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Risk Premiums and Benefit Measures for Generalized-Expected-Utility Theories
16 references·16 citing·23 second hopsampled
Risk Premiums and Benefit Measures for Generalized-Expected-Utility Theories (1998)Risk Premiums and Benefit Measures for Ge…Theory of games and economic behavior (2019)Theory of games and economic …Generalized Expected Utility Theory. The Rank-Dependent Model (1996)Generalized Expected Utility …Benefit and Distance Functions (1996)Benefit and Distance FunctionsBenefit functions and duality (1992)Benefit functions and dualityA More Robust Definition of Subjective Probability (1992)A More Robust Definition of S…The Dual Theory of Choice under Risk (1987)The Dual Theory of Choice und…A Generalization of the Quasilinear Mean with Applications to the Measurement of Income Inequality and Decision Theory Resolving the Allais Paradox (1983)A Generalization of the Quasi…A theory of anticipated utility (1982)A theory of anticipated utili…"Expected Utility" Analysis without the Independence Axiom (1982)"Expected Utility" Analysis w…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Rules for Ordering Uncertain Prospects (1969)Rules for Ordering Uncertain …Aspects of the Theory of Risk-Bearing. (1966)Aspects of the Theory of Risk…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Risk, Ambiguity, and the Savage Axioms (1961)Risk, Ambiguity, and the Sava…Index numbers and indifference surfaces (1953)Index numbers and indifferenc…Assessing Risk Aversion From the Investor’s Point of View (2019)Assessing Risk Aversion From …Asymmetric gain–loss reference dependence and attitudes toward uncertainty (2018)Asymmetric gain–loss referenc…The value of information and the value of awareness (2015)The value of information and …A two-parameter model of dispersion aversion (2013)A two-parameter model of disp…Money matters: an axiomatic theory of the endowment effect (2010)Money matters: an axiomatic t…The epsilon-Gini-contamination multiple priors model admits a linear-mean-standard-deviation utility representation (2006)The epsilon-Gini-contaminatio…Supermodularity and the Comparative Statics of Risk (2006)Supermodularity and the Compa…Supermodularity and risk aversion (2006)Supermodularity and risk aver…Dual Approaches to the Analysis of Risk Aversion (2006)Dual Approaches to the Analys…Invariant risk attitudes (2004)Invariant risk attitudesJointly radial and translation homothetic preferences: generalized constant risk aversion (2003)Jointly radial and translatio…Expected Utility Violations: Implications for Agricultural and Natural Resource Economics (2003)Expected Utility Violations: …Risk and Self-Protection: A State-Contingent View (2002)Risk and Self-Protection: A S…Non-Expected Utility: What do the Anomalies Mean for Risk in Agriculture? (2002)Non-Expected Utility: What do…The Firm Under Uncertainty with General Risk-Averse Preferences: A State-Contingent Approach (2001)The Firm Under Uncertainty wi…Production under Uncertainty and Choice under Uncertainty in the Emergence of Generalized Expected Utility Theory (2001)Production under Uncertainty …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)Individual differences in reasoning: Implications for the rationality debate? (2000)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Subjective probability and expected utility without additivity (2004)On the measurement of inequality (1970)On Economic Inequality (1973)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Risk Aversion and Incentive Effects (2002)The Framing of Decisions and the Psychology of Choice (1981)Advances in prospect theory: Cumulative representation of uncertainty (1992)Productivity changes in Swedish pharamacies 1980?1989: A non-parametric Malmquist approach (1992)The impact of liberalization on the productive efficiency of Indian commercial banks (1997)Entrepreneurship, innovation, and corruption (2008)The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)Theory of Financial Decision Making. (1988)Toward a positive theory of consumer choice (1980)Non-cooperative games (1989)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)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

  • 2019Theory of games and economic behavior16,630 cited
  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1982A theory of anticipated utility3,136 cited
  • 1987The Dual Theory of Choice under Risk2,426 cited
  • 1953Index numbers and indifference surfaces2,099 cited
  • 1966Aspects of the Theory of Risk-Bearing.1,888 cited
  • 1969Rules for Ordering Uncertain Prospects1,757 cited
  • 1982"Expected Utility" Analysis without the Independence Axiom1,518 cited
  • 1996Benefit and Distance Functions1,417 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1983A Generalization of the Quasilinear Mean with Applications to the Measurement of Income Inequality and Decision Theory Resolving the Allais Paradox630 cited
  • 1992A More Robust Definition of Subjective Probability585 cited
  • 1992Benefit functions and duality565 cited
  • 1996Generalized Expected Utility Theory. The Rank-Dependent Model

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  • 2019Assessing Risk Aversion From the Investor’s Point of View33 cited
  • 2004Invariant risk attitudes33 cited
  • 2015The value of information and the value of awareness27 cited
  • 2002Risk and Self-Protection: A State-Contingent View25 cited
  • 2013A two-parameter model of dispersion aversion16 cited
  • 2006Dual Approaches to the Analysis of Risk Aversion16 cited
  • 2001The Firm Under Uncertainty with General Risk-Averse Preferences: A State-Contingent Approach12 cited
  • 2002Non-Expected Utility: What do the Anomalies Mean for Risk in Agriculture?12 cited
  • 2001Production under Uncertainty and Choice under Uncertainty in the Emergence of Generalized Expected Utility Theory10 cited
  • 2003Expected Utility Violations: Implications for Agricultural and Natural Resource Economics10 cited
  • 2006The epsilon-Gini-contamination multiple priors model admits a linear-mean-standard-deviation utility representation9 cited
  • 2003Jointly radial and translation homothetic preferences: generalized constant risk aversion9 cited
  • 2018Asymmetric gain–loss reference dependence and attitudes toward uncertainty7 cited
  • 2006Supermodularity and risk aversion6 cited
  • 2010Money matters: an axiomatic theory of the endowment effect5 cited
  • 2006Supermodularity and the Comparative Statics of Risk4 cited