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A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction
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A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction (2017)A generalized CAPM model with asymmetric …“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…The variation of certain speculative prices (1997)The variation of certain spec…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…Equilibrium in a Capital Asset Market (1966)Equilibrium in a Capital Asse…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Cross-Section of Expected Stock Returns (1992)Conditional value-at-risk for general loss distributions (2002)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Market Liquidity and Funding Liquidity (2008)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1966Equilibrium in a Capital Asset Market4,896 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1963A Simplified Model for Portfolio Analysis

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