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The Role of Risk Tolerance in the Asset Allocation Process: A New Perspective
16 references·1 citing·37 second hop
The Role of Risk Tolerance in the Asset Allocation Process: A New Perspective (1990)The Role of Risk Tolerance in the Asset A…Experimental Development of Sealed-Bid Auction Theory; Calibrating Controls for Risk Aversion (2016)Experimental Development of S…5 Information Impact and Allocation Rules in Auctions with Affiliated Private Values: A Laboratory Study (2009)5 Information Impact and Allo…Prospect Theory: An Analysis of Decision under Risk (2000)Prospect Theory: An Analysis …Determinants of Portfolio Performance (1995)Determinants of Portfolio Per…Theory and Behavior of Single Object Auctions (1991)Theory and Behavior of Single…Microeconomic Systems as an Experimental Science (1991)Microeconomic Systems as an E…Information Impact and Allocation Rules in Auctions with Affiliated Private Values: A Laboratory Study (1987)Information Impact and Alloca…Determinants of Portfolio Performance (1986)Determinants of Portfolio Per…Individual investors and risk-taking (1982)Individual investors and risk…Competitive Bidding for Contracts under Alternative Auction Procedures (1980)Competitive Bidding for Contr…A genetic and environmental analysis of sensation seeking (1980)A genetic and environmental a…The Changing Role of the Individual Investor (1979)The Changing Role of the Indi…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …THE DEMAND FOR RISKY ASSETS (1977)THE DEMAND FOR RISKY ASSETSRisk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…COUNTERSPECULATION, AUCTIONS, AND COMPETITIVE SEALED TENDERS (1961)COUNTERSPECULATION, AUCTIONS,…Direct Tests of the Reservation Wage Property (1992)Direct Tests of the Reservati…Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets (1991)The Use of Knowledge in Society (1996)Collective Action and the Evolution of Social Norms (2000)Experimenter demand effects in economic experiments (2009)The Logic of Scientific Discovery (2013)Criteria for Choice Among Risky Ventures (1959)An Intertemporal Capital Asset Pricing Model (1973)The Rationale of the Mean-Standard Deviation Analysis, Skewness Preference, and the Demand for Money (1989)Why do people pay taxes? (1992)Economic foundations of cost-effectiveness analysis (1997)Inequality, Social Insurance, and Redistribution (2001)Statistical principles in experimental design. (1962)Prospect theory: An analysis of decision under risk (1988)Resolving Differences in Willingness to Pay and Willingness to Accept: Reply (1994)Using Field Experiments to Test Equivalence Between Auction Formats: Magic on the Internet (1999)A REVIEW OF METHODS FOR MEASURING WILLINGNESS-TO-PAY (2006)Theory and individual behavior of first-price auctions (1988)...Plus Shipping and Handling: Revenue (Non) Equivalence in Field Experiments on eBay (2006)Auctions with Anticipated Regret: Theory and Experiment (2007)Optimal Auction Design (1981)A Theory of Auctions and Competitive Bidding (1982)A Course in Game Theory (1994)The Structure and Performance of the Money Management Industry (1992)The Behavior of Stock Prices Around Institutional Trades (1995)Beyond Greed and Fear (2002)The Framing of Decisions and the Psychology of Choice (1981)Advances in prospect theory: Cumulative representation of uncertainty (1992)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Linking Measured Risk Aversion to Individual Characteristics (2002)Long–Term Orientation and Intertemporal Choice in Family Firms (2011)What you Should Know about Megaprojects and Why: An Overview (2014)AUCTIONS: AN INTRODUCTION (1996)Internet Advertising and the Generalized Second Price Auction: Selling Billions of Dollars Worth of Keywords (2006)How Should Consumers’ Willingness to Pay be Measured? An Empirical Comparison of State-of-the-Art Approaches (2011)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
  • 1961COUNTERSPECULATION, AUCTIONS, AND COMPETITIVE SEALED TENDERS7,719 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1991Microeconomic Systems as an Experimental Science1,418 cited
  • 1977THE DEMAND FOR RISKY ASSETS1,052 cited
  • 1986Determinants of Portfolio Performance1,031 cited
  • 2000Prospect Theory: An Analysis of Decision under Risk922 cited
  • 20095 Information Impact and Allocation Rules in Auctions with Affiliated Private Values: A Laboratory Study458 cited
  • 1987Information Impact and Allocation Rules in Auctions with Affiliated Private Values: A Laboratory Study399 cited
  • 1991Theory and Behavior of Single Object Auctions395 cited
  • 1980Competitive Bidding for Contracts under Alternative Auction Procedures273 cited
  • 1980A genetic and environmental analysis of sensation seeking249 cited
  • 1982Individual investors and risk-taking127 cited
  • 2016Experimental Development of Sealed-Bid Auction Theory; Calibrating Controls for Risk Aversion111 cited
  • 1979The Changing Role of the Individual Investor106 cited

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  • 1995Determinants of Portfolio Performance100 cited
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    • 1992Direct Tests of the Reservation Wage Property77 cited