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Decision under Risk: The Classical Expected Utility Model
16 references·2 citing·30 second hop
Decision under Risk: The Classical Expected Utility Model (2009)Decision under Risk: The Classical Expect…Representation of a preference ordering by a numerical function (2008)Representation of a preferenc…The Predictive Utility of Generalized Expected Utility Theories (1994)The Predictive Utility of Gen…Choice Under Uncertainty: Problems Solved and Unsolved (1992)Choice Under Uncertainty: Pro…Choice Under Uncertainty: Problems Solved and Unsolved (1987)Choice Under Uncertainty: Pro…The Foundations of Expected Utility (1982)The Foundations of Expected U…A theory of anticipated utility (1982)A theory of anticipated utili…"Expected Utility" Analysis without the Independence Axiom (1982)"Expected Utility" Analysis w…Some Stronger Measures of Risk Aversion in the Small and the Large with Applications (1981)Some Stronger Measures of Ris…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Utility Theory for Decision Making (1971)Utility Theory for Decision M…Increasing risk II: Its economic consequences (1971)Increasing risk II: Its econo…UTILITY THEORY FOR DECISION MAKING (1970)UTILITY THEORY FOR DECISION M…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine (1953)Le Comportement de l'Homme Ra…An Axiomatic Approach to Measurable Utility (1953)An Axiomatic Approach to Meas…Theory of Games and Economic Behavior (1945)Theory of Games and Economic …Risk aversion and relationships in model-free (2010)Risk aversion and relationshi…Anti-comonotone random variables and anti-monotone risk aversion (2010)Anti-comonotone random variab…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)RATIONAL CHOICE AND THE FRAMING OF DECISIONS (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Individual differences in reasoning: Implications for the rationality debate? (2000)Theory of games and economic behavior (2019)Judgment under Uncertainty: Heuristics and Biases (1974)International Norm Dynamics and Political Change (1998)The Institutional Dynamics of International Political Orders (1998)Anomalies: Risk Aversion (2001)The Framing of Decisions and the Psychology of Choice (1981)Maxmin expected utility with non-unique prior (1989)Time Discounting and Time Preference: A Critical Review (2002)Optimal rules for ordering uncertain prospects (1975)Net Health Benefits (1998)Stochastic Volatility for Lévy Processes (2003)The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)Theory of Financial Decision Making. (1988)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)On Economic Inequality (1973)The structure of random utility models (1977)The Framing of Decisions and the Psychology of Choice (1985)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)Representative design and probabilistic theory in a functional psychology. (1955)Features of similarity. (1977)Evolutionary game dynamics (2003)On the measurement of inequality (1970)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.] (1975)The arbitrage theory of capital asset pricing (1976)
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References

  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1953Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine4,117 cited
  • 1945Theory of Games and Economic Behavior4,006 cited
  • 1982A theory of anticipated utility3,136 cited
  • 1971Utility Theory for Decision Making2,460 cited
  • 1970UTILITY THEORY FOR DECISION MAKING1,614 cited
  • 1982"Expected Utility" Analysis without the Independence Axiom1,518 cited
  • 1971Increasing risk II: Its economic consequences1,082 cited
  • 1992Choice Under Uncertainty: Problems Solved and Unsolved948 cited
  • 1987Choice Under Uncertainty: Problems Solved and Unsolved878 cited
  • 2008Representation of a preference ordering by a numerical function746 cited
  • 1994The Predictive Utility of Generalized Expected Utility Theories740 cited
  • 1953An Axiomatic Approach to Measurable Utility704 cited
  • 1982The Foundations of Expected Utility511 cited
  • 1981Some Stronger Measures of Risk Aversion in the Small and the Large with Applications

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  • 2010Risk aversion and relationships in model-free1 cited
  • 2010Anti-comonotone random variables and anti-monotone risk aversion0 cited