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On the recoverability of risk and time preferences from consumption and asset demands
7 references·1 citing·32 second hop
On the recoverability of risk and time preferences from consumption and asset demands (1984)On the recoverability of risk and time pr…General Equilibrium, Growth, and Trade (1979)General Equilibrium, Growth, …An OCE Analysis of the Effect of Uncertainty on Saving Under Risk Preference Independence (1979)An OCE Analysis of the Effect…Time preferences, conditional risk preferences, and two-period cardinal utility (1978)Time preferences, conditional…A New Representation of Preferences over "Certain x Uncertain" Consumption Pairs: The "Ordinal Certainty Equivalent" Hypothesis (1978)A New Representation of Prefe…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…A Note on Measurement of Utility (1937)A Note on Measurement of Util…Identification of smooth ambiguity (2025)Identification of smooth ambi…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Portfolio choice with non-expected utility in continuous time (1989)Precautionary Savings and the Permanent Income Hypothesis (1993)Equity Weighting and the Marginal Damage Costs of Climate Change (2007)Essays in the Theory of Risk-Bearing. (1972)Nonexpected Utility in Macroeconomics (1990)Asset Prices in an Exchange Economy with Habit Formation (1991)Asset returns and intertemporal preferences (1991)Theory of games and economic behavior (2019)The Theory of Games and Economic Behavior (1945)Portfolio Selection: Efficient Diversification of Investments (1959)Univariate Versus Bivariate Strong Independence (2013)Habit Formation and Risk Preference Dependence (2014)Risk neutrality regions (2015)Risk, Ambiguity, and the Savage Axioms (1961)Maxmin expected utility with non-unique prior (1989)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)Mean-preserving capacities: A tractable class of Choquet capacities (2025)Handbook of Emotions (1993)The Handbook of Economic Sociology (1994)The Economics and Psychology of Personality Traits (2008)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)Chapter 26 Optimal economic growth, turnpike theorems and comparative dynamics (1986)Chapter 6 Indeterminacy and sunspots in macroeconomics (1999)Chapter 14 The equity premium in retrospect (2003)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)
this work references cited by second hop

References

  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1937A Note on Measurement of Utility2,177 cited
  • 1978A New Representation of Preferences over "Certain x Uncertain" Consumption Pairs: The "Ordinal Certainty Equivalent" Hypothesis217 cited
  • 1979General Equilibrium, Growth, and Trade99 cited
  • 1979An OCE Analysis of the Effect of Uncertainty on Saving Under Risk Preference Independence82 cited
  • 1978Time preferences, conditional risk preferences, and two-period cardinal utility9 cited

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  • 2025Identification of smooth ambiguity2 cited

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