Sharing rules and equilibrium in an international capital market under uncertainty

Grauer, Frederick L.A.; Litzenberger, Robert H.; Stehle, Richard E.

doi:10.1016/0304-405x(76)90005-2

Cited by 384

The DOI matches its Crossref record; 10 of the 10 references it cites were found in a registry or an index.

Sharing rules and equilibrium in an international capital market under uncertainty

Grauer, Frederick L.A., Litzenberger, Robert H., Stehle, Richard E.·1976·Journal of Financial Economics

DOI 10.1016/0304-405x(76)90005-2

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CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
Sharpe, W. F. (1964) · The Journal of Finance · doi:10.1111/j.1540-6261.1964.tb02865.x · Cited by 19,441
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
Lintner, J. (1965) · The Review of Economics and Statistics · doi:10.2307/1924119 · Cited by 6,877
THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]
Lintner, J. (1975) · Stochastic Optimization Models in Finance · doi:10.1016/b978-0-12-780850-5.50018-6 · Cited by 6,743
Essays in the Theory of Risk-Bearing.
Hakansson, N. H., & Arrow, K. J. (1972) · The Journal of Finance · doi:10.2307/2978877 · Cited by 3,991
The Role of Securities in the Optimal Allocation of Risk-bearing
Arrow, K. J. (1973) · Readings in Welfare Economics · doi:10.1007/978-1-349-15492-0_19 · Cited by 1,179
An equilibrium model of the international capital market
Solnik, B. H. (1974) · Journal of Economic Theory · doi:10.1016/0022-0531(74)90024-6 · Cited by 1,129
A Tract on Monetary Reform
Keynes, J. M. (1971) · Palgrave Macmillan UK eBooks · doi:10.1007/978-1-349-00813-1 · Cited by 1,114
The Making of Index-Numbers.
Y., G. U., & Fisher, I. (1923) · Journal of the Royal Statistical Society · doi:10.2307/2341626 · Cited by 687
Abnormal Deviations in International Exchanges
Cassel, G. (1918) · The Economic Journal · doi:10.2307/2223329 · Cited by 598
Invariant Economic Index Numbers and Canonical Duality: Survey and Synthesis.
Samuelson, P. A., & Swamy, S. (1974) · American Economic Review · Cited by 463

Show all 10 references

Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis
Hansen, L. P., & Hodrick, R. J. (1980) · Journal of Political Economy · doi:10.1086/260910 · Cited by 2,111
International Asset Pricing under Mild Segmentation: Theory and Test
ERRUNZA, V., & LOSQ, E. (1985) · The Journal of Finance · doi:10.1111/j.1540-6261.1985.tb04939.x · Cited by 1,020
A model of international asset pricing
Stulz, R. (1981) · Journal of Financial Economics · doi:10.1016/0304-405x(81)90005-2 · Cited by 804
The More, the Better? Predicting Stock Returns with Local and Global Data
Cakici, N., & Zaremba, A. (2025) · doi:10.2139/ssrn.5181449 · Cited by 2

See all 384

Authors: Grauer, F. L. A., Litzenberger, R. H., & Stehle, R. E.
Venue: Journal of Financial Economics
Publisher: Elsevier BV
Published: 1976-06
Volume: 3
Issue: 3
Pages: 233-256
ISSN: 0304-405X (ISSN-L)
DOI: 10.1016/0304-405x(76)90005-2
OpenAlex: W2095102090
Cited by: 384
References: 10
FWCI: 41.39
Type: journal article
Language: en
Open access: closed

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This page: CoChat. (2026). Citation check: Sharing rules and equilibrium in an international capital market under uncertainty. https://app.cochat.ai/papers/10.1016/0304-405x(76)90005-2
The paper: Grauer, F. L. A., Litzenberger, R. H., & Stehle, R. E. (1976). Sharing rules and equilibrium in an international capital market under uncertainty. Journal of Financial Economics. https://doi.org/10.1016/0304-405x(76)90005-2

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Sharing rules and equilibrium in an international capital market under uncertainty

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