Enciclopedia Multimedia y Biblioteca Virtual de Economía EMVI Versión CD

Grandes Economistas

William F. Sharpe (1934-)

Premio Nobel 1990

Economista estadounidense, estudió en UCLA donde fue discípulo de Armen A. Alchian y obtuvo el doctorado en 1961. Trabaja como investigador en la RAND Corporation y como profesor en la Universidad de Washington (Seatle), en la Universidad de California en Irvine y en la Stanford University.

Obtiene el Premio Nobel de Economía en 1990, compartido con Harry M. Markowitz y Merton M. Miller por su trabajo pionero en la teoría de la economía financiera.

---

Obras

Libros

• The Economics of Computers, The Columbia University Press (New York), 1969.
• Portfolio Theory and Capital Markets, McGraw-Hill Book Company (New York), 1970.
• duction to Managerial Economics, Columbia University Press, 1973.
• BASIC: An duction 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.
• Investments (Sixth Edition,w ith Gordon J. Alexander and Jeffrey V. Bailey), Prentice-Hall, 1999.
• Fundamentals of Investments (Thifd Edition, with Gordon J. Alexander and Jeffrey V. Bailey), Prentice-Hall, 2000.

Artículos

• "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.