William F. Sharpe (1934-)
Premio Nobel 
1990
Economista estadounidense, Sharpe 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.
Sharpe 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.
En Internet:
Autobiografía en la Fundación Nobel
Comunicado de prensa por la concesión del Nobel
Obras
Libros
- The Economics of Computers,
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The Columbia University Press (New York), 1969.
- Portfolio Theory and Capital Markets,
McGraw-Hill Book Company (New York), 1970.
- 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.
- 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,"
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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.
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