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Investment Management after the Global Financial Crisis
16 references·3 citing·41 second hop
Investment Management after the Global Financial Crisis (2010)Investment Management after the Global Fi…The Black Swan: The Impact of the Highly Improbable (2008)The Black Swan: The Impact of…The black swan: the impact of the highly improbable (2007)The black swan: the impact of…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent Measures of Risk (1999)Coherent Measures of RiskOn Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …The Persistence of Mutual Fund Performance (1992)The Persistence of Mutual Fun…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Stabilizing an Unstable Economy (1987)Stabilizing an Unstable Econo…Can "It" Happen Again? Essays on Instability and Finance (1982)Can "It" Happen Again? Essays…On estimating the expected return on the market (1980)On estimating the expected re…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Investment Management: A Science to Teach or an Art to Learn? (2014)Investment Management: A Scie…What is the impact of wealth shocks on asset allocation? (2012)What is the impact of wealth …Efficient Markets and the Law: A Predictable Past and an Uncertain Future (2012)Efficient Markets and the Law…The Variation of Certain Speculative Prices (1963)The Behavior of Stock-Market Prices (1965)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Brownian Motion and Stochastic Calculus (2007)Top Incomes in the Long Run of History (2011)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)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)An Overview of Value at Risk (1997)Modelling Extremal Events (1997)Modeling and Forecasting Realized Volatility (2003)Theory of rational option pricing (2005)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Developmental Evaluation: Applying Complexity Concepts to Enhance Innovation and Use (2010)Corporate tax avoidance and stock price crash risk: Firm-level analysis (2011)Why do humans reason? Arguments for an argumentative theory (2011)Lectures on Stochastic Programming (2009)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Macroeconomic and bank-specific determinants of non-performing loans in Greece: A comparative study of mortgage, business and consumer loan portfolios (2011)Debt, Deleveraging, and the Liquidity Trap: A Fisher-Minsky-Koo Approach* (2012)A Macroeconomic Model with a Financial Sector (2014)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*20,205 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1976The arbitrage theory of capital asset pricing7,207 cited
  • 2000Optimization of conditional value-at-risk6,722 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1994Modelling of extremal events in insurance and finance3,574 cited
  • 2007The black swan: the impact of the highly improbable3,508 cited
  • 1987Stabilizing an Unstable Economy3,358 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2008The Black Swan: The Impact of the Highly Improbable2,477 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1982Can "It" Happen Again? Essays on Instability and Finance1,173 cited
  • 1992

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The Persistence of Mutual Fund Performance
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  • 2012What is the impact of wealth shocks on asset allocation?19 cited
  • 2014Investment Management: A Science to Teach or an Art to Learn?17 cited
  • 2012Efficient Markets and the Law: A Predictable Past and an Uncertain Future11 cited