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Cumulative Prospect Theory: Tests Using the Stochastic Dominance Approach
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Cumulative Prospect Theory: Tests Using the Stochastic Dominance Approach (2010)Cumulative Prospect Theory: Tests Using t…Mental accounting matters (1999)Mental accounting mattersCommon risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …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 …A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…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…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*The Utility Analysis of Choices Involving Risk (1948)The Utility Analysis of Choic…Theory of Games and Economic Behavior (1945)Theory of Games and Economic …Decision Utility Theory (2012)Decision Utility TheoryJudgment under Uncertainty: Heuristics and Biases (1975)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Individual differences in reasoning: Implications for the rationality debate? (2000)A perspective on judgment and choice: Mapping bounded rationality. (2003)The Behavior of Stock-Market Prices (1965)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)Risk, Ambiguity, and the Savage Axioms (1961)The Framing of Decisions and the Psychology of Choice (1981)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)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)On the measurement of inequality (1970)The arbitrage theory of capital asset pricing (1976)
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References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
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  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1953Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine4,117 cited
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  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1999Mental accounting matters3,344 cited
  • 1982A theory of anticipated utility3,136 cited
  • 1948The Utility Analysis of Choices Involving Risk3,097 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory

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  • 2012Decision Utility Theory0 cited