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Greater Downside Risk Aversion
16 references·16 citing·31 second hopsampled
Greater Downside Risk Aversion (2002)Greater Downside Risk AversionThird-Degree Stochastic Dominance (2016)Third-Degree Stochastic Domin…Increasing Downside Risk (2016)Increasing Downside RiskStock market volatility and the business cycle (1996)Stock market volatility and t…How Prudent are Consumers? (1993)How Prudent are Consumers?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…Intertemporal Substitution in Consumption (1988)Intertemporal Substitution in…Risk Aversion and the Choice Between Risky Prospects: The Preservation of Comparative Statics Results (1987)Risk Aversion and the Choice …Intertemporal Substitution in Consumption (1981)Intertemporal Substitution in…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Increases in risk and in risk aversion (1974)Increases in risk and in risk…Increasing risk II: Its economic consequences (1971)Increasing risk II: Its econo…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…The Self-Protection Problem (2024)The Self-Protection ProblemWho Should Exert More Effort? Risk Aversion, Downside Risk Aversion and Optimal Prevention (2019)Who Should Exert More Effort?…Alternative Approaches to Comparative nth-Degree Risk Aversion (2019)Alternative Approaches to Com…Rank-Dependent Utility and Risk Taking in Complete Markets (2017)Rank-Dependent Utility and Ri…The Price of Shelter - Downside Risk Reduction with Precious Metals (2016)The Price of Shelter - Downsi…Strong Increases in Downside Risk Aversion (2016)Strong Increases in Downside …The Theory of Risk and Risk Aversion (2014)The Theory of Risk and Risk A…Substituting one risk increase for another: A method for measuring risk aversion (2013)Substituting one risk increas…The Schwarzian derivative as a ranking of downside risk aversion (2012)The Schwarzian derivative as …Decreasing absolute risk aversion, prudence and increased downside risk aversion (2012)Decreasing absolute risk aver…Beyond Risk Aversion: Why, How and What's Next? (2012)Beyond Risk Aversion: Why, Ho…Risk Aversion, Downside Risk Aversion and Paying for Stochastic Improvements (2011)Risk Aversion, Downside Risk …Prudence probability premium (2010)Prudence probability premiumGreater prudence and greater downside risk aversion (2010)Greater prudence and greater …Greater downside risk aversion in the large (2008)Greater downside risk aversio…Portfolio management with heuristic optimization (2005)Portfolio management with heu…Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Firm Size and Cyclical Variations in Stock Returns (2000)Volatility Spillover Effects in European Equity Markets (2005)Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe (2020)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)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)On the measurement of inequality (1970)Risk Aversion and Incentive Effects (2002)Optimal rules for ordering uncertain prospects (1975)Net Health Benefits (1998)Stochastic Volatility for Lévy Processes (2003)Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk (2000)Strategic Asset Allocation (2002)The Role of Social Capital in Financial Development (2004)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)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
  • 1966Aspects of the Theory of Risk-Bearing.1,888 cited
  • 1990Precautionary Saving in the Small and in the Large1,850 cited
  • 1988Intertemporal Substitution in Consumption1,567 cited
  • 1989Precautionary Saving in the Small and in the Large1,498 cited
  • 1981Intertemporal Substitution in Consumption1,397 cited
  • 1971Increasing risk II: Its economic consequences1,082 cited
  • 1991Standard Risk Aversion851 cited
  • 1996Stock market volatility and the business cycle779 cited
  • 1974Increases in risk and in risk aversion556 cited
  • 2016Third-Degree Stochastic Dominance483 cited
  • 2016Increasing Downside Risk480 cited
  • 1993How Prudent are Consumers?384 cited
  • 1969Aspects of the Theory of Risk Bearing--Yrjo Jahnsson Lectures174 cited
  • 1987Risk Aversion and the Choice Between Risky Prospects: The Preservation of Comparative Statics Results100 cited

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Cited by

  • 2005Portfolio management with heuristic optimization130 cited
  • 2016The Price of Shelter - Downside Risk Reduction with Precious Metals93 cited
  • 2013Substituting one risk increase for another: A method for measuring risk aversion49 cited
  • 2012Decreasing absolute risk aversion, prudence and increased downside risk aversion49 cited
  • 2008Greater downside risk aversion in the large48 cited
  • 2019Who Should Exert More Effort? Risk Aversion, Downside Risk Aversion and Optimal Prevention36 cited
  • 2012Beyond Risk Aversion: Why, How and What's Next?33 cited
  • 2010Greater prudence and greater downside risk aversion30 cited
  • 2017Rank-Dependent Utility and Risk Taking in Complete Markets24 cited
  • 2012The Schwarzian derivative as a ranking of downside risk aversion23 cited
  • 2011Risk Aversion, Downside Risk Aversion and Paying for Stochastic Improvements19 cited
  • 2014The Theory of Risk and Risk Aversion19 cited
  • 2019Alternative Approaches to Comparative nth-Degree Risk Aversion18 cited
  • 2016Strong Increases in Downside Risk Aversion16 cited
  • 2010Prudence probability premium15 cited
  • 2024The Self-Protection Problem9 cited