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Chapter 33 Utility theory with uncertainty
16 references·16 citing·25 second hopsampled
Chapter 33 Utility theory with uncertainty (1991)Chapter 33 Utility theory with uncertaintyTheory of games and economic behavior (2019)Theory of games and economic …Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …A theory of anticipated utility (1982)A theory of anticipated utili…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Myopia and Inconsistency in Dynamic Utility Maximization (1973)Myopia and Inconsistency in D…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…Uncertain Lifetime, Life Insurance, and the Theory of the Consumer (1965)Uncertain Lifetime, Life Insu…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…COUNTERSPECULATION, AUCTIONS, AND COMPETITIVE SEALED TENDERS (1961)COUNTERSPECULATION, AUCTIONS,…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Myopia and Inconsistency in Dynamic Utility Maximization (1955)Myopia and Inconsistency in D…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…Behavioral Decision Making in Normative and Descriptive Views: A Critical Review of Literature (2021)Behavioral Decision Making in…Ambiguity under growing awareness (2021)Ambiguity under growing aware…Savage's theorem under changing awareness (2018)Savage's theorem under changi…On the Rejectability of the Subjective Expected Utility Theory (2016)On the Rejectability of the S…Information in Equity Markets with Ambiguity-Averse Investors (2008)Information in Equity Markets…Robust projections in the class of martingale measures (2006)Robust projections in the cla…Reward-Risk Portfolio Selection and Stochastic Dominance (2002)Reward-Risk Portfolio Selecti…Patient Preferences and the Measurement of Utilities in the Evaluation of Dental Technologies (2002)Patient Preferences and the M…A Model of Procedural Decision Making in the Presence of Risk* (2002)A Model of Procedural Decisio…Lottery Dependent Utility: a Reexamination (2001)Lottery Dependent Utility: a …Optimal risk-sharing rules and equilibria with Choquet-expected-utility (2000)Optimal risk-sharing rules an…Non-Archimedean subjective probabilities in decision theory and games (1999)Non-Archimedean subjective pr…Tax evasion and orders of risk aversion (1998)Tax evasion and orders of ris…Subjective expected lexicographic utility:Axioms and assessment (1998)Subjective expected lexicogra…A variational model of preference under uncertainty (1994)A variational model of prefer…The value of perfect information in nonlinear utility theory (1991)The value of perfect informat…Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)Utility Theory for Decision Making (1971)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)Chapter 18 A survey of behavioral finance (2003)A Smooth Model of Decision Making under Ambiguity (2005)Judgment under Uncertainty: Heuristics and Biases (1975)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Optimal Auction Design (1981)A Theory of Auctions and Competitive Bidding (1982)A Course in Game Theory (1994)The Framing of Decisions and the Psychology of Choice (1981)Advances in prospect theory: Cumulative representation of uncertainty (1992)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)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

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 2019Theory of games and economic behavior16,630 cited
  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 1961COUNTERSPECULATION, AUCTIONS, AND COMPETITIVE SEALED TENDERS7,719 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1953Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine4,117 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 1972Essays in the Theory of Risk-Bearing.3,991 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1965Uncertain Lifetime, Life Insurance, and the Theory of the Consumer3,204 cited
  • 1982A theory of anticipated utility3,136 cited
  • 1955Myopia and Inconsistency in Dynamic Utility Maximization2,834 cited

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1973
Myopia and Inconsistency in Dynamic Utility Maximization
2,743 cited

Cited by

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  • 2002Reward-Risk Portfolio Selection and Stochastic Dominance47 cited
  • 2002A Model of Procedural Decision Making in the Presence of Risk*30 cited
  • 2018Savage's theorem under changing awareness17 cited
  • 2001Lottery Dependent Utility: a Reexamination16 cited
  • 1991The value of perfect information in nonlinear utility theory16 cited
  • 1999Non-Archimedean subjective probabilities in decision theory and games16 cited
  • 2021Ambiguity under growing awareness15 cited
  • 1998Subjective expected lexicographic utility:Axioms and assessment14 cited
  • 2021Behavioral Decision Making in Normative and Descriptive Views: A Critical Review of Literature13 cited
  • 1994A variational model of preference under uncertainty13 cited
  • 2016On the Rejectability of the Subjective Expected Utility Theory7 cited