Autocorrelation, Investment Horizon and Efficient Frontier Composition

The Behavior of Stock-Market Prices

1965 • 8,575 citations

THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945-1964

1968 • 4,463 citations

Mutual Fund Performance

1966 • 3,489 citations

Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios

1969 • 980 citations

Brownian Motion in the Stock Market

1959 • 967 citations

A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices

1974 • 921 citations

Optimal Multiperiod Portfolio Policies

1968 • 762 citations

The Distribution of Share Price Changes

1972 • 543 citations

The Capital Asset Pricing Model and the Investment Horizon

1977 • 266 citations

Portfolio Performance and the Investment Horizon

1972 • 135 citations

The Predictability of Stock Market Prices.

1971 • 119 citations

The Optimal Portfolio Revision Policy

1971 • 112 citations

THE TIME‐VARIANCE RELATIONSHIP: EVIDENCE ON AUTOCORRELATION IN COMMON STOCK RETURNS

1977 • 78 citations

The Effect of Intervaling on Estimating Parameters of the Capital Asset Pricing Model

1978 • 72 citations

On the Optimality of Some Multiperiod Portfolio Selection Criteria

1974 • 62 citations

Multiperiod Portfolio Analysis And The Inefficiency Of The Market Portfolio

1976 • 32 citations

Random Walk of Stock Prices: A Test of the Variance-Time Function

1971 • 19 citations

A Time-Series Analysis of the "Bills-Only" Theory of Interest Rates

1966 • 16 citations

Mixed Security Testing of Alternative Portfolio Selection Models

1977 • 14 citations

SYSTEMATIC RISK FOR HETEROGENEOUS TIME HORIZONS

1975 • 12 citations

Time Aggregation, Coefficient of Determination and Systematic Risk of The Market Model*

1978 • 12 citations

AN EXAMINATION OF THE YIELDS OF CORPORATE BONDS AND STOCKS

1974 • 11 citations

The Derivation of Efficient Sets

1976 • 11 citations

CAPITAL MARKET IMPERFECTIONS AND THE COMPOSITION OF OPTIMAL PORTFOLIOS

1974 • 8 citations

WARRANT PRICE MOVEMENTS AND THE EFFICIENT MARKET MODEL

1975 • 5 citations

Capital Market Imperfections and the Composition of Optimal Portfolios

1974 • 5 citations

Systematic Risk for Heterogeneous Time Horizons

1975 • 4 citations

Warrant Price Movements and the Efficient Market Model

1975 • 1 citations