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Shadow Probability Theory for Asset Pricing under Ambiguity
16 references·0 citing·26 second hop
Shadow Probability Theory for Asset Pricing under Ambiguity (2011)Shadow Probability Theory for Asset Prici…Theory of games and economic behavior (2019)Theory of games and economic …Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Trading Is Hazardous to Your …Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …RATIONAL CHOICE AND THE FRAMING OF DECISIONS (1988)RATIONAL CHOICE AND THE FRAMI…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Rational Choice and the Framing of Decisions (1986)Rational Choice and the Frami…The equity premium: A puzzle (1985)The equity premium: A puzzleThe Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)The Disposition to Sell Winne…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Risk, Ambiguity, and the Savage Axioms (1961)Risk, Ambiguity, and the Sava…The Theory of Games and Economic Behavior (1945)The Theory of Games and Econo…Risk, Uncertainty and Profit (1921)Risk, Uncertainty and ProfitJudgment 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)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Entrepreneurial discovery and the competitive market process: an Austrian approach (2000)Gender Differences in Preferences (2009)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)Toward a positive theory of consumer choice (1980)Non-cooperative games (1989)Frontiers in Group Dynamics (1947)A Method for Evaluating the Distribution of Power in a Committee System (1954)Measurement of health state utilities for economic appraisal (1986)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)
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References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 2019Theory of games and economic behavior16,630 cited
  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1921Risk, Uncertainty and Profit9,962 cited
  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1945The Theory of Games and Economic Behavior5,134 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 2000Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors3,953 cited
  • 1988RATIONAL CHOICE AND THE FRAMING OF DECISIONS3,712 cited
  • 1986Rational Choice and the Framing of Decisions3,624 cited
  • 1985The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence

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