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A method for structuring stochastic travel time by using risk premiums of stochastic link flow
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A method for structuring stochastic travel time by using risk premiums of stochastic link flow (2020)A method for structuring stochastic trave…The α-reliable mean-excess traffic equilibrium model with stochastic travel times (2009)The α-reliable mean-excess tr…Modeling impacts of adverse weather conditions on a road network with uncertainties in demand and supply (2008)Modeling impacts of adverse w…A Reliability-Based Stochastic Traffic Assignment Model for Network with Multiple User Classes under Uncertainty in Demand (2006)A Reliability-Based Stochasti…User equilibrium traffic network assignment with stochastic travel times and late arrival penalty (2005)User equilibrium traffic netw…Degradable transport network: Travel time budget of travelers with heterogeneous risk aversion (2005)Degradable transport network:…Modelling network travel time reliability under stochastic demand (2004)Modelling network travel time…Network with degradable links: capacity analysis and design (2003)Network with degradable links…Using stated preference data for studying the effect of advanced traffic information on drivers' route choice (1997)Using stated preference data …Urban transportation networks: Equilibrium analysis with mathematical programming methods (1986)Urban transportation networks…An Efficient Method for Computing Traffic Equilibria in Networks with Asymmetric Transportation Costs (1984)An Efficient Method for Compu…On the Class of Elliptical Distributions and their Applications to the Theory of Portfolio Choice (1983)On the Class of Elliptical Di…A characterization of the distributions that imply mean—Variance utility functions (1983)A characterization of the dis…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments (1970)The Fundamental Approximation…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Transportation Network Analysis (1997)A game theory approach to measuring the performance reliability of transport networks (2000)Travel time variability: A review of theoretical and empirical issues (2002)An efficient approach to solving the road network equilibrium traffic assignment problem (1975)The existence, uniqueness and stability of traffic equilibria (1979)Traffic Equilibrium and Variational Inequalities (1980)Equilibrium traffic assignment for large scale transit networks (1988)Transit Assignment for Congested Public Transport Systems: An Equilibrium Model (1993)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)The specification of conditional expectations (2001)Optimal Portfolio Allocation under Higher Moments (2006)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)On Equilibrium Pricing under Parameter Uncertainty (1995)Variance vs downside risk: Is there really that much difference? (1999)Which Alpha? (2016)Portfolio Selection: Efficient Diversification of Investments (1959)A Note on Uncertainty and Indifference Curves (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Systemic Risk and International Portfolio Choice (2004)Models and algorithms for road network design: a review and some new developments (1998)Foundations of Dynamic Traffic Assignment: The Past, the Present and the Future (2001)Selfish Routing and the Price of Anarchy (2016)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)On the measurement of inequality (1970)The arbitrage theory of capital asset pricing (1976)
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References

  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1986Urban transportation networks: Equilibrium analysis with mathematical programming methods2,352 cited
  • 1970The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments731 cited
  • 2005Degradable transport network: Travel time budget of travelers with heterogeneous risk aversion455 cited
  • 1984An Efficient Method for Computing Traffic Equilibria in Networks with Asymmetric Transportation Costs440 cited
  • 1983A characterization of the distributions that imply mean—Variance utility functions435 cited
  • 1983On the Class of Elliptical Distributions and their Applications to the Theory of Portfolio Choice372 cited
  • 2004Modelling network travel time reliability under stochastic demand362 cited
  • 2003Network with degradable links: capacity analysis and design360 cited
  • 1997Using stated preference data for studying the effect of advanced traffic information on drivers' route choice310 cited
  • 2008Modeling impacts of adverse weather conditions on a road network with uncertainties in demand and supply296 cited
  • 2006A Reliability-Based Stochastic Traffic Assignment Model for Network with Multiple User Classes under Uncertainty in Demand

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273 cited
  • 2009The α-reliable mean-excess traffic equilibrium model with stochastic travel times270 cited
  • 2005User equilibrium traffic network assignment with stochastic travel times and late arrival penalty201 cited
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