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RISK AND THE REQUIRED RETURN ON EQUITY
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RISK AND THE REQUIRED RETURN ON EQUITY (1967)RISK AND THE REQUIRED RETURN ON EQUITYStock Options as Lotteries (2014)Stock Options as LotteriesDoes Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns? (2013)Does Risk-Neutral Skewness Pr…Mean-variance-skewness model for portfolio selection with fuzzy returns (2009)Mean-variance-skewness model …Is There an Intertemporal Relation between Downside Risk and Expected Returns? (2009)Is There an Intertemporal Rel…Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns (2008)Maxing Out: Stocks as Lotteri…Optimal Portfolio Allocation under Higher Moments (2006)Optimal Portfolio Allocation …Multi-objective stochastic programming for portfolio selection (2005)Multi-objective stochastic pr…Equilibrium Underdiversification and the Preference for Skewness (2004)Equilibrium Underdiversificat…Prospect Theory and Mean-Variance Analysis (2003)Prospect Theory and Mean-Vari…Modelling emerging market risk premia using higher moments (1999)Modelling emerging market ris…Portfolio selection and skewness: Evidence from international stock markets (1997)Portfolio selection and skewn…A mean-absolute deviation-skewness portfolio optimization model (1993)A mean-absolute deviation-ske…Portfolio selection with skewness: A multiple-objective approach (1991)Portfolio selection with skew…Corporate-Level Strategy, Business-Level Strategy, and Firm Performance (1981)Corporate-Level Strategy, Bus…Diversification in a Three-Moment World (1978)Diversification in a Three-Mo…Risk and the Rate of Return on Financial Assets: Some Old Wine in New Bottles (1975)Risk and the Rate of Return o…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Equilibrium in a Capital Asset Market (1966)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. 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Gold as a Hedge and Safe Haven Across Time and Investment Horizon (2014)PORTFOLIO SELECTION* (1952)Risk, Return, and Equilibrium: Empirical Tests (1973)The Pricing of Options and Corporate Liabilities (1973)Multifactor models and their consistency with the ICAPM (2012)Crash Sensitivity and Cross-Section of Expected Stock Returns (2016)Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns (2019)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Carbon emissions and stock returns: Evidence from the EU Emissions Trading Scheme (2015)Dissecting Characteristics Nonparametrically (2017)Social Transmission Bias and Investor Behavior (2018)The Behavior of Stock-Market Prices (1965)Do Stocks Outperform Treasury Bills? (2017)Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1962)Fuzzy mean–variance–skewness portfolio selection models by interval analysis (2010)Optimal Multiperiod Mean-Variance Policy Under No-Shorting Constraint (2012)Portfolio selection: a fuzzy-ANP approach (2020)The Variation of Certain Speculative Prices (1963)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Should investors include commodities in their portfolios after all? New evidence (2011)Technical trading revisited: False discoveries, persistence tests, and transaction costs (2012)Should Investors Include Bitcoin in Their Portfolios? A Portfolio Theory Approach (2018)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Religion, Gambling Attitudes and Corporate Innovation (2013)Do Individual Investors Treat Trading as a Fun and Exciting Gambling Activity? Evidence from Repeated Natural Experiments (2014)
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  • 2008Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns517 cited
  • 2006Optimal Portfolio Allocation under Higher Moments411 cited
  • 1997Portfolio selection and skewness: Evidence from international stock markets384 cited
  • 2009Mean-variance-skewness model for portfolio selection with fuzzy returns309 cited
  • 2009Is There an Intertemporal Relation between Downside Risk and Expected Returns?288 cited
  • 1978Diversification in a Three-Moment World284 cited
  • 2014Stock Options as Lotteries274 cited
  • 2005Multi-objective stochastic programming for portfolio selection274 cited
  • 1981Corporate-Level Strategy, Business-Level Strategy, and Firm Performance267 cited
  • 1975Risk and the Rate of Return on Financial Assets: Some Old Wine in New Bottles261 cited
  • 1991Portfolio selection with skewness: A multiple-objective approach258 cited
  • 2013Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?254 cited
  • 1993A mean-absolute deviation-skewness portfolio optimization model252 cited
  • 1999Modelling emerging market risk premia using higher moments239 cited

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2004
Equilibrium Underdiversification and the Preference for Skewness
234 cited
  • 2003Prospect Theory and Mean-Variance Analysis230 cited