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
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.< o:p>
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.
Setting
the Record Straight on Style Analysis (Romanian translation)
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
Vanguardon 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 magazineInvestment
Adviser, published by the Financial Times. Almost a verbatim
transcript,
not a polished piece.
Equilibrium Simulation
Slides from a presentation given at the Institute for Quantitative
Research in Finance in October, 2006
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
Expected Utility Asset Allocation
Procedures for optimization and reverse optimization analysis in
asset allocation studies. Assumes that investors wish to maximize
expected utility, does not require that investors care only about the
mean and variance of portfolio return and allows for general
distributions of asset returns. Draft of a paper published in 2007 in
the Financial Analysts' Journal