Journal ArticleDOI
Portfolio Selection: Efficient Diversification of Investments.
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This article is published in Journal of Finance.The article was published on 1960-09-01. It has received 657 citations till now. The article focuses on the topics: Application portfolio management & Portfolio.read more
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Capital asset prices: a theory of market equilibrium under conditions of risk*
TL;DR: In this paper, the authors present a body of positive microeconomic theory dealing with conditions of risk, which can be used to predict the behavior of capital marcets under certain conditions.
Journal ArticleDOI
The Cross‐Section of Expected Stock Returns
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this paper, Bhandari et al. found that the relationship between market/3 and average return is flat, even when 3 is the only explanatory variable, and when the tests allow for variation in 3 that is unrelated to size.
Posted Content
The Capital Asset Pricing Model: Some Empirical Tests
TL;DR: In this paper, the authors present some additional tests of the mean-variance formulation of the asset pricing model, which avoid some of the problems of earlier studies and provide additional insights into the nature of the structure of security returns.
Journal ArticleDOI
Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?
TL;DR: In this article, the authors evaluate the out-of-sample performance of the sample-based mean-variance model, and its extensions designed to reduce estimation error, relative to the naive 1-N portfolio.
Book
Theory of Financial Decision Making
TL;DR: In this article, the authors provide access to a broad area of research that is not available in separate articles or books of readings, such as the meaning and measurement of risk, general single-period portfolio problems, mean-variance analysis and the Capital Asset Pricing Model, the Arbitrage Pricing Theory, complete markets, multi period portfolio problems and the Intertemporal Capital Asset pricing model, the Black-Scholes option pricing model and contingent claims analysis, 'risk-neutral' pricing with Martingales, Modigliani-Miller and the capital structure of the firm, interest