Online citations, reference lists, and bibliographies.
Please confirm you are human
(Sign Up for free to never see this)
← Back to Search

THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS

J. Lintner
Published 1965 · Economics

Save to my Library
Download PDF
Analyze on Scholarcy
Share
Publisher Summary This chapter discusses the problem of selecting optimal security portfolios by risk-averse investors who have the alternative of investing in risk-free securities with a positive return or borrowing at the same rate of interest and who can sell short if they wish. It presents alternative and more transparent proofs under these more general market conditions for Tobin's important separation theorem that “ … the proportionate composition of the non-cash assets is independent of their aggregate share of the investment balance … and for risk avertere in purely competitive markets when utility functions are quadratic or rates of return are multivariate normal. The chapter focuses on the set of risk assets held in risk averters' portfolios. It discusses various significant equilibrium properties within the risk asset portfolio. The chapter considers a few implications of the results for the normative aspects of the capital budgeting decisions of a company whose stock is traded in the market. It explores the complications introduced by institutional limits on amounts that either individuals or corporations may borrow at given rates, by rising costs of borrowed funds, and certain other real world complications.
This paper references



This paper is referenced by
10.11606/D.12.2013.TDE-20022014-153352
Risco downside e CoVaR no mercado brasileiro de ações
Thiago Basso Alexandrino (2013)
10.3929/ETHZ-A-010611089
Portfolio selection with frictions
R. Liu (2016)
10.2139/ssrn.2869563
Financial Reporting Quality and Noise in Stock Returns: Evidence from Chinese A-B Twin Shares
Liang Ma (2019)
The Capital Asset Pricing Model’s Risk-Free Rate
S. Mukherji (2011)
Estimating insurer ́ s capital requirements through Markov switching models in the Solvency II framework
L. Otero (2011)
10.1007/S11156-006-7031-4
The Cross-Section of Stock Returns on The Shanghai Stock Exchange
K. A. Wong (2006)
Is media just noise?The link between media factors and stock performance
P. Takala (2013)
Computing or Estimating Extensions' Probabilities over Structured Probabilistic Argumentation Frameworks
B. Fazzinga (2016)
10.1016/S1042-444X(01)00054-8
Time variation and asymmetry in systematic risk: evidence from the Finnish stock exchange
Gregory Koutmos (2002)
Algorithmic trading, market efficiency and the momentum effect
Rafael Alon Gamzo (2014)
10.2139/ssrn.3274994
The Cost Impact of Basel III Across ASEAN-5: Macro Stress Testing of Malaysia’s Banking Sector
John Taskinsoy (2017)
10.2139/ssrn.796194
Predictable Risk and Returns in Emerging Markets
C. Harvey (1994)
Multi-factor Estimation of Stock Index Movement
T. P. Ghosh (2008)
10.1093/RFS/7.4.687
Analytical GMM Tests: Asset Pricing with Time-Varying Risk Premiums
Guofu Zhou (1994)
10.1002/MDE.4090150207
Three‐parameter asset pricing
G. Diacogiannis (1994)
10.1080/09639289300000014
Portfolio theory applied to on-line financial information: a computer-based graphical approach *
B. M. Bielinski (1993)
10.1016/0167-9473(93)90259-V
A simulation study of some non-parametric regression estimators
Prem P. Talwar (1993)
International Portfolio Investments and The Informational Value of Trade
Mohammed Aba Al-Khail (2002)
10.1016/1045-2354(90)01006-9
Working within neoclassical theory and “modern theory≓ of finance to detect and measure monopoly power components of ex post accounting rate of return
R. Jensen (1990)
10.1007/S11459-007-0015-Z
Chinese consumption and asset returns: An analysis across income groups
W. Li-ping (2007)
10.1080/13518470903102419
Long-run cash flow and discount-rate risks in the cross-section of US returns
Michail Koubouros (2010)
10.1016/J.IRFA.2008.04.004
Portfolio selection subject to experts' judgments
K. Smimou (2008)
10.1016/0148-6195(86)90005-6
An intertemporal capital asset pricing model under heterogeneous beliefs
S. Chen (1986)
10.1080/00036848000000030
Conglomerate diversification and performance: a survey and time series analysis
D. Beattie (1980)
10.2139/SSRN.2032216
Wybrane Dylematy Szacowania Kosztu Kapitału Własnego Za Pomocą Modelu CAPM (Selected Dilemmas of Estimating the Cost of Equity with the CAPM)
J. Wyrobek (2012)
10.1016/J.JIMONFIN.2014.03.008
Market efficiency during the global financial crisis: Empirical evidence from European banks
T. Choudhry (2014)
10.1111/J.1468-5957.1975.TB00944.X
Portfolio Performance with Lending or Borrowing
S. Matulich (1975)
10.1007/978-3-322-83897-1_9
Eine Analyse der Kuhn-Tucker-Bedingungen stochastischer Programme unter dem Gesichtspunkt der Schätzung von Kalkulationszinsfüßen und Risikoabschlägen
L. Haegert (1975)
10.1016/S1062-9769(99)80110-0
Estimating EGARCH-M models: Science or art?
Eileen F. St. Pierre (1998)
10.1111/j.1467-629X.2011.00464.x
Australian Evidence on the Implementation of the Size and Value Premia
P. Docherty (2013)
Relationship between Financial Characteristics of Companies in Cement Industry and Their Stock Returns in Tehran Stock Exchange
F. Zaheri (2015)
10.1016/0304-405X(78)90026-0
Anomalies in relationships between securities' yields and yield-surrogates
Ray E. Ball (1978)
See more
Semantic Scholar Logo Some data provided by SemanticScholar