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Stochastic Dominance and Nonparametric Comparative Revealed Risk Aversion
16 references·2 citing·34 second hop
Stochastic Dominance and Nonparametric Comparative Revealed Risk Aversion (2011)Stochastic Dominance and Nonparametric Co…Individual Preferences for Giving (2007)Individual Preferences for Gi…Consistency and Heterogeneity of Individual Behavior under Uncertainty (2007)Consistency and Heterogeneity…Giving According to GARP: An Experimental Test of the Consistency of Preferences for Altruism (2002)Giving According to GARP: An …Ambiguity Made Precise: A Comparative Foundation (2002)Ambiguity Made Precise: A Com…A Definition of Uncertainty Aversion (1999)A Definition of Uncertainty A…Stochastic Dominance and Expected Utility: Survey and Analysis (1992)Stochastic Dominance and Expe…A Theory of Disappointment Aversion (1991)A Theory of Disappointment Av…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…A Simple Approach to the Valuation of Risky Streams (1978)A Simple Approach to the Valu…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…Increasing risk II: Its economic consequences (1971)Increasing risk II: Its econo…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Rules for Ordering Uncertain Prospects (1969)Rules for Ordering Uncertain …The Construction of Utility Functions from Expenditure Data (1967)The Construction of Utility F…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Revealed Preference and Nonparametric Analysis – Continuous Extensions and Recoverability (2012)Revealed Preference and Nonpa…Quasiconcave preferences on the probability simplex: A nonparametric analysis (2012)Quasiconcave preferences on t…On the measurement of inequality (1970)On Economic Inequality (1973)A theory of anticipated utility (1982)Theory of games and economic behavior (2019)Theory of Value (1959)Implied Binomial Trees (1994)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)Disappointment in Decision Making Under Uncertainty (1985)Prospect theory: An analysis of decision under risk (1988)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The Utility Analysis of Choices Involving Risk (1948)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Note on the Pure Theory of Consumer's Behaviour (1938)Microeconomic Analysis. (1968)Fairness in Simple Bargaining Experiments (1994)The nature of human altruism (2003)“Economic man” in cross-cultural perspective: Behavioral experiments in 15 small-scale societies (2005)Deception: The Role of Consequences (2005)Rational Household Labor Supply (1988)Data envelopment analysis theory and techniques for economics and operations research (2004)Optimal rules for ordering uncertain prospects (1975)Net Health Benefits (1998)Stochastic Volatility for Lévy Processes (2003)From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Dual Stochastic Dominance and Related Mean-Risk Models (2002)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
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 2002Giving According to GARP: An Experimental Test of the Consistency of Preferences for Altruism1,939 cited
  • 1969Rules for Ordering Uncertain Prospects1,757 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1991A Theory of Disappointment Aversion1,343 cited
  • 1967The Construction of Utility Functions from Expenditure Data1,128 cited
  • 1971Increasing risk II: Its economic consequences1,082 cited
  • 1992Stochastic Dominance and Expected Utility: Survey and Analysis843 cited
  • 1978A Simple Approach to the Valuation of Risky Streams578 cited
  • 1999A Definition of Uncertainty Aversion498 cited
  • 2002Ambiguity Made Precise: A Comparative Foundation483 cited
  • 2007Individual Preferences for Giving458 cited
  • 1974Risk aversion with many commodities394 cited
  • 2007Consistency and Heterogeneity of Individual Behavior under Uncertainty

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  • 2012Quasiconcave preferences on the probability simplex: A nonparametric analysis2 cited
  • 2012Revealed Preference and Nonparametric Analysis – Continuous Extensions and Recoverability1 cited