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Axiomatic Measures of Risk and Risk‐Value Models
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Axiomatic Measures of Risk and Risk‐Value Models (2014)Axiomatic Measures of Risk and Risk‐Value…Curvature of the Probability Weighting Function (1996)Curvature of the Probability …Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…Foundations of Portfolio Theory (1991)Foundations of Portfolio Theo…Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Mean-Variance Analysis in Por…Choice Under Uncertainty: Problems Solved and Unsolved (1987)Choice Under Uncertainty: Pro…Disappointment in Decision Making Under Uncertainty (1985)Disappointment in Decision Ma…A theory of anticipated utility (1982)A theory of anticipated utili…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Risk Analysis with Risk …Portfolio Theory and Capital Markets. (1972)Portfolio Theory and Capital …Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine (1953)Le Comportement de l'Homme Ra…The Utility of Wealth (1952)The Utility of WealthThe Utility Analysis of Choices Involving Risk (1948)The Utility Analysis of Choic…Theory of Games and Economic Behavior (1946)Theory of Games and Economic …Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Modern Portfolio Theory and Investment Analysis. (1982)From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)Heuristics for cardinality constrained portfolio optimisation (2000)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect theory: An analysis of decision under risk (1988)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)RATIONAL CHOICE AND THE FRAMING OF DECISIONS (1988)Theory of games and economic behavior (2019)Risk, Ambiguity, and the Savage Axioms (1961)Risk Aversion in the Small and in the Large (1976)Norm theory: Comparing reality to its alternatives. (1986)Time-inconsistent Preferences and Consumer Self-Control (1991)On the Shape of the Probability Weighting Function (1999)Handbook of Emotions (1993)Well-being : the foundations of hedonic psychology (1999)Investor Psychology and Asset Pricing (2001)Toward a positive theory of consumer choice (1980)Risk as feelings. (2001)Cardinal Welfare, Individualistic Ethics, and Interpersonal Comparisons of Utility (1980)Development of prosocial, individualistic, and competitive orientations: Theory and preliminary evidence. (1997)Political Choice in Britain (2004)The Framing of Decisions and the Psychology of Choice (1981)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)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
  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1953Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine4,117 cited
  • 1946Theory of Games and Economic Behavior3,280 cited
  • 1982A theory of anticipated utility3,136 cited
  • 1948The Utility Analysis of Choices Involving Risk3,097 cited
  • 1952The Utility of Wealth1,845 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 1985Disappointment in Decision Making Under Uncertainty1,260 cited
  • 1972Portfolio Theory and Capital Markets.1,221 cited
  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 1989Mean-Variance Analysis in Portfolio Choice and Capital Markets.1,160 cited
  • 1991Foundations of Portfolio Theory1,129 cited
  • 1996Curvature of the Probability Weighting Function990 cited
  • 1987

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Choice Under Uncertainty: Problems Solved and Unsolved
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