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Risk aversion for variational and multiple-prior preferences
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Risk aversion for variational and multiple-prior preferences (2010)Risk aversion for variational and multipl…Principles of Financial Economics (2014)Principles of Financial Econo…Axiomatic Foundations of Multiplier Preferences (2011)Axiomatic Foundations of Mult…Ambiguity Aversion, Robustness, and the Variational Representation of Preferences (2006)Ambiguity Aversion, Robustnes…Model Uncertainty, Limited Market Participation, and Asset Prices (2005)Model Uncertainty, Limited Ma…Subjective probability and expected utility without additivity (2004)Subjective probability and ex…Recursive multiple-priors (2003)Recursive multiple-priorsStochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Robust Control and Model Uncertainty (2001)Robust Control and Model Unce…A More Robust Definition of Subjective Probability (1992)A More Robust Definition of S…Subjective Probability and Expected Utility without Additivity (1989)Subjective Probability and Ex…Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …The Dual Theory of Choice under Risk (1987)The Dual Theory of Choice und…Risk aversion in the theory of expected utility with rank dependent probabilities (1987)Risk aversion in the theory o…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…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Risk, Ambiguity, and the Savage Axioms (1961)Cognitive skills affect economic preferences, strategic behavior, and job attachment (2009)Theory of Decision under Uncertainty (2009)Theory and Applications of Robust Optimization (2010)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Ambiguity, Risk, and Asset Returns in Continuous Time (2002)Implications of rational inattention (2003)Robust Dynamic Programming (2005)Information Immobility and the Home Bias Puzzle (2009)Prospect 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)Utility Theory for Decision Making (1971)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)Chapter 18 A survey of behavioral finance (2003)A Smooth Model of Decision Making under Ambiguity (2005)Generalized deviations in risk analysis (2005)Utility maximization in incomplete markets (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Psychology and Economics (1997)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

  • 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
  • 1982A theory of anticipated utility3,136 cited
  • 2004Subjective probability and expected utility without additivity2,510 cited
  • 1987The Dual Theory of Choice under Risk2,426 cited
  • 1989Subjective Probability and Expected Utility without Additivity2,308 cited
  • 2001Robust Control and Model Uncertainty1,349 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2006Ambiguity Aversion, Robustness, and the Variational Representation of Preferences1,139 cited
  • 2003Recursive multiple-priors868 cited
  • 1992A More Robust Definition of Subjective Probability585 cited
  • 1987Risk aversion in the theory of expected utility with rank dependent probabilities430 cited
  • 2005Model Uncertainty, Limited Market Participation, and Asset Prices347 cited
  • 2011Axiomatic Foundations of Multiplier Preferences266 cited
  • 2014Principles of Financial Economics

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