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Prospect Theory and Hedging Risks
16 references·1 citing·25 second hop
Prospect Theory and Hedging Risks (2010)Prospect Theory and Hedging RisksTwo-Moment Decision Models and Expected Utility Maximization (2016)Two-Moment Decision Models an…Advances in Behavioral Finance. (1995)Advances in Behavioral Financ…Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …Foundations of Portfolio Theory (1991)Foundations of Portfolio Theo…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…On the theory of the competitive firm under price uncertainty (1971)On the theory of the competit…SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)SECURITY PRICES, RISK, AND MA…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…The Utility of Wealth (1952)The Utility of WealthPORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*The Utility Analysis of Choices Involving Risk (1948)The Utility Analysis of Choic…Income Tax Deduction of Commuting Expenses and Tax Funding in an Urban CGE Study: The Case of German Cities (2011)Income Tax Deduction of Commu…Judgment 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)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)An Engine, Not a Camera (2006)Does board gender diversity improve the informativeness of stock prices? (2011)… and the Cross-Section of Expected Returns (2015)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Toward a positive theory of consumer choice (1980)Risk as feelings. (2001)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (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)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)
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
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 1948The Utility Analysis of Choices Involving Risk3,097 cited
  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2,451 cited
  • 1952The Utility of Wealth1,845 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 1971On the theory of the competitive firm under price uncertainty1,450 cited
  • 1991Foundations of Portfolio Theory1,129 cited
  • 1995Advances in Behavioral Finance.775 cited
  • 2016Two-Moment Decision Models and Expected Utility Maximization

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  • 2011Income Tax Deduction of Commuting Expenses and Tax Funding in an Urban CGE Study: The Case of German Cities11 cited