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Risk aversion and risk vulnerability in the continuous and discrete case
14 references·1 citing·30 second hop
Risk aversion and risk vulnerability in the continuous and discrete case (2011)Risk aversion and risk vulnerability in t…A production–inventory model of HMMS on time scales (2007)A production–inventory model …On the relationship between absolute prudence and absolute risk aversion (2006)On the relationship between a…The Economics of Risk and Time (2001)The Economics of Risk and TimeRisk Vulnerability and the Tempering Effect of Background Risk (1996)Risk Vulnerability and the Te…Standard Risk Aversion (1991)Standard Risk AversionPrecautionary Saving in the Small and in the Large (1990)Precautionary Saving in the S…Precautionary Saving in the Small and in the Large (1989)Precautionary Saving in the S…The Ross Characterization of Risk Aversion: Strengthening and Extension (1987)The Ross Characterization of …Proper Risk Aversion (1987)Proper Risk AversionDecision-Making in the Presence of Risk (1987)Decision-Making in the Presen…Risk Aversion with Random Initial Wealth (1981)Risk Aversion with Random Ini…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…Ordinal Dominance and Risk Aversion (2014)Ordinal Dominance and Risk Av…Strategic Asset Allocation (2002)Idiosyncratic Risk Matters! (2003)Eliciting Risk and Time Preferences (2008)Theory of games and economic behavior (2019)Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1962)Optimal Insurance in Incomplete Markets (1983)Rational Insurance Purchasing: Consideration of Contract Nonperformance (1990)Background Risk, Prudence, and the Demand for Insurance (1992)Risk and uncertainty: a fallacy of large numbers (1963)Myopic Loss Aversion and the Equity Premium Puzzle (1993)Myopic Loss Aversion and the Equity Premium Puzzle (1995)Saving and Uncertainty: The Precautionary Demand for Saving (1968)Uninsured Idiosyncratic Risk and Aggregate Saving (1994)The analysis of household surveys (1997)Understanding Consumption (1992)Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Conditional Skewness in Asset Pricing Tests (2000)Moral Hazard and Observability (1979)Prospect theory: An analysis of decision under risk (1988)The New Institutional Economics: Taking Stock, Looking Ahead (2000)Risk Aversion in the Laboratory (2008)Risk-Taking Behavior in the Wake of Natural Disasters (2012)Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk (2000)The Role of Social Capital in Financial Development (2004)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

  • 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
  • 1990Precautionary Saving in the Small and in the Large1,850 cited
  • 1989Precautionary Saving in the Small and in the Large1,498 cited
  • 2001The Economics of Risk and Time1,361 cited
  • 1991Standard Risk Aversion851 cited
  • 1996Risk Vulnerability and the Tempering Effect of Background Risk765 cited
  • 1987Proper Risk Aversion540 cited
  • 1981Risk Aversion with Random Initial Wealth235 cited
  • 1987Decision-Making in the Presence of Risk109 cited
  • 2007A production–inventory model of HMMS on time scales73 cited
  • 1987The Ross Characterization of Risk Aversion: Strengthening and Extension53 cited
  • 2006On the relationship between absolute prudence and absolute risk aversion14 cited

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  • 2014Ordinal Dominance and Risk Aversion1 cited

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