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Stochastic Dominance and Comparative Risk Aversion
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Stochastic Dominance and Comparative Risk Aversion (2012)Stochastic Dominance and Comparative Risk…Third-Degree Stochastic Dominance (2016)Third-Degree Stochastic Domin…The Efficiency Analysis of Choices Involving Risk (2013)The Efficiency Analysis of Ch…Comparative Risk Aversion: A Formal Approach with Applications to Saving Behaviors (2010)Comparative Risk Aversion: A …Instrument effects and stochastic dominance (1988)Instrument effects and stocha…Decision Making Under Uncertainty (1985)Decision Making Under Uncerta…A Stronger Characterization of Declining Risk Aversion (1982)A Stronger Characterization o…Some Remarks on Measures of Risk Aversion and on Their Uses (1978)Some Remarks on Measures of R…Second Degree Stochastic Dominance with Respect to a Function (1977)Second Degree Stochastic Domi…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Risk aversion with many commodities (1974)Risk aversion with many commo…Convex stochastic dominance with continuous distribution functions (1974)Convex stochastic dominance w…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Rules for Ordering Uncertain Prospects (1969)Rules for Ordering Uncertain …Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Admissibility and Measurable Utility Functions (1962)Admissibility and Measurable …On the measurement of inequality (1970)On Economic Inequality (1973)A theory of anticipated utility (1982)Theory of games and economic behavior (2019)The Utility Analysis of Choices Involving Risk (1948)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Stochastic Dominance and Expected Utility: Survey and Analysis (1992)Optimal rules for ordering uncertain prospects (1975)Theory of Financial Decision Making. (1988)Increasing Downside Risk (2016)Relative Deprivation and the Gini Coefficient: Comment (1980)Research Bibliography—Stochastic Dominance: A Research Bibliography (1982)Should More Risk-Averse Agents Exert More Effort? (1999)Chapter 2 Measurement of inequality (2000)Lectures on Stochastic Programming: Modeling and Theory (2009)Optimal consumption–portfolio choices and retirement planning (2003)The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks (2012)Principles of Financial Economics (2014)Moral Hazard and Observability (1979)Prospect theory: An analysis of decision under risk (1988)The New Institutional Economics: Taking Stock, Looking Ahead (2000)Estimation Risk in Portfolio Selection: The Mean Variance Model Versus the Mean Absolute Deviation Model (1997)The Stochastic Programming Approach to Asset, Liability, and Wealth Management (2003)Approaches to the Economics of Discrimination (2025)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

  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1972Essays in the Theory of Risk-Bearing.3,991 cited
  • 1969Rules for Ordering Uncertain Prospects1,757 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1962Admissibility and Measurable Utility Functions559 cited
  • 2016Third-Degree Stochastic Dominance483 cited
  • 1974Risk aversion with many commodities394 cited
  • 2013The Efficiency Analysis of Choices Involving Risk205 cited
  • 1977Second Degree Stochastic Dominance with Respect to a Function159 cited
  • 1985Decision Making Under Uncertainty134 cited
  • 1974Convex stochastic dominance with continuous distribution functions134 cited
  • 1982A Stronger Characterization of Declining Risk Aversion80 cited
  • 2010Comparative Risk Aversion: A Formal Approach with Applications to Saving Behaviors20 cited
  • 1978Some Remarks on Measures of Risk Aversion and on Their Uses10 cited
  • 1988Instrument effects and stochastic dominance5 cited

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