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Are Household Portfolios Efficient? An Analysis Conditional on Housing
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Are Household Portfolios Efficient? An Analysis Conditional on Housing (2003)Are Household Portfolios Efficient? An An…Portfolio Choice in the Presence of Housing (2004)Portfolio Choice in the Prese…Optimal Consumption and Portfolio Choices with Risky Housing and Borrowing Constraints (2004)Optimal Consumption and Portf…OWNER-OCCUPIED HOUSING AS A HEDGE AGAINST RENT RISK (2003)OWNER-OCCUPIED HOUSING AS A H…Owner-Occupied Housing and the Composition of the Household Portfolio (2002)Owner-Occupied Housing and th…Household Portfolios (2002)Household PortfoliosPortfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk (2000)Portfolio Choice and Asset Pr…Risk and return in real estate (1991)Risk and return in real estateAsset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods (1990)Asset Pricing and Optimal Por…Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Mean-Variance Analysis in Por…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods (1987)Asset Pricing and Optimal Por…International Portfolio Diversification with Estimation Risk (1985)International Portfolio Diver…A Model of Housing Tenure Choice (1983)A Model of Housing Tenure Cho…Cross Hedging (1981)Cross HedgingOn estimating the expected return on the market (1980)On estimating the expected re…The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments (1970)The Fundamental Approximation…Aspects of the Theory of Risk-Bearing. (1966)Saving and Uncertainty: The Precautionary Demand for Saving (1968)Housing Tenure Choice in Transitional Urban China: A Multilevel Analysis (2002)The social and private micro-level consequences of homeownership (2003)The Impact of Supply Constraints on House Prices in England (2014)Portfolio Selection: Efficient Diversification of Investments. (1962)An equilibrium model of the international capital market (1974)Portfolio Selection and Asset Pricing Models (2000)Stock return predictability and model uncertainty (2002)60 Years of portfolio optimization: Practical challenges and current trends (2013)The Efficiency of the Market for Single-Family Homes (1988)The baby boom, the baby bust, and the housing market (1989)Household Risk Management and Optimal Mortgage Choice (2003)Optimal life cycle asset allocation : understanding the empirical evidence (2005)Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints∗ (2015)Portfolio Selection: Efficient Diversification of Investments (1959)A Note on Uncertainty and Indifference Curves (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Systemic Risk and International Portfolio Choice (2004)Optimal Portfolio Allocation under Higher Moments (2006)Editor's Choice Digesting Anomalies: An Investment ApproachCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)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)Value versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)Optimum consumption and portfolio rules in a continuous-time model (1971)Asset Prices in an Exchange Economy (1978)Common risk factors in the returns on stocks and bonds (1993)Idiosyncratic Risk Matters! (2003)Market Frictions, Price Delay, and the Cross-Section of Expected Returns (2005)Entrepreneurship, Frictions, and Wealth (2006)Tax Subsidies to Owner-Occupied Housing: An Asset-Market Approach (1984)Consumption and Liquidity Constraints: An Empirical Investigation (1989)The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium (2016)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Industry costs of equity (1997)Saving and Liquidity Constraints (1991)Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Consumption and Portfolio Choice over the Life Cycle (2005)How do house prices affect consumption? Evidence from micro data (2006)Foundations of Portfolio Theory (1991)Asset pricing with liquidity risk (2005)An Engine, Not a Camera (2006)
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References

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  • 2003OWNER-OCCUPIED HOUSING AS A HEDGE AGAINST RENT RISK743 cited
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  • 1991Risk and return in real estate292 cited
  • 1981Cross Hedging283 cited

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