Expected utility asset allocation

Financial Analysts Journal

Volumn 63, Issue 5, 2007, Pages 18-30

  Sharpe, William F ^a  

^a STANFORD UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 35348949084     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v63.n5.4837     Document Type: Article

References (8)

1. Adler, Tim, and Mark Kritzman. 2007. "Mean-Variance versus Full-Scale Optimization." Journal of Asset Management, vol. 7, no. 5 (January):302-311.
2. Black, Fischer, and Robert Litterman. 1992. "Global Portfolio Optimization." Financial Analysts Journal, vol. 48, no. 5 (September/October):28-43.
3. Cremers, Jan-Hein, Mark Kritzman, and Sebastien Page. 2005. "Optimal Hedge Fund Allocations: Do Higher Moments Matter?" Journal of Portfolio Management, vol. 31, no. 3 (Spring):70-81.
4. Levy, Haim, and Harry M. Markowitz. 1979. "Approximating Expected Utility by a Function of Mean and Variance." American Economic Review, vol. 69, no. 3 (June):308-317.
5. Markowitz, H.M. 1959. Portfolio Selection: Efficient Diversification of Investments. New York: Wiley.
6. Sharpe, William F. 1985. AAT: Asset Allocation Tools. Redwood City, CA: Scientific Press.
7. _. 1987. "An Algorithm for Portfolio Improvement." In Advances in Mathematical Programming and Financial Planning. Edited by K.D. Lawrence, J.B. Guerard, and Gary D. Reeves. Greenwich, CT: JAI Press.
8. _. 2007. Investors and Markets: Portfolio Choices, Asset Prices, and Investment Advice. Princeton, NJ: Princeton University Press.