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THE UNCERTAINTY IN RISK: IS VARIANCE UNAMBIGUOUS?
13 references·8 citing·23 second hop
THE UNCERTAINTY IN RISK: IS VARIANCE UNAMBIGUOUS? (1970)THE UNCERTAINTY IN RISK: IS VARIANCE UNAM…The Random Character of Stock Market Prices (1968)The Random Character of Stock…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…RISK, RETURN AND EQUILIBRIUM: SOME CLARIFYING COMMENTS (1968)RISK, RETURN AND EQUILIBRIUM:…Mutual Fund Performance (1966)Mutual Fund PerformanceMarket and Industry Factors in Stock Price Behavior (1966)Market and Industry Factors i…The Random Character of Stock Market Prices. (1965)The Random Character of Stock…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …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…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Rank Correlation Methods. (1957)Rank Correlation Methods.Financial Indices, Joint Ventures and Strategic Alliances Invalidate Cumulative Prospect Theory, Third-Generation Prospect Theory, Related Approaches and Intertemporal Asset Pricing Theory: HCI and Three New Decision Models (2018)Financial Indices, Joint Vent…Anomalies in Net Present Value, Returns and Polynomials, and Regret Theory in Decision-Making (2016)Anomalies in Net Present Valu…SUB-ADDITIVE RECURSIVE "MATCHING" NOISE AND BIASES IN RISK-WEIGHTED INDEX CALCULATION METHODS IN INCOMPLETE MARKETS WITH PARTIALLY OBSERVABLE MULTI-ATTRIBUTE PREFERENCES (2013)SUB-ADDITIVE RECURSIVE "MATCH…Risk: Traditional Finance versus Behavioral Finance (2008)Risk: Traditional Finance ver…Estimating the time Varying Components of international stock markets' risk (1995)Estimating the time Varying C…The Effect of Long Term Dependence on Risk-Return Models of Common Stocks (1979)The Effect of Long Term Depen…VOLATILITY BEHAVIOR OF INDUSTRIAL STOCK PRICE INDICES (1973)VOLATILITY BEHAVIOR OF INDUST…ON THE DEMISE OF THE SOCIAL DISCOUNT RATE (1971)ON THE DEMISE OF THE SOCIAL D…DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Dividend Policy, Growth, and the Valuation of Shares (1961)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)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)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)Optimal rules for ordering uncertain prospects (1975)Hyperbolic Distributions in Finance (1995)Fractional calculus and continuous-time finance (2000)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)On the Failure to Eliminate Hypotheses in a Conceptual Task (1960)Personal Religious Orientation and Prejudice. (1967)Increasing Returns and Long-Run Growth (1986)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1957Rank Correlation Methods.6,385 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2,451 cited
  • 1968The Random Character of Stock Market Prices926 cited
  • 1966Market and Industry Factors in Stock Price Behavior838 cited
  • 1968RISK, RETURN AND EQUILIBRIUM: SOME CLARIFYING COMMENTS396 cited
  • 1965The Random Character of Stock Market Prices.382 cited

Cited by

  • 1995Estimating the time Varying Components of international stock markets' risk84 cited
  • 2013SUB-ADDITIVE RECURSIVE "MATCHING" NOISE AND BIASES IN RISK-WEIGHTED INDEX CALCULATION METHODS IN INCOMPLETE MARKETS WITH PARTIALLY OBSERVABLE MULTI-ATTRIBUTE PREFERENCES

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33 cited
  • 2016Anomalies in Net Present Value, Returns and Polynomials, and Regret Theory in Decision-Making29 cited
  • 2008Risk: Traditional Finance versus Behavioral Finance27 cited
  • 1973VOLATILITY BEHAVIOR OF INDUSTRIAL STOCK PRICE INDICES22 cited
  • 1971ON THE DEMISE OF THE SOCIAL DISCOUNT RATE21 cited
  • 1979The Effect of Long Term Dependence on Risk-Return Models of Common Stocks20 cited
  • 2018Financial Indices, Joint Ventures and Strategic Alliances Invalidate Cumulative Prospect Theory, Third-Generation Prospect Theory, Related Approaches and Intertemporal Asset Pricing Theory: HCI and Three New Decision Models2 cited