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On the correspondence between multivariate risk aversion and risk aversion with state-dependent preferences
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On the correspondence between multivariate risk aversion and risk aversion with state-dependent preferences (1983)On the correspondence between multivariat…Risk Aversion for State-Dependent Utility Functions: Measurement and Applications (1983)Risk Aversion for State-Depen…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 AversionThe Demand for Insurance and Protection: The Case of Irreplaceable Commodities (1977)The Demand for Insurance and …A 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…Risk aversion with many commodities (1974)Risk aversion with many commo…Optimal insurance and generalized deductibles (1974)Optimal insurance and general…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…Behavior Towards Risk with Many Commodities (1969)Behavior Towards Risk with Ma…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…A Conceptual Foundation for the Theory of Risk Aversion (2014)A Conceptual Foundation for t…Risk Aversion and Planning Horizons (2006)Risk Aversion and Planning Ho…The Economic Theory of WTP and WTA (2001)The Economic Theory of WTP an…Mean utility preserving increases in risk for state dependent utility functions (1987)Mean utility preserving incre…A note on risk aversion and multivariate, state-dependent preferences (1987)A note on risk aversion and m…Aspects of the Theory of Risk-Bearing. (1966)Financial Intermediation and Delegated Monitoring (1984)Theory of Financial Decision Making. (1988)Cash Crop Production, Food Price Volatility, and Rural Market Integration in the Third World (1992)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)Foundations of Economic Analysis. (1948)The Demand for Life Insurance in Mexico and the United States: A Comparative Study (1990)Estimation of State-Dependent Utility Functions Using Survey Data (1991)The Private Market for Long‐Term Care Insurance in the United States: A Review of the Evidence (2009)Optimal Insurance Policy Indemnity Schedules (1983)WILLINGNESS‐TO‐PAY FOR CRIME CONTROL PROGRAMS* (2004)Assessing Risky Social Situations (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)Moral Hazard and Observability (1979)Prospect theory: An analysis of decision under risk (1988)The New Institutional Economics: Taking Stock, Looking Ahead (2000)Wishart Quadratic Term Structure Models (2005)MULTIATTRIBUTE UTILITY THEORY, INTERTEMPORAL UTILITY, AND CORRELATION AVERSION (2018)Consumer's Surplus, Price Instability, and Consumer Welfare (1980)Luxury Goods and the Equity Premium (2004)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
  • 1972Essays in the Theory of Risk-Bearing.3,991 cited
  • 1981Some Stronger Measures of Risk Aversion in the Small and the Large with Applications450 cited
  • 1977The Demand for Insurance and Protection: The Case of Irreplaceable Commodities402 cited
  • 1974Risk aversion with many commodities394 cited
  • 1974Optimal insurance and generalized deductibles377 cited
  • 1969Behavior Towards Risk with Many Commodities130 cited
  • 1977A Matrix Measure of Multivariate Local Risk Aversion111 cited
  • 1979On Multivariate Risk Aversion95 cited
  • 1983Risk Aversion for State-Dependent Utility Functions: Measurement and Applications84 cited
  • 1975Risk premium with many commodities25 cited

Cited by

  • 2001The Economic Theory of WTP and WTA89 cited
  • 2006Risk Aversion and Planning Horizons60 cited
  • 1987A note on risk aversion and multivariate, state-dependent preferences2 cited
  • 1987Mean utility preserving increases in risk for state dependent utility functions

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2 cited
  • 2014A Conceptual Foundation for the Theory of Risk Aversion2 cited