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A strong (Ross) characterization of multivariate risk aversion
15 references·1 citing·31 second hop
A strong (Ross) characterization of multivariate risk aversion (1995)A strong (Ross) characterization of multi…Multivariate Risk Aversion and Uninsurable Risks: Theory and Applications (1991)Multivariate Risk Aversion an…Nonexpected utility preferences in a temporal framework with an application to consumption-savings behaviour (1990)Nonexpected utility preferenc…Generalized Expected Utility Analysis of Multivariate Risk Aversion (1989)Generalized Expected Utility …The Ross Characterization of Risk Aversion: Strengthening and Extension (1987)The Ross Characterization of …Multivariate risk premiums (1987)Multivariate risk premiums"Expected Utility" Analysis without the Independence Axiom (1982)"Expected Utility" Analysis w…Some Stronger Measures of Risk Aversion in the Small and the Large with Applications (1981)Some Stronger Measures of Ris…On Multivariate Risk Aversion (1979)On Multivariate Risk AversionA Matrix Measure of Multivariate Local Risk Aversion (1977)A Matrix Measure of Multivari…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Risk premium with many commodities (1975)Risk premium with many commod…Multivariate constant risk posture (1975)Multivariate constant risk po…Risk aversion with many commodities (1974)Risk aversion with many commo…Increases in risk and in risk aversion (1974)Increases in risk and in risk…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Growth and Poverty in Sub-Saharan Africa (2016)Growth and Poverty in Sub-Sah…Essays in the Theory of Risk-Bearing. (1972)The design of tax structure: Direct versus indirect taxation (1976)Credit Rationing in Markets with Imperfect Information (1981)Theory of Financial Decision Making. (1988)Aspects of the Theory of Risk-Bearing. (1966)Financial Intermediation and Delegated Monitoring (1984)Cash Crop Production, Food Price Volatility, and Rural Market Integration in the Third World (1992)Behavior Towards Risk with Many Commodities (1969)Wishart Quadratic Term Structure Models (2005)MULTIATTRIBUTE UTILITY THEORY, INTERTEMPORAL UTILITY, AND CORRELATION AVERSION (2018)The Comparison of Multi-Dimensioned Distributions of Economic Status (1982)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Theory of games and economic behavior (2019)Asset Prices in an Exchange Economy (1978)A theory of anticipated utility (1982)Risk aversion and asset prices (1988)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)The Structure of Preferences and Attitudess towards the Timing of the Resolution of Uncertainty (1989)Welfare gains from international risksharing (1994)A Class of Decomposable Poverty Measures (1984)A SENSITIVITY ANALYSIS OF CROSS-COUNTRY GROWTH REGRESSIONS (1991)The Worldwide Governance Indicators: Methodology and Analytical Issues (2010)Optimal consumption–portfolio choices and retirement planning (2003)The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks (2012)Principles of Financial Economics (2014)The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)Prospect theory: An analysis of decision under risk (1988)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
  • 1982"Expected Utility" Analysis without the Independence Axiom1,518 cited
  • 1974Increases in risk and in risk aversion556 cited
  • 1981Some Stronger Measures of Risk Aversion in the Small and the Large with Applications450 cited
  • 1974Risk aversion with many commodities394 cited
  • 1977A Matrix Measure of Multivariate Local Risk Aversion111 cited
  • 1979On Multivariate Risk Aversion95 cited
  • 1990Nonexpected utility preferences in a temporal framework with an application to consumption-savings behaviour83 cited
  • 1987The Ross Characterization of Risk Aversion: Strengthening and Extension53 cited
  • 1989Generalized Expected Utility Analysis of Multivariate Risk Aversion45 cited
  • 1975Multivariate constant risk posture26 cited
  • 1975Risk premium with many commodities25 cited
  • 1987Multivariate risk premiums11 cited
  • 1991Multivariate Risk Aversion and Uninsurable Risks: Theory and Applications9 cited

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Growth and Poverty in Sub-Saharan Africa
117 cited