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ArticleLimited participation under ambiguity of correlation

Helen Hui Huang2016

Article2016

Limited participation under ambiguity of correlation

Helen Hui Huang · Shunming Zhang · Wei Zhu

29 citations·0/0 files stored·Journal of Financial Markets

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Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and models

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References

1952PORTFOLIO SELECTION*1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE 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.]1989Maxmin expected utility with non-unique prior 1966Mutual Fund Performance 1988A Capital Asset Pricing Model with Time-Varying Covariances 2004Subjective probability and expected utility without additivity 1989Subjective Probability and Expected Utility without Additivity

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Year2016

Typearticle

Published2016-11-14

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations29

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.finmar.2016.10.002

openalex_workW2554810433

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