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Eugene Eugene (January, 1965)
“The Behavior of Stock‐Market Prices”Journal of Business, XXXVII
John John (February, 1965)
“The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets”Review of Economics and Statistics, XLVII
Ira Ira (Spring, 1965)
“A Model for Mutual Fund Evaluation”Industrial Management Review, VI
Benjamin Benjamin (January, 1966)
“Market and Industry Factors in Stock Price Behavior”Journal of Business, XXXIX
Benoit Benoit (October, 1963)
“The Variation of Certain Speculative Prices”Journal of Business, XXXVI
Jack Jack (JanuaryFebruary, 1965)
“How to Rate Management of Investment Funds”Harvard Business Review, XLIII
Kalman Kalman, Jerry Jerry (April, 1967)
“An Empirical Evaluation of Alternative Portfolio Selection Models”Journal of Business, XXXX
John John (December, 1965)
“Security Prices, Risk, and Maximal Gains from Diversification”Journal of Finance, XX
Eugene Eugene (March, 1968)
“Risk, Return and Equilibrium: Some Clarifying Comments”Journal of Finance, XXIII
Irwin Irwin, Brown Brown, Edward Edward, Douglas Douglas (September, 1965)
“Portfolio Selection and Investment Performance”Journal of Finance, XX
William William (January, 1966)
“Mutual Fund Performance”Journal of Business, XXXIX
William William (September, 1964)
“Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk”Journal of Finance, XIX
William William (March, 1967)
“Linear Programming Algorithm for Mutual Fund Portfolio Selection”Management Science, XIII
I. I ntroduction A CENTRAL PROBLEM IN FINANCE (and especially portfolio management) has been that of evaluating the “performance” of portfolios of risky investments. The concept of portfolio “performance” has at least two distinct dimensions: 1) The ability of the portfolio manager or security analyst to increase returns on the portfolio through successful prediction of future security prices, and 2) The ability of the portfolio manager to minimize (through “efficient” diversification) the amount of “insurable risk” born by the holders of the portfolio. The major difficulty encountered in attempting to evaluate the performance of a portfolio in these two dimensions has been the lack of a thorough understanding of the nature and measurement of “risk.” Evidence seems to indicate a predominance of risk aversion in the capital markets, and as long as investors correctly perceive the “riskiness” of various assets this implies that “risky” assets must on average yield higher returns than less “risky” assets. 1 Hence in evaluating the “performance” of portfolios the effects of differential degrees of risk on the returns of those portfolios must be taken into account. Recent developments in the theory of the pricing of capital assets by Sharpe [ 20 ], Lintner
The Journal of Finance – Wiley
Published: May 1, 1968
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