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Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets
13 references·16 citing·43 second hop
Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets (2003)Generalised Sharpe Ratios and Asset Prici…Gain, Loss, and Asset Pricing (2000)Gain, Loss, and Asset PricingBeyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets (2000)Beyond Arbitrage: Good‐Deal A…Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets (1996)Beyond Arbitrage: "Good-Deal"…Econometric Evaluation of Asset Pricing Models (1995)Econometric Evaluation of Ass…Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Dynamic Programming and Prici…Option hedging for semimartingales (1991)Option hedging for semimartin…Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…The numeraire portfolio (1990)The numeraire portfolioImplications of Security Market Data for Models of Dynamic Economies (1990)Implications of Security Mark…A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)A Stochastic Calculus Model o…A Simple Approach to the Valuation of Risky Streams (1978)A Simple Approach to the Valu…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Mutual Fund Performance (1966)Mutual Fund PerformancePricing of index options in incomplete markets (2021)Pricing of index options in i…Stochastic Differential Equations (2019)Stochastic Differential Equat…(Almost) Model‐Free Recovery (2018)(Almost) Model‐Free RecoveryEconomic Implications of Nonlinear Pricing Kernels (2016)Economic Implications of Nonl…The Marginal Cost of Risk, Risk Measures, and Capital Allocation (2015)The Marginal Cost of Risk, Ri…Risk Preferences and Their Robust Representation (2012)Risk Preferences and Their Ro…Optimal hedging with higher moments (2011)Optimal hedging with higher m…Good Deal Bounds Induced by Shortfall Risk (2011)Good Deal Bounds Induced by S…Minimal Martingale Measure (2010)Minimal Martingale MeasureHEDGING BY SEQUENTIAL REGRESSIONS REVISITED (2009)HEDGING BY SEQUENTIAL REGRESS…Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk (2009)Bid-ask dynamic pricing in fi…OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS (2007)OPTIMAL CONTINUOUS‐TIME HEDGI…Dynamic utility-based good deal bounds (2007)Dynamic utility-based good de…Chapter 12 Incomplete Markets (2007)Chapter 12 Incomplete MarketsOn Testing the Equality of the Multiple Sharpe Ratios, with Application on the Evaluation of Ishares (2006)On Testing the Equality of th…Interpreting the Sharpe ratio when excess returns are negative (2004)Interpreting the Sharpe ratio…Martingales and arbitrage in multiperiod securities markets (1979)Adapted solution of a backward stochastic differential equation (1990)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Optimal Portfolio Choice under Loss Aversion (2004)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)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets and Martingales (1989)Jump risk, stock returns, and slope of implied volatility smile (2010)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Convex Duality in Constrained Portfolio Optimization (1992)An Equilibrium Model with Restricted Stock Market Participation (1998)Theory of Rational Option Pricing (1973)Prospect theory: An analysis of decision under risk (1988)Does the choice of performance measure influence the evaluation of hedge funds? (2007)No-dynamic-arbitrage and market impact (2010)Common risk factors in the returns on stocks and bonds (1993)Investment under Uncertainty (1994)Empirical option pricing: a retrospection (2003)The Recovery Theorem (2011)Interpreting Factor Models (2018)The Theory of Syndicates (1968)Asset Prices in an Exchange Economy (1978)The Conditional CAPM and the Cross-Section of Expected Returns (1996)Conditional Skewness in Asset Pricing Tests (2000)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities (2003)Price Manipulation and Quasi-Arbitrage (2004)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)
this work references cited by second hop

References

  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1990Implications of Security Market Data for Models of Dynamic Economies1,088 cited
  • 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market797 cited
  • 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market649 cited
  • 1978A Simple Approach to the Valuation of Risky Streams578 cited
  • 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios540 cited
  • 2000Gain, Loss, and Asset Pricing475 cited
  • 2000Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets419 cited
  • 1996Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets405 cited
  • 1991Option hedging for semimartingales379 cited
  • 1990The numeraire portfolio319 cited
  • 1995Econometric Evaluation of Asset Pricing Models202 cited

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  • 2012Risk Preferences and Their Robust Representation126 cited
  • 2018(Almost) Model‐Free Recovery77 cited
  • 2016

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Economic Implications of Nonlinear Pricing Kernels
76 cited
  • 2011Optimal hedging with higher moments64 cited
  • 2009Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk54 cited
  • 2004Interpreting the Sharpe ratio when excess returns are negative53 cited
  • 2009HEDGING BY SEQUENTIAL REGRESSIONS REVISITED49 cited
  • 2006On Testing the Equality of the Multiple Sharpe Ratios, with Application on the Evaluation of Ishares47 cited
  • 2015The Marginal Cost of Risk, Risk Measures, and Capital Allocation44 cited
  • 2007Dynamic utility-based good deal bounds33 cited
  • 2010Minimal Martingale Measure26 cited
  • 2007Chapter 12 Incomplete Markets25 cited
  • 2007OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS25 cited
  • 2021Pricing of index options in incomplete markets24 cited
  • 2019Stochastic Differential Equations23 cited
  • 2011Good Deal Bounds Induced by Shortfall Risk22 cited