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Subjective Measures of Risk Aversion and Portfolio Choice
16 references·16 citing·37 second hopsampled
Subjective Measures of Risk Aversion and Portfolio Choice (2002)Subjective Measures of Risk Aversion and …Towards an Explanation of Household Portfolio Choice Heterogeneity: Nonfinancial Income and Participation Cost Structures (2002)Towards an Explanation of Hou…How Much Is Investor Autonomy Worth? (2002)How Much Is Investor Autonomy…Horizon Length and Portfolio Risk (2002)Horizon Length and Portfolio …Who Should Buy Long-Term Bonds? (2001)Who Should Buy Long-Term Bond…The Economics of Risk and Time (2001)The Economics of Risk and TimeOptimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income (2001)Optimal Portfolio Choice for …Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk (2000)Portfolio Choice and Asset Pr…Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach (1998)Consumption and Portfolio Sel…Strategic asset allocation (1997)Strategic asset allocationPreference Parameters and Behavioral Heterogeneity: An Experimental Approach in the Health and Retirement Study (1997)Preference Parameters and Beh…Why Should Older People Invest Less in Stocks Than Younger People? (1996)Why Should Older People Inves…Labor supply flexibility and portfolio choice in a life cycle model (1992)Labor supply flexibility and …LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Reconciling Self-Assessed with Psychometric Risk Tolerance: A New Framework for Profiling Risk among Investors (2023)Reconciling Self-Assessed wit…RIsk SCreening on the Financial Market (RISC-FM): A tool to assess investors’ financial risk tolerance (2020)RIsk SCreening on the Financi…Does personality predict financial risk tolerance of pre-retiree baby boomers? (2019)Does personality predict fina…Mind the Gap: Inconsistencies Between Subjective and Objective Financial Risk Tolerance (2017)Mind the Gap: Inconsistencies…How return and risk experiences shape investor beliefs and preferences (2015)How return and risk experienc…Robustness of General Risk Propensity Scale in Cross-Cultural Settings (2012)Robustness of General Risk Pr…Individual risk attitudes and the composition of financial portfolios: Evidence from German household portfolios (2011)Individual risk attitudes and…Stockholding: Does Housing Wealth Matter? (2010)Stockholding: Does Housing We…Mapping Risk Aversion in Norway Using Hypothetical Income Gambles (2010)Mapping Risk Aversion in Norw…Investors' Risk Attitude and Risky Behavior: A Bayesian Approach with Imperfect Information (2008)Investors' Risk Attitude and …Financial Risk Aversion and Household Asset Diversification (2008)Financial Risk Aversion and H…Choice or no Choice: What Explains the Attractiveness of Default Options (2008)Choice or no Choice: What Exp…Relativistic financial decisions: Context effects on retirement saving and investment risk preferences (2007)Relativistic financial decisi…Determinants of Risk Taking Behavior: The role of Risk Attitudes, Risk Perceptions and Beliefs (2007)Determinants of Risk Taking B…Mesurer les préférences individuelles à l'égard du risque (2004)Mesurer les préférences indiv…Utility Evaluation of Risk in Retirement Saving Accounts (2003)Utility Evaluation of Risk in…Essays in the Theory of Risk-Bearing. (1972)Risk Aversion in the Small and in the Large (1976)Strategic Asset Allocation (2002)Idiosyncratic Risk Matters! (2003)Eliciting Risk and Time Preferences (2008)Theory of games and economic behavior (2019)Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)On the Predictability of Stock Returns: An Asset‐Allocation Perspective (1996)Asset Pricing at the Millennium (2000)Robust Portfolio Rules and Asset Pricing (2004)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)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)Asset Prices in an Exchange Economy (1978)Common risk factors in the returns on stocks and bonds (1993)Market Frictions, Price Delay, and the Cross-Section of Expected Returns (2005)Entrepreneurship, Frictions, and Wealth (2006)Precautionary Saving in the Small and in the Large (1990)Saving and Liquidity Constraints (1991)Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Optimal life cycle asset allocation : understanding the empirical evidence (2005)Hedging, Familiarity and Portfolio Choice (2006)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)Portfolio Choice in the Presence of Housing (2004)
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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 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
  • 2001The Economics of Risk and Time1,361 cited
  • 1992Labor supply flexibility and portfolio choice in a life cycle model1,136 cited
  • 2000Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk1,042 cited
  • 2001Optimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income755 cited
  • 1997Strategic asset allocation730 cited
  • 2001Who Should Buy Long-Term Bonds?624 cited
  • 2002Towards an Explanation of Household Portfolio Choice Heterogeneity: Nonfinancial Income and Participation Cost Structures560 cited
  • 1996Why Should Older People Invest Less in Stocks Than Younger People?348 cited
  • 2002How Much Is Investor Autonomy Worth?335 cited
  • 1998Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach

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241 cited
  • 2002Horizon Length and Portfolio Risk101 cited
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    • 2015How return and risk experiences shape investor beliefs and preferences112 cited
    • 2011Individual risk attitudes and the composition of financial portfolios: Evidence from German household portfolios90 cited
    • 2003Utility Evaluation of Risk in Retirement Saving Accounts55 cited
    • 2017Mind the Gap: Inconsistencies Between Subjective and Objective Financial Risk Tolerance31 cited
    • 2008Investors' Risk Attitude and Risky Behavior: A Bayesian Approach with Imperfect Information28 cited
    • 2019Does personality predict financial risk tolerance of pre-retiree baby boomers?28 cited
    • 2012Robustness of General Risk Propensity Scale in Cross-Cultural Settings24 cited
    • 2007Relativistic financial decisions: Context effects on retirement saving and investment risk preferences23 cited
    • 2020RIsk SCreening on the Financial Market (RISC-FM): A tool to assess investors’ financial risk tolerance23 cited
    • 2008Financial Risk Aversion and Household Asset Diversification22 cited
    • 2007Determinants of Risk Taking Behavior: The role of Risk Attitudes, Risk Perceptions and Beliefs21 cited
    • 2010Mapping Risk Aversion in Norway Using Hypothetical Income Gambles21 cited
    • 2010Stockholding: Does Housing Wealth Matter?21 cited
    • 2004Mesurer les préférences individuelles à l'égard du risque18 cited
    • 2008Choice or no Choice: What Explains the Attractiveness of Default Options6 cited
    • 2023Reconciling Self-Assessed with Psychometric Risk Tolerance: A New Framework for Profiling Risk among Investors4 cited