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Bayesian Network Models of Portfolio Risk and Return
10 references·0 citing·36 second hop
Bayesian Network Models of Portfolio Risk and Return (2000)Bayesian Network Models of Portfolio Risk…Value at risk: the new benchmark for controlling market risk (1996)Value at risk: the new benchm…Certainty Equivalents for Three-Point Discrete-Distribution Approximations (1994)Certainty Equivalents for Thr…Moment Methods for Decision Analysis (1993)Moment Methods for Decision A…Illiquid Securities: Pricing and Performance Measurement (1993)Illiquid Securities: Pricing …A framework for assessing credit risk in depository institutions: Toward regulatory reform (1991)A framework for assessing cre…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory (1984)A Critical Reexamination of t…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Determinants of Risk Premiums on Corporate Bonds (1959)AN ALTERNATIVE TO THE YIELD SPREAD AS A MEASURE OF RISK (1973)Making Hard Decisions, an Introduction to Decision Analysis (1992)Scenario tree generation for multiperiod financial optimization by optimal discretization (2001)Evaluation of scenario-generation methods for stochastic programming (2003)Perspective on Decision Analysis Applications, 1990–2001 (2004)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)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)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)Industry costs of equity (1997)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Fundamentals and Stock Returns in Japan (1991)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Risk Aversion in the Small and in the Large (1976)Decisions with Multiple Objectives (1993)Correlations and Copulas for Decision and Risk Analysis (1999)Using Bayesian networks for bankruptcy prediction: Some methodological issues (2006)An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)What's different about banks? (1985)Some evidence on the uniqueness of bank loans (1987)The Effects of Legislating Prompt Corrective Action on the Bank Insurance Fund (1992)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Testing Density Forecasts, With Applications to Risk Management (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)International Arbitrage Pricing Theory: An Empirical Investigation (1986)Price Regulation in Property‐Liability Insurance: A Contingent‐Claims Approach (1986)Multivariate proxies and asset pricing relations (1987)
this work references cited by second hop

References

  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 1996Value at risk: the new benchmark for controlling market risk1,018 cited
  • 1984A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory280 cited
  • 1993Moment Methods for Decision Analysis131 cited
  • 1994Certainty Equivalents for Three-Point Discrete-Distribution Approximations94 cited
  • 1993Illiquid Securities: Pricing and Performance Measurement25 cited
  • 1991A framework for assessing credit risk in depository institutions: Toward regulatory reform24 cited

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