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RISK MEASUREMENT AND MANAGEMEN...
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1
Bank Capital Adequacy, Deposit Insurance and Security Values, Part I
Sharpe, William F.
-
National Bureau of Economic Research (NBER)
-
1977
This paper provides a formal setting for the analysis of the capital adequacy of an institution with deposits insured by a third party. An insured depositor has a claim against the institution and a contingent claim against the insurer. This paper analyzes the effect of the riskiness of the...
Persistent link: https://www.econbiz.de/10005829446
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2
Optimal Funding and Asset Allocation Rules for Defined-Benefit Pension Plans
Harrison, J. Michael
;
Sharpe, William F.
-
National Bureau of Economic Research (NBER)
-
1982
This paper considers a world in which pension funds may default, the cost of the associated risk of default is not borne fully by the sponsoring corporation, and there are differential tax effects. The focus is on ways in which the wealth of the shareholders of a corporation sponsoring a pension...
Persistent link: https://www.econbiz.de/10005829742
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3
RISK‐AVERSION IN THE STOCK MARKET: SOME EMPIRICAL EVIDENCE
Sharpe, William F.
- In:
Journal of Finance
20
(
1965
)
3
,
pp. 416-422
Persistent link: https://www.econbiz.de/10011032109
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4
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK
Sharpe, William F.
- In:
Journal of Finance
19
(
1964
)
3
,
pp. 425-442
Persistent link: https://www.econbiz.de/10010546198
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5
REPLY
Sharpe, William F.
- In:
Journal of Finance
20
(
1965
)
1
,
pp. 94-95
Persistent link: https://www.econbiz.de/10010546242
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6
Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios
Sharpe, William F.
- In:
Management Science
18
(
1971
)
2
,
pp. 1-1
The characteristic line of a security or portfolio relates its rate of return to that of a "market portfolio." Several investigators have suggested the desirability of obtaining such a line by minimizing the sum of the absolute deviations rather than the sum of the squared deviations around the...
Persistent link: https://www.econbiz.de/10009189639
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7
A Simplified Model for Portfolio Analysis
Sharpe, William F.
- In:
Management Science
9
(
1963
)
2
,
pp. 277-293
This paper describes the advantages of using a particular model of the relationships among securities for practical applications of the Markowitz portfolio analysis technique. A computer program has been developed to take full advantage of the model: 2,000 securities can be analyzed at an...
Persistent link: https://www.econbiz.de/10009190251
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8
A Linear Programming Algorithm for Mutual Fund Portfolio Selection
Sharpe, William F.
- In:
Management Science
13
(
1967
)
7
,
pp. 499-510
The portfolio selection problem faced by a mutual fund manager can be formulated following the Markowitz approach: find those portfolios that are efficient in terms of predicted expected return and standard deviation of return, subject to legal constraints in the form of upper bounds on the...
Persistent link: https://www.econbiz.de/10009190465
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9
Communication to the Editor
Sharpe, William F.
- In:
Management Science
9
(
1963
)
3
,
pp. 498-498
Author's comment about routines for quadratic programming given in his article "A Simplified Model for Portfolio Analysis," (Management Science, January 1963, pp. 277-293).
Persistent link: https://www.econbiz.de/10009190681
Saved in:
10
A Linear Programming Approximation for the General Portfolio Analysis Problem
Sharpe, William F.
- In:
Journal of Financial and Quantitative Analysis
6
(
1971
)
05
,
pp. 1263-1275
Persistent link: https://www.econbiz.de/10008476573
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