN THE ISMAIL‐LOUDERBACK STOCHASTIC CVP MODEL*16 cited

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