Table of Contents Author Guidelines Submit a Manuscript
Economics Research International
Volume 2011 (2011), Article ID 781760, 9 pages
Research Article

Sharpe (Ratio) Thinking about the Investment Opportunity Set and CAPM Relationship

Faculty of Economics, University of Agder, Service Box 422, 4604 Kristiansand, Norway

Received 6 December 2010; Revised 20 April 2011; Accepted 4 May 2011

Academic Editor: Yi-Ming Wei

Copyright © 2011 Valeriy Zakamulin. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Linked References

  1. H. M. Markowitz, “Portfolio selection,” Journal of Finance, vol. 7, pp. 77–91, 1952. View at Google Scholar
  2. R. C. Merton, “An analytic derivation of the efficient portfolio frontier,” Journal of Financial and Quantitative Analysis, vol. 7, pp. 1851–1872, 1972. View at Google Scholar
  3. R. Roll, “A critique of the asset pricing theory's tests part I: on past and potential testability of the theory,” Journal of Financial Economics, vol. 4, no. 2, pp. 129–176, 1977. View at Google Scholar
  4. C. f. Huang and R. H. Litzenberger, Foundations for Financial Economics, Prentice Hall, Englewood Cliffs, NJ, USA, 1993.
  5. H. G. Grubel, “Internationally diversified portfolios: welfare gains and capital flows,” American Economic Review, vol. 58, no. 5, pp. 1299–1314, 1968. View at Google Scholar
  6. H. Levy and M. Sarnat, “International diversification of investment portfolios,” American Economic Review, vol. 60, no. 4, pp. 668–675, 1970. View at Google Scholar
  7. B. H. Solnik, “Why not diversify internationally rather than domestically?” Financial Analysts Journal, vol. 30, no. 4, pp. 48–54, 1974. View at Google Scholar
  8. M. King, E. Sentana, and S. Wadhwani, “Volatility and links between national stock markets,” Econometrica, vol. 62, no. 4, pp. 901–933, 1994. View at Google Scholar
  9. F. Longin and B. Solnik, “Is the correlation in international equity returns constant: 1960–1990?” Journal of International Money and Finance, vol. 14, no. 1, pp. 3–26, 1995. View at Google Scholar
  10. W. N. Goetzmann, L. Li, and K. G. Rouwenhorst, “Long-term global market correlations,” Journal of Business, vol. 78, no. 1, pp. 1–38, 2005. View at Publisher · View at Google Scholar
  11. C. S. Eun and J. Lee, “Mean-variance convergence around the world,” Journal of Banking and Finance, vol. 34, no. 4, pp. 856–870, 2010. View at Publisher · View at Google Scholar
  12. J. Ingersoll, M. Spiegel, and W. Goetzmann, “Portfolio performance manipulation and manipulation-proof performance measures,” Review of Financial Studies, vol. 20, no. 5, pp. 1503–1546, 2007. View at Publisher · View at Google Scholar
  13. J. L. Treynor, “How to rate management investment funds,” Harvard Busines Review, vol. 43, pp. 63–75, 1966. View at Google Scholar
  14. J. L. Treynor and F. Black, “How to use security analysis to improve portfolio selection,” Journal of Business, vol. 46, no. 1, pp. 66–86, 1973. View at Google Scholar