CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

By W. Sharpe. 1964

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Citations in the corpus

Sufficient Forecasting Using Factor Models (2015, background): “…(Stock and Watson, 1989; Bernanke et al., 2005), forecasts of the values of market prices and dividends using cross-sectional asset returns (Sharpe, 1964; Lintner, 1965), and studies of association between clinical outcomes and high throughput genomics and genetic information such as…”
Cryptocurrency portfolio management with deep reinforcement learning (2016, background): “Sharpe ratio [27] is a measure of risk-adjusted return, defined as S = rp−rf σp , where rp is the expected portfolio return, rf is the risk free rate of return (0 in this case), and σp is the standard deviation of the portfolio value.”
Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan? (2006, unknown): “We focus on the systematic risk of the firm and use beta from the Sharpe (1964) Capital Asset Pricing Model (CAPM) as the measure of such risk1.”
The Conditional Relation between Beta and Returns : Evidence from Japan and Sri Lanka (2013, background): “094 THE HIKONE RONSO 2013 spring / No.395 I INTRODUCTION The Capital Asset Pricing Model (CAPM) of Sharpe (1964), Lintner (1965), and Black (1972) (SLB) states that, in equilibrium, the expected return on a security is a positive linear function of its beta, and beta suffice to describe the…”
Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns (2011, background): “Electronic copy available at: http://ssrn.com/abstract=1262416 a Department of Economics and Finance, Zicklin School of Business, Baruch College, One Bernard Baruch Way, Box 10-225, New York, NY 10010.”
A Simplified Perspective of the Markowitz Portfolio Theory (2013, unknown): “Sharpe (1964) significantly advanced the Efficient Frontier and Capital Market Line concepts in his derivation of the CAPM.”
Dynamic asset pricing theory with uncertain time-horizon. (2005, unknown): “Following the single-period Capital Asset Pricing Model (CAPM) of Sharpe (1964) and Lintner (1965), equilibrium asset pricing models have been developed in multi-period settings in both discrete time (Rubinstein (1976), Breeden and Litzenberger (1978)) and continuous time (Merton (1973), Breeden…”
Optimal leverage from non-ergodicity (2009, background): “Any efficient portfolio along the straight efficient frontier can be specified by its fractional holdings of the market portfolio (Sharpe 1964), which we define as the leverage, l.”
Disentangling Risk and Change (2015, methodology): “We derived beta by estimating the linear regression of the capital asset pricing model (CAPM) of Sharpe (1964) and Lintner (1965); we used time series of returns on a given fund and the returns on the market portfolio, typically represented by the return on the S&P 500 (Carhart, 1997).”
An Evaluation of Accounting-Based Measures of Expected Returns (2005, unknown): “Well-known theoretical results developed by Sharpe (1964), Lintner (1965), and Mossin (1966) suggest that beta is an appropriate measure of systematic risk.”