William Forsyth Sharpe
William Forsyth Sharpe se narodil 16. června 1934 v Bostonu, Massachusetts. Oženil se v roce 1986 a má dvě děti. Jeho žena Kathryn je malířka, pracuje však také jako správce William F. Sharpe Associates.
Své středoškolské vzdělání dokončil W. Sharpe v Riverside v Kalifornii. V roce 1951 se zapsal na University of California v Berkeley a ke studiu lékařství si přibral přírodní vědy. Po roce však přešel na University of California v Los Angeles, kde si jako svůj hlavní předmět vybral vedení podniku, což ho definitivně přivedlo ke studiu ekonomické teorie. Při studiu ho ovlivnil zejména profesor financí na škole podnikání J. Fred Weston a profesor ekonomie Armen Alchian.
Po krátkém období v armádě se v roce 1956 připojil jako ekonom k RAND Corporation. Zde se mimo jiné naučil programování počítačů. Během pobytu na RAND dokončil svou disertační práci z ekonomie a získal titul Ph.D..
V roce 1961 přesídlil W. Sharpe do Seattlu, kde začal vyučovat finance na škole podnikání při Washingtonské universitě. Zde začal pracovat na zobecnění teorie rovnováhy, obsažené v závěrečné kapitole disertace. Objevil, že velmi podobné výsledky lze získat bez toho, aby se dělaly nějaké předpoklady o počtu faktorů, ovlivňujících výnosy cenných papírů. Krátce poté publikoval na toto téma článek „Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk“ (Journal of Finance, 19, 1964). Tento článek představoval co do svého názvu a obsahu základ toho, co bylo později nazváno modelem tvorby ceny kapitálového aktiva (Capital Asset Pricing Model – CAPM).
CAPM představuje normativní model, jenž určuje, jak by se měli investoři chovat a jak jsou určovány na trzích, které se čistí, výnosy a ceny. Síla závěrů, ke kterým se na základě CAPM dospívá, je přímo závislá na síle předpokladů, se kterými tento model pracuje. V reálném světě samozřejmě všechny předpoklady splněny nejsou, nicméně se ukázalo, že CAPM umožnil do značné míry pochopit, jak reálný svět, resp. finanční trhy fungují.
S výjimkou jednoho roku na RAND působil W. Sharpe na Washingtonské universitě v letech 1961 – 68. V té době pracoval na rozšiřování CAPM a na empirickém testování jeho implikací. Publikoval rovněž knihu o ekonomii počítačů a o programování počítačů.
V roce 1968 přešel na University of California v Irvine, aby se zúčastnil pokusu, zahrnujícího vytvoření školy společenských věd s kvantitativním a interdisciplinárním zaměřením. Očekávání mnoha účastníků pokusu nebyla však z řady důvodů splněna a William Sharpe přešel v roce 1970 na Stanford Univesity Graduate School of Business, kde v různých oborech působí dodnes.
V roce 1986 založil W. Sharpe firmu Sharpe-Russel Research, jejímž cílem bylo provádět výzkum a vytvářet postupy, které měly napomoci penzijním spolkům a nadacím při volbě alokace aktiv, odpovídajícím jejich podmínkám a cílům. Působnost firmy byla poté rozšířena na poskytování konzultačních služeb v oblasti alokace aktiv.
W. Sharpe spolupracoval také s řadou organizací v odvětví investování (Research Foundation při Institute of Charted Financial Analysts, Institute of Quantitative Research and Finance, Rada pro vzdělávání a výzkum při Institute of Chartered Financial Analysts, …).
Hlavní příspěvek W. Sharpa spočívá v jeho rozpracování tzv. modelu cenové tvorby kapitálových aktiv (CAPM). Důležitým přínosem W. Sharpea k teorii tvorby cen aktiv bylo i rozdělení celkového rizika libovolného cenného papíru, reprezentovaného standardní odchylkou výnosů, na dvě části: riziko diverzifikovatelné a nediverzifikovatelné.
Knihy
SHARPE, W. J. BASIC: An Introduction to Computer Programming Using the BASIC Language. New York: The Free Press, 1967. revised edition (with Nancy L. Jacob), 1971; third edition, 1979.
SHARPE, W. J. The Economics of Computers. New York: Columbia University Press, 1969.
SHARPE, W. J. Portfolio Theory and Capital Markets. New York: McGraw-Hill, 1970.
SHARPE, W. J. Introduction to Managerial Economics. New York: Columbia University Press, 1973.
SHARPE, W. J, ALEXANDER, G. J. Investments. Prentice-Hall, 1978. second edition, 1985; third edition, 1990.
SHARPE, W. J. Asset Allocation Tools. The Scientific Press, 1985. second edition, 1987.
SHARPE, W. J., ALEXANDER, G. J. Fundamentals of Investments. Prentice-Hall, 1989.
Články
SHARPE, W. J. Aircraft Compartment Design Criteria for the Army Development Mission. Naval Research Logistics Quarterly, vol. 8, no. 4, December 1961, p. 381-94.
SHARPE, W. J. A Simplified Model for Portfolio Analysis. Management Science, vol. 9, no. 2, January 1963, p. 277-93.
SHARPE, W. J. Mathematical Investment Portfolio Selection – Some Early Results. University of Washington Business Review, April 1963.
SHARPE, W. J. Financial Electronic Data Processing Equipment in the Federal Government – A Comparison of Purchase and Leasing. The Quarterly Review of Economics and Business, vol. 3, no. 4, Winter 1963, p. 59-66.
SHARPE, W. J. Capital Asset Prices – A Theory of Market Equilibrium Under Conditions of Risk. The Journal of Finance, vol. XIX, no. 3, September 1964, p. 425-442.
SHARPE, W. J. On Capital Asset Prices – Reply“. The Journal of Finance, vol. XX, no. 1, March 1965, p. 94-95.
SHARPE, W. J. Risk-Aversion in the Stock Market – Some Empirical Evidence. The Journal of Finance, vol. XX, no. 3, September 1965, p. 416-422.
SHARPE, W. J. Computer Pricing Policies From an Economist´s Point of View. In Economics of Automatic Data Processing, (A.B. Frielink, Editor), North-Holland Publishing Co., 1965, p. 238-247.
SHARPE, W. J. Mutual Fund Performance. The Journal of Business, vol. XXXIX, no. 1, Part II, January 1966, p. 119-138.
SHARPE, W. J. Business Finance – Innovation in Analysis (Discussion). The Journal of Finance, vol. XXI, no. 2, May 1966, p. 247-248.
SHARPE, W. J. Atypical Indifference Curves – A Comment. University of Washington Business Review, vol. XXV, no. 4, April-June 1966, p. 42-44.
SHARPE, W. J. Business Finance: Theory and Management. Major authors: Stephen H. Archer and Charles A. S´Ambrosio, Mac Millan Co., 1966, p. 42-92.
SHARPE, W. J. Security Prices, Risk, and Maximal Gains from Diversification: Reply. The Journal of Finance, vol. XXI, no. 4, December 1966, p. 743-744.
SHARPE, W. J. A Linear Programming Algorithm for Mutual Fund Portfolio Selection. Management Science, vol. 13, no. 7, March 1967, p. 499-510.
SHARPE, W. J. Portfolio Analysis. The Journal of Financial and Quantitative Analysis, vol. II, no. 1, June 1967, p. 76-84.
SHARPE, W. J. UWBIC – University of Washington BASIC Interpretive Compiler. Behavioral Science, vol. 13, 1968, p. 81.
SHARPE, W. J. Mutual Fund Performance and the Theory of Capital Asset Pricing – Reply. The Journal of Business, vol. 41, no. 2, April 1968, p. 235-236.
SHARPE, W. J. Efficient Capital Markets (Discussion). The Journal of Finance, May 1970, p. 418-420.
SHARPE, W. J. Basic Data for Policy and Public Decisions: Technical Aspects (Discussion). The American Economic Review, May 1970, p. 166-167.
SHARPE, W. J. Computer-Assisted Economics. The Journal of Financial and Quantitative Analysis, 1970.
SHARPE, W. J. Mean-Absolute Deviation Characteristic Lines for Securities and Portfolios. Management Science, October 1971, p. B-1-B-13.
SHARPE, W. J. A Linear Programming Approximation for the General Portfolio Analysis Problem. Journal of Financial and Quantitative Analysis, December 1971, p. 1263-1275.
SHARPE, W. J. Risk, Market Sensitivity and Diversification. Financial Analysts Journal, January-February 1972, p. 74-79.
SHARPE, W. J. Simple Strategies for Portfolio Diversification: Comment. Journal of Finance, March 1972, p. 127-129.
SHARPE, W. J., COOPER, G. M. Risk-Return Classes of New York Stock Exchange Common Stocks, 1931-1967. Financial Analysts Journal, March-April 1972, p. 46-54, 81, 95-101.
SHARPE, W. J. Risk-Adjusted Measures of Security and Portfolio Performance. In Risk and Regulated Firms, Michigan State University, 1973, p. 5-17.
SHARPE, W. J. The Capital Asset Pricing Model: Traditional and ´Zero-Beta´ Versions. Journal of the Midwest Finance Association, 1973, p. 1-12.
SHARPE, W. J. Bonds Versus Stocks: Some Lessons From Capital Market Theory. Financial Analysts Journal, November-December 1973, p. 74-80.
SHARPE, W. J. The Cost and Effectiveness of Computer Systems. In J. Daniel Couger and Robert W. Knapp (eds.), System Analysis Techniques, New York: John Wiley & Sons, 1974, p. 446-470.
SHARPE, W. J. Imputing Expected Returns From Portfolio Composition. Journal of Financial and Quantitative Analysis, June 1974, p. 463-472.
SHARPE, W. J. Are Analysts Really Necessary?. Wall Street Transcript, July 29 1974, p. 37, 683-637, 684.
SHARPE, W. J. Adjusting for Risk in Portfolio Performance Measurement. Journal of Portfolio Management, Winter 1975.
SHARPE, W. J. Risk and the Market Model. Felix Roenfeld (ed.), The Evaluation of Ordinary Shares, Paris: Dunod, 1975, p. 181-188.
SHARPE, W. J., SOSIN, H. B. Closed-end Investment Companies in the United States, European Finance Association. 1974 Proceedings (B. Jacquillat, editor), Amsterdam: North-Holland, 1975, p. 37-63.
SHARPE, W. J Likely Gains From Market Timing. Financial Analysts Journal, March-April 1975, p. 60-69.
SHARPE, W. J., SOSIN, H. B. Risk, Return and Yield: New York Stock Exchange Common Stocks, 1928-1969. Financial Analysts Journal, March-April 1976, p. 33-42.
SHARPE, W. J. Corporate Pension Funding Policy. Journal of Financial Economics, June 1976, p. 183-193.
SHARPE, W. J. The Parable of the Money Managers. Financial Analysts Journal, July-August 1976, p. 4.
SHARPE, W. J. The Capital Asset Pricing Model: A ´Multi-Beta´Interpretation. Haim Levy and Marshall Sarnt (eds.), Financial Decision Making Under Uncertainty, Academic Press, New York, 1977, p. 127-136.
SHARPE, W. J. New Evidence on the Capital Asset Pricing Model: Discussion. Journal of Finance, June 1978, p. 917-920.
SHARPE, W. J. Major Investment Styles. Journal of Portfolio Management, Winter 1978, p. 68-75.
SHARPE, W. J. Bank Capital Adequacy. Deposit Insurance, and Security Values, Journal of Financial and Quantitative Analysis, November 1978, p. 701-718.
SHARPE, W. J., LANSTEIN, R. Duration and Security Risk, Journal of Financial and Quantitative Analysis. November 1978, p. 653-668.
SHARPE, W. J. On the Uses of the CAPN in Public Utility Rate Cases: Comment. Financial Management, Autumn 1978, p. 71.
SHARPE, W. J. Security Codings: Measuring Relative Attractiveness in Perfect and Imperfect Markets. Proceedings, Seminar on the Analysis of Security Prices, May 1979, p. 1-20. Graduate School of Business, University of Chicago.
SHARPE, W. J. Portfolio Management – Computer Based Techniques. In Richard B. Tress and Ian C. Young (eds.), Modern Portfolio Management, (Proceedings for a seminar), Centre for Studies in Money, Banking, and Finance, Sydney: MacQuarie University, February 1981, p. 4-25.
SHARPE, W. J. Inflation, Hedging and Portfolio Management. In Richard B. Tress and Ian C. Young (eds.), Modern Portfolio Management, (Proceedings of a seminar), Centre for Studies in Money, Banking and Finance, Sydney: MacQuarie University, February 1981, p. 47-63.
SHARPE, W. J. Decentralized Investment Management. Journal of Finance, May 1981, p. 217-234.
SHARPE, W. J. Bank Capital Adequacy, Deposit Insurance, and Security Values In Sherman J. Maisel (ed.), Risk and Capital Adequacy in Commercial Banks, University of Chicago Press, 1981, p. 187-202.
SHARPE, W. J. Combining Financial and Actuarial Risk: Simulation Analysis (Discussion). The Journal of Finance, May 1982, p. 604-606.
SHARPE, W. J. Some Factors in New York Stock Exchange Security Returns, 1931-1979. The Journal of Portfolio Management, Summer 1982, p. 5-19.
SHARPE, W. J., WEAVER, B. D. RatBAS Basics. PC Magazine, October 1982, p. 121-131.
SHARPE, W. J. Duration and Immunization: Comments, Innovations in Bond Portfolio Management: Duration Analysis and Immunization. George G. Kaufman, G.O. Bierwag and Alden Toevs (eds.), Greenwich, Conn.: JAI Press Inc., 1983, p. 159-162.
SHARPE, W. J. Microcomputer Perspectives: Economies of Scale, Technological Progress and Standardization. Financial Analysts Journal, vol. 39, no. 5, September-October 1983, p. 25-27.
SHARPE, W. J., HARRISON, M. Optimal Funding and Asset Allocation Rules for Defined-Benefit Pension Plans. In Financial Aspects of the United States Pension System, Zvi Bodie and John B. Shoven (ed.), Chicago: The University of Chicago Press, 1983, p. 91-105.
SHARPE, W. J. Microcomputer Perspectives: Relational Data Base Management Systems. Financial Analysts Journal, vol. 40, no. 1, January-February 1984, p. 18-21.
SHARPE, W. J. Inside 1-2-3 Worksheet Files. PC TechJournal, vol. 2, no. 4, October 1984, p. 155-166.
SHARPE, W. J. Practical Aspects of Portfolio Optimization, Improving the Investment Decision Process: Quantitative Assistance for the Practitioner and for the Firm. Homewood, Ill.: Dow-Jones Irwin, 1984, p. 52-65.
SHARPE, W. J. Microcomputer Perspectives: Electronic Spreadsheets. Financial Analysts Journal, July-August 1984, p. 15-20.
SHARPE, W. J. Factor Models, CAPMs and the ABT. Journal of Portfolio Management, Fall 1984, p. 21-25.
SHARPE, W. J. Microcomputer Perspectives: Asset Allocation Systems. Financial Analysts Journal, May-June 1985, p. 10-11, 75.
SHARPE, W. J. An Algorithm for Portfolio Improvement. In K.D. Lawrence, J.B. Guerard, Jr. and Gary D. Reeves (eds.), Advances in Mathematical Programming and Financial Planning, JAI Press, Inc., 1987, p. 155-170.
SHARPE, W. J. The Risk Factor: Identifying and Adapting to the Risk Capacity of the Client. In M. Joehnk (ed.), Asset Allocation for Institutional Portfolios, Dow-Jones Irwin, 1987, p. 35-45.
SHARPE, W. J. Integrated Asset Allocation, Financial Analysts Journal, September-October 1987, p. 25-32.
SHARPE, W. J., PEROLD, A. Dynamic Strategies for Asset Allocation. Financial Analysts Journal, January-February 1988, p. 16-27.
SHARPE, W. J. Policy Asset Mix, Tactical Asset Allocation, and Portfolio Insurance. In R. Arnott and F. Fabozzi (eds.), Asset Allocation, A Handbook of Portfolio Policies, Strategies and Tactics, Probus Publishing Company, 1988, p. 111-130.
SHARPE, W. J. Integrated Asset Allocation, Japanese Security Analysts Journal, October 1988, p. 12-23.
SHARPE, W. J. Determining a Fund´s Effective Asset Mix. Investment Management Review, December 1989, 11 pages.
SHARPE, W. J. Investment Wealth Measures and Expected Return. In William F. Sharpe and Katrina F. Sherrerd (eds.), Quantifying the Market Risk Premium Phenomenon for Investment Decision Making, The Association for Investment Management and Research, 1990, p. 29-37.
SHARPE, W. J. Asset Allocation. In John L. Maginn and Donald L. Tuttle (eds.), Managing Investment Portfolios, A Dynamic Process, Warren, Gorham & Lamont, 1990, p. 7-71.
SHARPE, W. J., TINT, L. G. Liabilities – A new Approach. The Journal of Portfolio Management, Winter 1990, p. 5-10.