Articles and Papers

Articles, Papers, Talks and Cases Available for Direct Viewing

"The Parable of the Money Managers,"
Reprinted with permission from The Financial Analysts Journal, July/August 1976.
A somewhat whimsical discourse on active and passive management.

Autobiography
An autobiography prepared for the Nobel Foundation in 1990. More than you would want to know about my life to that point

"Capital Asset Prices with and without Negative Holdings,"
My Nobel lecture in 1990. Includes a concise version of the original CAPM with extensions to cover cases in which negative holdings are not allowed.
Published in the Journal of Finance, June 1991, pp. 489-509

"The Arithmetic of Active Management,"
Reprinted with permission from The Financial Analysts Journal, January/February 1991
A more serious treatment of active and passive management.

Asset Allocation: Management Style and Performance Measurement.
Reprinted with permission from The Journal of Portfolio Management, Winter 1992.
Presents the method now generally known as Returns-based Style Analysis and shows results obtained from the analysis of U.S. mutual funds.

"Nuclear Financial Economics,"
Stanford Research Paper 1275, November 1993, subsequently published in: Risk Management: Problems & Solutions,
(William H. Beaver and George Parker, editors), McGraw-Hill, 1995, pp. 17-35.
NOTE: This is a very large pdf file that will take a very long time to load

The Sharpe Ratio.
Reprinted with permission from The Journal of Portfolio Management, Fall 1994.
Presents this measure of return per unit of risk and discusses its strengths and limitations.

The Styles and Performance of Large Seasoned U.S. Mutual Funds
Published on the World Wide Web, March 1995.
A study of the style and performance of 100 large, seasoned U.S. mutual funds. Tests the hypothesis that "winners repeat".

Setting the Record Straight on Style Analysis
Reprinted with permission from Dow-Jones Fee Advisor, November/December 1995.
An extensive interview with Barry Vinocur that deals with a number of questions about this technique.

Financial Economists Roundtable Statment on Risk Disclosure by Mutual Funds
A statement issued in 1996 concerning risk disclosure by mutual funds.

Morningstar's Performance Measures
An empirical study of Morningstar's performance measures and alternative measures used in academic and other industry analyses. Completed in December, 1997.

Bob Boomer
A case involving an individual who must decide how to use a 401(k) plan to save and invest for his retirement.

Vanguard Interview
An interview in the Summer 1997 issue of the publication In the Vanguard on basic issues of investing.

Mutual Fund Performance Measures
"Slides" from a presentation to the Institute for Quantitative Finance, October 7, 1997

Financial Planning in Fantasyland
A paper about the deficiencies of some financial planning software. Completed in December, 1997.

Morningstar's Risk-adusted Ratings (web version)
A paper on the theoretical aspects of the measures that form the basis for Morningstar's "Star" ratings. Completed in January, 1998.

Morningstar's Risk-adusted Ratings (published version)
A link to a .pdf file of this paper, published in the July/August 1998 issue of the Financial Analysts Journal, pp. 21-33.

Revisiting the Capital Asset Pricing Model
Reprinted with permission from Dow Jones Asset Management, May/June 1998.
An interview with Jonathan Burton that deals with a number of issues about the CAPM, factor models, and more.

Investors Need Quality Low-Cost Advice: A Conversation with Financial Engines' William Sharpe
An interview for the Mutual Fund Cafe' website with Virginia Munger Kahn on Financial Engines' approach to investment advice

The Journal Interview
An interview on performance measurement, from the Journal of Performance Measurement, Winter 1998/1999

The Distribution Builder: A Tool for Inferring Investor Preferences
A paper (with Daniel G. Goldstein and Philip W. Blyth) on a method for inferring an investor's preferences, September 2000

Individual Risk and Return Preferences: A Preliminary Survey
A paper describing the results obtained in a survey using the Distribution Builder aproach of Sharpe, Goldstein and Blyth, Sepember 2001
Also available: a slide presentation based on the paper

Budgeting and Monitoring the Risk of Defined Benefit Pension Funds
A draft of a paper on the ways in which mean/variance based risk management tools can be used by those responsible for defined benefit pension funds, September 2001

Indexed Investing: A Prosaic Way to Beat the Average Investor
A talk on indexed investing, May, 2002

Investment Strategy
An article in the UBS Wealth management magazine, 2nd quarter 2004, on the application of modern investment theory

Investment Adviser (UK) Interview
An article in the Dec. 6, 2004 issue of the magazine Investment Adviser, published by the Financial Times. Almost a verbatim transcript, not a polished piece.

Advisor Perspectives Interview
An article in the October 2007 issue of the online service, Advisor Perspectives.

L'Agefi Interview
An article (in French) in the December 14, 2007 issue of L'Agefi (Le Quotidien Suisse de la Finance et de L:Economie)

Index Universe Interview
An interview with Heather Bell about diverse subjects, including index funds, asset allocation, fundamental indices, ETFs and retirement savings

Selected Publications

Books

The Economics of Computers,: The Columbia University Press (New York), 1969, 571 pages.
Portfolio Theory and Capital Markets,: McGraw-Hill Book Company (New York), 1970, 316 pages.
Introduction to Managerial Economics,: Columbia University Press, 1973.
BASIC: An Introduction to Computer Programming Using the Basic Language,: (Third Edition, with Nancy L. Jacob), The Free Press (New York), 1979.
Asset Allocation Tools,: (Second Edition), The Scientific Press, 1987, 139 pages.
Investments: (Sixth Edition, with Gordon J. Alexander and Jeffrey V. Bailey), Prentice-Hall, 1999.
Fundamentals of Investments: (Third Edition, with Gordon J. Alexander and Jeffrey V. Bailey), Prentice-Hall, 2000.

Portfolio Theory and Capital Markets, the Original Edition with a Forward: McGraw-Hill Book Company (New York), 2000.

Investors and Markets: Portfolio Choices, Asset Prices and Investment Advice
Princeton University Press, 2007

Articles

"A Simplified Model for Portfolio Analysis,": Management Science, January 1963, pp. 277-293.
"Capital Asset Prices - A Theory of Market Equilibrium Under Conditions of Risk,": Journal of Finance, September 1964, pp. 425-442.
"Risk-Aversion in the Stock Market - Some Empirical Evidence,": Journal of Finance, September 1965, pp. 416-422.
"Mutual Fund Performance,": Journal of Business, January 1966, pp. 119-138.
"A Linear Programming Algorithm for Mutual Fund Portfolio Selection,": Management Science, March 1967, pp. 499-510.
"Mean-Absolute Deviation Characteristic Lines for Securities and Portfolios,": Management Science, October 1971, pp. B-1-B-13.
"A Linear Programming Approximation for the General Portfolio Analysis Problem,": Journal of Financial and Quantitative Analysis, December 1971, pp. 1263-1275.
"Risk, Market Sensitivity and Diversification,": Financial Analysts Journal, January/February 1972, pp. 74-79.
"Risk-Return Classes of New York Stock Exchange Common Stocks, 1931-1967,": (with Guy M. Cooper), Financial Analysts Journal, March/April 1972, pp. 46-54, 81, 95-101.
"The Capital Asset Pricing Model: Traditional and 'Zero-Beta' Versions,": Journal of the Midwest Finance Association, 1973, pp. 1-12.
"Bonds Versus Stocks: Some Lessons From Capital Market Theory,": Financial Analysts Journal, November/December 1973, pp. 74-80.
"Imputing Expected Returns From Portfolio Composition,": Journal of Financial and Quantitative Analysis, June 1974, pp. 463-472.
"Adjusting for Risk in Portfolio Performance Measurement,": Journal of Portfolio Management, Winter 1975.
"Closed-end Investment Companies in the United States": (with Howard B. Sosin), European Finance Association, 1974 Proceedings (B. Jacquillat, Editor), North-Holland, 1975, pp. 37-63.
"Likely Gains From Market Timing,": Financial Analysts Journal, March/April 1975, pp. 60-69.
"Risk, Return and Yield: New York Stock Exchange Common Stocks, 1928-1969": (with Howard B. Sosin), Financial Analysts Journal, March/April 1976, pp. 33-42.
"Corporate Pension Funding Policy,": Journal of Financial Economics, June 1976, pp. 183-193.
"The Capital Asset Pricing Model: A 'Multi-Beta' Interpretation,": Financial Decision Making Under Uncertainty, (Haim Levy and Marshall Sarnat, Editors), Academic Press (New York), 1977, pp. 127-136.
"Bank Capital Adequacy, Deposit Insurance, and Security Values,": Journal of Financial and Quantitative Analysis, November 1978, pp. 701-718.
"Duration and Security Risk",: (with Ronald Lanstein) Journal of Financial and Quantitative Analysis, November 1978, pp. 653-668.
"Decentralized Investment Management,": Journal of Finance, May 1981, pp. 217-234.
"Bank Capital Adequacy, Deposit Insurance, and Security Values: Risk and Capital Adequacy in Commercial Banks, (Sherman J. Maisel, Editor), University of Chicago Press, 1981, pp. 187-202.
"Some Factors in New York Stock Exchange Security Returns, 1931-1979,": Journal of Portfolio Management, Summer 1982, pp. 5-19.
"Optimal Funding and Asset Allocation Rules for Defined-Benefit Pension Plans",: (with J. Michael Harrison), Financial Aspects of the United States Pension System , (Zvi Bodie and John B. Shoven, Editors), The University of Chicago Press (Chicago), 1983, pp. 91-105.
"Factor models, CAPMs, and the APT,": Journal of Portfolio Management, Fall 1984, pp. 21-25.
"Practical Aspects of Portfolio Optimization,": Improving the Investment Decision Process: Quantitative Assistance for the Practitioner and for the Firm, Dow-Jones Irwin (Homewood, Illinois), 1984, pp. 52-65.
"Financial Implications of South African Divestment,",: (with Blake R. Grossman)Financial Analysts Journal, July/August 1986, pp. 15-29.
"An Algorithm for Portfolio Improvement,": Advances in Mathematical Programming and Financial Planning, (K.D. Lawrence, J.B. Guerard, Jr., and Gary D. Reeves, Editors), JAI Press, Inc., 1987, pp. 155-170.
"Integrated Asset Allocation,": Financial Analysts Journal, September/October 1987, pp. 25-32.
"Dynamic Strategies for Asset Allocation",: (with Andre Perold), Financial Analysts Journal, January/February 1988, pp. 16-27.
"Determining a Fund's Effective Asset Mix,": Investment Management Review, November/December 1988, pp. 59-69.
"Asset Allocation,": Managing Investment Portfolios, A Dynamic Process, (John L. Maginn and Donald L. Tuttle, Editors), Warren, Gorham & Lamont, 1990, pp. 7-1 through 7-71.
"Investor Wealth Measures and Expected Return,": Quantifying the Market Risk Premium Phenomenon for Investment Decision Making, The Institute of Chartered Financial Analysts, 1990, pp. 29-37; .
"Liabilities -- A New Approach,": (with Lawrence G. Tint), Journal of Portfolio Management, Winter 1990, pp. 5-10.
"Capital Asset Prices with and without Negative Holdings,": Journal of Finance, June 1991, pp. 489-509.
"Policy Asset Mix, Tactical Asset Allocation and Portfolio Insurance,": Active Asset Allocation, State-of-the-Art Portfolio Policies, Strategies & Tactics, (Robert D. Arnott and Frank J. Fabozzi, Editors), Probus Publishing Company, 1992, pp. 115-133.
"Asset allocation: Management style and performance measurement,": Journal of Portfolio Management, Winter 1992, pp. 7-19.
"International Value and Growth Stock Returns,": (with Carlo Capaul and Ian Rowley) Financial Analyst's Journal, January/February 1993, pp. 27-36.
"The Sharpe Ratio,": Journal of Portfolio Management, Fall 1994, pp. 49-58.
"Nuclear Financial Economics,": Risk Management: Problems & Solutions, (William H. Beaver and George Parker, editors), McGraw-Hill, 1995, pp. 17-35.

"Budgeting and Monitoring Pension Fund Risk,"
Financial Analysts' Journal, Vol. 56, No. 5 (September/October 2002), 74-86.