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Aggregate Risk Aversion for Jointly Heterogeneous Discount Factors and Risk Tolerances
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Aggregate Risk Aversion for Jointly Heterogeneous Discount Factors and Risk Tolerances (2006)Aggregate Risk Aversion for Jointly Heter…If You're so Smart, why Aren't You Rich? Belief Selection in Complete and Incomplete Markets (2006)If You're so Smart, why Aren'…Aggregation of Heterogeneous Time Preferences (2005)Aggregation of Heterogeneous …Risk Aversion and the Subjective Time Discount Rate: A Joint Approach (2003)Risk Aversion and the Subject…Time Discounting and Time Preference: A Critical Review (2002)Time Discounting and Time Pre…Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices (2002)Catching Up with the Joneses:…Heterogeneity and Option Pricing (2000)Heterogeneity and Option Pric…Heterogeneity and Option Pricing (1997)Heterogeneity and Option Pric…Intertemporal Asset Pricing with Heterogeneous Consumers and Without Demand Aggregation (1982)Intertemporal Asset Pricing w…Prospect theory: An analysis of decision under risk (1988)Discount Rates Inferred from Decisions: An Experimental Study (1989)Preference Parameters and Behavioral Heterogeneity: An Experimental Approach in the Health and Retirement Study (1997)An Experimental Analysis of Ending Rules in Internet Auctions (2003)Does Venture Capital Investment Spur Employment Growth? (2003)The double-dividend hypothesis of environmental taxes: a survey (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Asset‐pricing Puzzles and Incomplete Markets (1993)The term structure of interest rates in a pure exchange economy with heterogeneous investors (1995)Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs (2007)A Mathematical Theory of Saving (1928)Golden Eggs and Hyperbolic Discounting (1997)Asset Prices with Heterogeneity in Preferences and Beliefs (2010)Behavioral Economics and the Conduct of Benefit-Cost Analysis: Towards Principles and Standards (2011)Financial Markets Equilibrium with Heterogeneous Agents (2011)Asset Prices in an Exchange Economy (1978)Prices of State-Contingent Claims Implicit in Option Prices (1978)Implied Binomial Trees (1994)Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices (2001)Behavioral heterogeneity in the option market (2010)The Pricing Kernel Puzzle: Reconciling Index Option Data and Economic Theory (2012)Uncertainty, Evolution, and Economic Theory (1950)The Behavior of Stock-Market Prices (1965)Noise Trader Risk in Financial Markets (1990)Natural Selection in Financial Markets: Does It Work? (2008)Belief Disagreements and Collateral Constraints (2013)Evolutionary Game Theory: A Renaissance (2018)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Field Experiments (2004)Cognitive Reflection and Decision Making (2005)Psychology and Economics: Evidence from the Field (2009)On Kernels and Sentiment (2001)Representative consumer's risk aversion and efficient risk-sharing rules (2007)F. Ausblick auf die literarischen Horizonte von Ri 1.17–21 am Übergang von Jos zu Ri (2016)Continuous Auctions and Insider Trading (1985)The equity premium: A puzzle (1985)Heterogeneous Expectations and Bond Markets (2006)A Parsimonious Macroeconomic Model for Asset Pricing (2009)The Econometrics of Financial Markets (2012)Young, Old, Conservative, and Bold: The Implications of Heterogeneity and Finite Lives for Asset Pricing (2014)
this work references cited by second hop

References

  • 2002Time Discounting and Time Preference: A Critical Review6,395 cited
  • 2002Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices437 cited
  • 2006If You're so Smart, why Aren't You Rich? Belief Selection in Complete and Incomplete Markets386 cited
  • 1982Intertemporal Asset Pricing with Heterogeneous Consumers and Without Demand Aggregation353 cited
  • 2005Aggregation of Heterogeneous Time Preferences199 cited
  • 2003Risk Aversion and the Subjective Time Discount Rate: A Joint Approach87 cited
  • 2000Heterogeneity and Option Pricing85 cited
  • 1997Heterogeneity and Option Pricing52 cited

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