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Comparative Risk Aversion for State-Dependent Preferences
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Comparative Risk Aversion for State-Dependent Preferences (2020)Comparative Risk Aversion for State-Depen…An expected utility theory for state-dependent preferences (2016)An expected utility theory fo…Supermodularity and Complementarity (2011)Supermodularity and Complemen…Lp-Fréchet Differentiable Preference and "Local Utility" Analysis (1993)Lp-Fréchet Differentiable Pre…Duality and Modern Economics (1992)Duality and Modern EconomicsChoice Under Uncertainty: Problems Solved and Unsolved (1992)Choice Under Uncertainty: Pro…Generalized Expected Utility Analysis of Risk Aversion with State-Dependent Preferences (1987)Generalized Expected Utility …Choice Under Uncertainty: Problems Solved and Unsolved (1987)Choice Under Uncertainty: Pro…Decision Making Under Uncertainty: The Case of State-Dependent Preference (1985)Decision Making Under Uncerta…Decision Making Under Uncertainty (1985)Decision Making Under Uncerta…Risk Aversion for State-Dependent Utility Functions: Measurement and Applications (1983)Risk Aversion for State-Depen…A theory of anticipated utility (1982)A theory of anticipated utili…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Aspects of the Theory of Risk Bearing--Yrjo Jahnsson Lectures (1969)Aspects of the Theory of Risk…Aspects of the Theory of Risk-Bearing. (1966)Aspects of the Theory of Risk…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Community Preference Fields (1953)Community Preference FieldsProspect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)RATIONAL CHOICE AND THE FRAMING OF DECISIONS (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Individual differences in reasoning: Implications for the rationality debate? (2000)Theory of games and economic behavior (2019)Judgment under Uncertainty: Heuristics and Biases (1974)International Norm Dynamics and Political Change (1998)The Institutional Dynamics of International Political Orders (1998)Anomalies: Risk Aversion (2001)Risk, Ambiguity, and the Savage Axioms (1961)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Why do people pay taxes? (1992)The irrelevance of inference: a decision-making approach to the stochastic evaluation of health care technologies (1999)The comparative static properties of the impure public good model (1994)The Relationship between the Income Elasticities of Demand and Willingness to Pay (1997)The use of a variable cost function in the regulation of the Italian water industry (2001)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)On the measurement of inequality (1970)Risk Aversion and Incentive Effects (2002)Increasing Generalized Correlation: A Definition and Some Economic Consequences (1980)Aspects of Rational Insurance Purchasing (1992)Disentangling Risk and Change (2014)Asset Pricing with Stochastic Differential Utility (1992)Chapter 8 Micro data and general equilibrium models (1999)Exact Consumer's Surplus and Deadweight Loss (2008)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)Incentives versus Transaction Costs: A Theory of Procurement Contracts (2001)Toward a Comparative Institutional Analysis (2002)Putting Auction Theory to Work (2004)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
  • 1982A theory of anticipated utility3,136 cited
  • 2011Supermodularity and Complementarity2,138 cited
  • 1966Aspects of the Theory of Risk-Bearing.1,888 cited
  • 1992Choice Under Uncertainty: Problems Solved and Unsolved948 cited
  • 1987Choice Under Uncertainty: Problems Solved and Unsolved878 cited
  • 1953Community Preference Fields734 cited
  • 1992Duality and Modern Economics260 cited
  • 1969Aspects of the Theory of Risk Bearing--Yrjo Jahnsson Lectures174 cited
  • 1985Decision Making Under Uncertainty134 cited
  • 1985Decision Making Under Uncertainty: The Case of State-Dependent Preference114 cited
  • 1983Risk Aversion for State-Dependent Utility Functions: Measurement and Applications84 cited
  • 1993Lp-Fréchet Differentiable Preference and "Local Utility" Analysis42 cited
  • 2016An expected utility theory for state-dependent preferences33 cited
  • 1987Generalized Expected Utility Analysis of Risk Aversion with State-Dependent Preferences

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