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Portfolio Optimization and Hedge Fund Style Allocation Decisions
16 references·13 citing·35 second hop
Portfolio Optimization and Hedge Fund Style Allocation Decisions (2002)Portfolio Optimization and Hedge Fund Sty…Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Improved estimation of the co…The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)The Risk in Hedge Fund Strate…Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Empirical Characteristics of …Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Theory of Financial Decision Making. (1988)Theory of Financial Decision …Bayes-Stein Estimation for Portfolio Analysis (1986)Bayes-Stein Estimation for Po…On Estimating the Expected Return on the Market: An Exploratory Investigation (1980)On Estimating the Expected Re…On estimating the expected return on the market (1980)On estimating the expected re…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Portfolio Selection (1952)Portfolio SelectionFund of Hedge Funds Portfolio Selection: A Multiple-Objective Approach (2016)Fund of Hedge Funds Portfolio…Strategic Asset Allocation and the Role of Alternative Investments (2012)Strategic Asset Allocation an…Practitioner Portfolio Construction and Performance Measurement: Evidence from Europe (2011)Practitioner Portfolio Constr…Efficient Indexation: An Alternative to Cap-Weighted Indices (2011)Efficient Indexation: An Alte…Fund of hedge funds portfolio selection: A multiple-objective approach (2009)Fund of hedge funds portfolio…The Relative Merits of Alternative Investments in Passive Portfolios (2008)The Relative Merits of Altern…The Performance of Characteristics‐based Indices1 (2008)The Performance of Characteri…Quantile regression analysis of hedge fund strategies (2008)Quantile regression analysis …A Bayesian Approach to Detecting Nonlinear Risk Exposures in Hedge Fund Strategies (2008)A Bayesian Approach to Detect…The Relative Merits of Investable Hedge Fund Indices and of Funds of Hedge Funds in Optimal Passive Portfolios (2006)The Relative Merits of Invest…Hedge fund portfolio construction: A comparison of static and dynamic approaches (2006)Hedge fund portfolio construc…Predictability in Hedge Fund Returns (2004)Predictability in Hedge Fund …Optimal allocation to hedge funds: an empirical analysis (2003)Optimal allocation to hedge f…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Post-'87 crash fears in the S&P 500 futures option market (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of games and economic behavior (2019)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)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)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Portfolio Selection: Efficient Diversification of Investments (1959)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Adjustment of Stock Prices to New Information (2003)A Theory of the Term Structure of Interest Rates (1985)Industry costs of equity (1997)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)The Determinants of Credit Spread Changes (2001)Credit Spreads and Business Cycle Fluctuations (2012)Conditional value-at-risk for general loss distributions (2002)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)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)The Capital Asset Pricing Model: Theory and Evidence (2004)
this work references cited by second hop

References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1952Portfolio Selection4,609 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection1,634 cited
  • 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds1,262 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 2001The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers1,198 cited
  • 1986Bayes-Stein Estimation for Portfolio Analysis960 cited

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1980
On Estimating the Expected Return on the Market: An Exploratory Investigation
755 cited

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  • 2006Hedge fund portfolio construction: A comparison of static and dynamic approaches75 cited
  • 2004Predictability in Hedge Fund Returns72 cited
  • 2016Fund of Hedge Funds Portfolio Selection: A Multiple-Objective Approach56 cited
  • 2003Optimal allocation to hedge funds: an empirical analysis47 cited
  • 2008The Relative Merits of Alternative Investments in Passive Portfolios45 cited
  • 2012Strategic Asset Allocation and the Role of Alternative Investments45 cited
  • 2006The Relative Merits of Investable Hedge Fund Indices and of Funds of Hedge Funds in Optimal Passive Portfolios43 cited
  • 2011Practitioner Portfolio Construction and Performance Measurement: Evidence from Europe31 cited
  • 2008A Bayesian Approach to Detecting Nonlinear Risk Exposures in Hedge Fund Strategies29 cited
  • 2008The Performance of Characteristics‐based Indices128 cited