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Comparative Risk Sensitivity with Reference-Dependent Preferences
13 references·16 citing·27 second hop
Comparative Risk Sensitivity with Reference-Dependent Preferences (2002)Comparative Risk Sensitivity with Referen…Loss aversion in a consumption–savings model (1999)Loss aversion in a consumptio…Separating marginal utility and probabilistic risk aversion (1994)Separating marginal utility a…An axiomatization of cumulative prospect theory (1993)An axiomatization of cumulati…Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Loss Aversion in Riskless Cho…Asset Demand Without the Independence Axiom (1989)Asset Demand Without the Inde…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …The Ross Characterization of Risk Aversion: Strengthening and Extension (1987)The Ross Characterization of …The Framing of Decisions and the Psychology of Choice (1981)The Framing of Decisions and …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…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…The Impact of Behavioral Biases on Individuals’ Financial Choices under Uncertainty: An Empirical Approach (2022)The Impact of Behavioral Bias…Risk aversion for losses and the Nash bargaining solution (2021)Risk aversion for losses and …The participation puzzle with reference-dependent expected utility preferences (2020)The participation puzzle with…Modeling Newsvendor Behavior: A Prospect Theory Approach (2018)Modeling Newsvendor Behavior:…A revealed reference point for prospect theory (2018)A revealed reference point fo…Loss Aversion and Housing Studies (2017)Loss Aversion and Housing Stu…Source-dependence of utility and loss aversion: A critical test of ambiguity models (2013)Source-dependence of utility …Loss Aversion for Decision under Risk (2012)Loss Aversion for Decision un…Static portfolio choice under cumulative prospect theory (2010)Static portfolio choice under…On probabilities and loss aversion (2008)On probabilities and loss ave…Loss aversion and perceptual risk aversion (2006)Loss aversion and perceptual …Affect as a source of motivation in the workplace: a new model of labor supply, and new field evidence on income targeting and the goal gradient (2005)Affect as a source of motivat…The Pearson system of utility functions (2004)The Pearson system of utility…Attitudes on Gain and Loss Lotteries: A Simple Experiment (2004)Attitudes on Gain and Loss Lo…A characterization of S-shaped utility functions displaying loss aversion (2004)A characterization of S-shape…Risk Aversion and Expected-Utility Theory: Coherence for Small- and Large-Stakes Gambles (2001)Risk Aversion and Expected-Ut…Status quo bias in decision making (1988)A Theory of Fairness, Competition, and Cooperation (1999)Time Discounting and Time Preference: A Critical Review (2002)Judgment under Uncertainty: Heuristics and Biases (1975)Individual differences in reasoning: Implications for the rationality debate? (2000)A perspective on judgment and choice: Mapping bounded rationality. (2003)Judgment under Uncertainty: Heuristics and Biases (1974)Perception of Risk (1987)Toward a Theory of Situation Awareness in Dynamic Systems (1995)Framing Processes and Social Movements: An Overview and Assessment (2000)Risk, Ambiguity, and the Savage Axioms (1961)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)Moral Hazard and Observability (1979)The New Institutional Economics: Taking Stock, Looking Ahead (2000)Cumulative prospect theory's functional menagerie (2006)New paradoxes of risky decision making. (2008)(Over)insuring Modest Risks (2010)Strategic Asset Allocation (2002)Good News and Bad News: Asymmetric Responses to Economic Information (2006)Consumer Spending during Unemployment: Positive and Normative Implications (2019)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)
this work references cited by second hop

References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1981The Framing of Decisions and the Psychology of Choice17,834 cited
  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1991Loss Aversion in Riskless Choice: A Reference-Dependent Model6,428 cited
  • 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
  • 1993An axiomatization of cumulative prospect theory451 cited
  • 1999Loss aversion in a consumption–savings model380 cited
  • 1994Separating marginal utility and probabilistic risk aversion315 cited
  • 1989Asset Demand Without the Independence Axiom84 cited
  • 1987The Ross Characterization of Risk Aversion: Strengthening and Extension53 cited

Cited by

  • 2010Static portfolio choice under cumulative prospect theory155 cited
  • 2018Modeling Newsvendor Behavior: A Prospect Theory Approach89 cited

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2018
A revealed reference point for prospect theory
49 cited
  • 2004The Pearson system of utility functions33 cited
  • 2008On probabilities and loss aversion32 cited
  • 2001Risk Aversion and Expected-Utility Theory: Coherence for Small- and Large-Stakes Gambles24 cited
  • 2017Loss Aversion and Housing Studies17 cited
  • 2022The Impact of Behavioral Biases on Individuals’ Financial Choices under Uncertainty: An Empirical Approach16 cited
  • 2004A characterization of S-shaped utility functions displaying loss aversion12 cited
  • 2021Risk aversion for losses and the Nash bargaining solution6 cited
  • 2006Loss aversion and perceptual risk aversion6 cited
  • 2004Attitudes on Gain and Loss Lotteries: A Simple Experiment5 cited
  • 2013Source-dependence of utility and loss aversion: A critical test of ambiguity models5 cited
  • 2020The participation puzzle with reference-dependent expected utility preferences4 cited
  • 2005Affect as a source of motivation in the workplace: a new model of labor supply, and new field evidence on income targeting and the goal gradient2 cited
  • 2012Loss Aversion for Decision under Risk2 cited