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Risk, return and portfolio optimization for various industries in the ASEAN region
16 references·0 citing·35 second hop
Risk, return and portfolio optimization for various industries in the ASEAN region (2018)Risk, return and portfolio optimization f…Value-at-risk versus expected shortfall: A practical perspective (2004)Value-at-risk versus expected…Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)Extreme value theory and Valu…Expected Shortfall: A Natural Coherent Alternative to Value at Risk (2002)Expected Shortfall: A Natural…Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis (2002)Economic implications of usin…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Value-at-Risk-Based Risk Mana…Optimal portfolio selection in a Value-at-Risk framework (2001)Optimal portfolio selection i…Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk (2000)Some Remarks on the Value-at-…Portfolio Selection and Asset Pricing Models (2000)Portfolio Selection and Asset…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…Extreme Value Theory as a Risk Management Tool (1999)Extreme Value Theory as a Ris…Coherent Measures of Risk (1999)Coherent Measures of RiskAn Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Portfolio Selection: Efficient Diversification of Investments (1959)Why Not Diversify Internationally Rather Than Domestically? (1974)Does industrial structure explain the benefits of international diversification? (1994)International comovement of stock market returns: A wavelet analysis (2009)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Business conditions and expected returns on stocks and bonds (1989)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Strategic Asset Allocation (2002)The Dog That Did Not Bark: A Defense of Return Predictability (2007)The Pricing of Options and Corporate Liabilities (1973)Asset Prices in an Exchange Economy (1978)Testing Density Forecasts, With Applications to Risk Management (2001)How Accurate Are Value‐at‐Risk Models at Commercial Banks? (2002)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Common risk factors in the returns on stocks and bonds (1993)Are Financial Assets Priced Locally or Globally? (2002)Stock return predictability and model uncertainty (2002)Predictive regressions with time-varying coefficients (2012)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Generalized deviations in risk analysis (2005)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)On the coherence of expected shortfall (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
this work references cited by second hop

References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2000Investing for the Long Run when Returns Are Predictable1,372 cited
  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows1,025 cited
  • 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices834 cited
  • 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk770 cited
  • 2000Portfolio Selection and Asset Pricing Models611 cited
  • 2002Expected Shortfall: A Natural Coherent Alternative to Value at Risk573 cited
  • 1999Extreme Value Theory as a Risk Management Tool465 cited
  • 2004Extreme value theory and Value-at-Risk: Relative performance in emerging markets420 cited
  • 2004Value-at-risk versus expected shortfall: A practical perspective334 cited
  • 2002Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis330 cited

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2001
Optimal portfolio selection in a Value-at-Risk framework
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