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Household Portfolios: An International Comparison
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Household Portfolios: An International Comparison (2000)Household Portfolios: An International Co…Towards an Explanation of Household Portfolio Choice Heterogeneity: Nonfinancial Income and Participation Cost Structures (2002)Towards an Explanation of Hou…Household Portfolios (2002)Household PortfoliosPortfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk (2000)Portfolio Choice and Asset Pr…Preference Parameters and Behavioral Heterogeneity: An Experimental Approach in the Health and Retirement Study (1997)Preference Parameters and Beh…Precautionary portfolio behavior from a life-cycle perspective (1997)Precautionary portfolio behav…Why do so Few Hold Stocks? (1995)Why do so Few Hold Stocks?Preference Parameters and Behavioral Heterogeneity: An Experimental Approach in the Health and Retirement Survey (1995)Preference Parameters and Beh…What do we Learn About Consumer Demand Patterns from Micro Data (1993)What do we Learn About Consum…Central bank independence, growth, investment, and real rates (1993)Central bank independence, gr…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Learning to Take Risks? The Effect of Education on Risk-Taking in Financial Markets (2018)Learning to Take Risks? The E…On the Origins of Risk‐Taking in Financial Markets (2017)On the Origins of Risk‐Taking…Deposits and Bank Capital Structure (2013)Deposits and Bank Capital Str…Trust, Sociability and Stock Market Participation (2011)Trust, Sociability and Stock …Determinants of Hotels and Restaurants entrepreneurship: A study using GEM data (2011)Determinants of Hotels and Re…Fight or Flight? Portfolio Rebalancing by Individual Investors (2007)Fight or Flight? Portfolio Re…Do the diversification choices of individual investors influence stock returns? (2007)Do the diversification choice…Asset Pricing with Limited Risk Sharing and Heterogeneous Agents (2007)Asset Pricing with Limited Ri…WEALTH INEQUALITY: DATA AND MODELS (2006)WEALTH INEQUALITY: DATA AND M…Risk Aversion and Planning Horizons (2006)Risk Aversion and Planning Ho…Portfolio Inertia and Stock Market Fluctuations (2006)Portfolio Inertia and Stock M…What Drives Micro-Angel Investments? (2005)What Drives Micro-Angel Inves…Selling company shares to reluctant employees: France Telecom's experience (2003)Selling company shares to rel…Learning Under Ambiguity (2003)Learning Under AmbiguityDo Demographic Changes Affect Risk Premiums? Evidence from International Data (2003)Do Demographic Changes Affect…Equity Prices, Household Wealth, and Consumption Growth in Foreign Industrial Countries: Wealth Effects in the 1990s (2002)Equity Prices, Household Weal…Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)A Theory of the Term Structure of Interest Rates (1985)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Risk as feelings. (2001)INDIVIDUAL RISK ATTITUDES: MEASUREMENT, DETERMINANTS, AND BEHAVIORAL CONSEQUENCES (2011)Optimum consumption and portfolio rules in a continuous-time model (1971)Asset Prices in an Exchange Economy (1978)Common risk factors in the returns on stocks and bonds (1993)Idiosyncratic Risk Matters! (2003)Market Frictions, Price Delay, and the Cross-Section of Expected Returns (2005)Entrepreneurship, Frictions, and Wealth (2006)Income and Outcomes: A Structural Model of Intrahousehold Allocation (1994)Quadratic Engel Curves and Consumer Demand (1997)Efficient Intra-Household Allocations: A General Characterization and Empirical Tests (1998)Perspectives on Behavioral Finance: Does "Irrationality" Disappear with Wealth? Evidence from Expectations and Actions (2003)Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation (2008)The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium (2016)Gender Differences in the Allocation of Assets in Retirement Savings Plans (1998)Strategic Asset Allocation (2002)Down or Out: Assessing the Welfare Costs of Household Investment Mistakes (2007)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)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)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)Myopic Loss Aversion and the Equity Premium Puzzle (1993)International Asset Allocation With Regime Shifts (2002)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1997Preference Parameters and Behavioral Heterogeneity: An Experimental Approach in the Health and Retirement Study2,399 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 1995Why do so Few Hold Stocks?1,078 cited
  • 2000Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk1,042 cited
  • 1993What do we Learn About Consumer Demand Patterns from Micro Data590 cited
  • 2002Towards an Explanation of Household Portfolio Choice Heterogeneity: Nonfinancial Income and Participation Cost Structures560 cited
  • 1995Preference Parameters and Behavioral Heterogeneity: An Experimental Approach in the Health and Retirement Survey305 cited
  • 2002Household Portfolios282 cited
  • 1993Central bank independence, growth, investment, and real rates252 cited
  • 1997Precautionary portfolio behavior from a life-cycle perspective189 cited

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Asset Pricing with Limited Risk Sharing and Heterogeneous Agents
239 cited
  • 2006WEALTH INEQUALITY: DATA AND MODELS236 cited
  • 2018Learning to Take Risks? The Effect of Education on Risk-Taking in Financial Markets145 cited
  • 2005What Drives Micro-Angel Investments?140 cited
  • 2002Equity Prices, Household Wealth, and Consumption Growth in Foreign Industrial Countries: Wealth Effects in the 1990s101 cited
  • 2017On the Origins of Risk‐Taking in Financial Markets101 cited
  • 2011Determinants of Hotels and Restaurants entrepreneurship: A study using GEM data99 cited
  • 2003Do Demographic Changes Affect Risk Premiums? Evidence from International Data98 cited
  • 2003Selling company shares to reluctant employees: France Telecom's experience74 cited
  • 2006Portfolio Inertia and Stock Market Fluctuations72 cited
  • 2011Trust, Sociability and Stock Market Participation71 cited
  • 2006Risk Aversion and Planning Horizons60 cited
  • 2003Learning Under Ambiguity55 cited
  • 2007Do the diversification choices of individual investors influence stock returns?55 cited
  • 2007Fight or Flight? Portfolio Rebalancing by Individual Investors45 cited
  • 2013Deposits and Bank Capital Structure41 cited