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Risk aversion with many commodities
5 references·16 citing·40 second hop
Risk aversion with many commodities (1974)Risk aversion with many commoditiesRisk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…Some remarks on measures of risk aversion and on their uses (1969)Some remarks on measures of r…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…The Climate Risk Premium: How Uncertainty Affects the Social Cost of Carbon (2020)The Climate Risk Premium: How…MULTIATTRIBUTE UTILITY THEORY, INTERTEMPORAL UTILITY, AND CORRELATION AVERSION (2018)MULTIATTRIBUTE UTILITY THEORY…Principles of Financial Economics (2014)Principles of Financial Econo…Temporal Resolution of Uncertainty and Recursive Models of Ambiguity Aversion (2013)Temporal Resolution of Uncert…The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks (2012)The Bond Premium in a DSGE Mo…Risk Aversion and the Labor Margin in Dynamic Equilibrium Models (2012)Risk Aversion and the Labor M…The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks (2010)The Bond Premium in a DSGE Mo…The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks (2009)The Bond Premium in a DSGE Mo…The Becker-DeGroot-Marschak mechanism is not necessarily incentive compatible, even for non-random goods (2006)The Becker-DeGroot-Marschak m…Optimal consumption–portfolio choices and retirement planning (2003)Optimal consumption–portfolio…The Nash bargaining solution is optimal (1986)The Nash bargaining solution …Research Bibliography—Stochastic Dominance: A Research Bibliography (1982)Research Bibliography—Stochas…Expectations Models of Asset Prices: A Survey of Theory (1982)Expectations Models of Asset …Constant, Increasing and Decreasing Risk Aversion with Many Commodities (1981)Constant, Increasing and Decr…On Multivariate Risk Aversion (1979)On Multivariate Risk AversionLeast concave utility functions (1976)Least concave utility functio…The Cross-Section of Expected Stock Returns (1992)Chapter 14 The equity premium in retrospect (2003)Excessive Dollar Borrowing in Emerging Markets: Balance Sheet Effects and Macroeconomic Externalities (2007)The Equity Premium Puzzle: A Review (2007)The Econometrics of Financial Markets (2012)Portfolio Selection (1952)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION (2006)Life-Cycle Portfolio Choice with Additive Habit Formation Preferences and Uninsurable Labor Income Risk (2006)Optimal Portfolio Choice over the Life Cycle with Flexible Work, Endogenous Retirement, and Lifetime Payouts (2011)A Theory of Auctions and Competitive Bidding (1982)Experimental Tests of the Endowment Effect and the Coase Theorem (1990)The Handbook of experimental economics (1995)Eliciting and Utilizing Willingness to Pay: Evidence from Field Trials in Northern Ghana (2019)How to run an experimental auction: a review of recent advances (2019)The economic effects of Facebook (2019)Aspects of the Theory of Risk-Bearing. (1966)Subjective Probabilities on Subjectively Unambiguous Events (2001)Uncertainty Aversion with Second-Order Utilities and Probabilities (2006)Ambiguity and the Bayesian Paradigm (2016)The equity premium: A puzzle (1985)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)MACRO‐FINANCE MODELS OF INTEREST RATES AND THE ECONOMY (2010)Risk aversion, risk premia, and the labor margin with generalized recursive preferences (2017)Moral Hazard and Observability (1979)Prospect theory: An analysis of decision under risk (1988)The New Institutional Economics: Taking Stock, Looking Ahead (2000)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)Solution and Estimation Methods for DSGE Models (2016)Common and country specific economic uncertainty (2017)The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications (2017)Disaster Risk and Business Cycles (2010)Fiscal Sustainability and Policy Implications for the Euro Area (2010)Risk, Uncertainty and Monetary Policy (2012)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
  • 1969Some remarks on measures of risk aversion and on their uses302 cited
  • 1969Behavior Towards Risk with Many Commodities130 cited

Cited by

  • 2012The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks314 cited
  • 2014Principles of Financial Economics206 cited
  • 2003Optimal consumption–portfolio choices and retirement planning167 cited
  • 2009The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks160 cited
  • 2010The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks156 cited
  • 2006The Becker-DeGroot-Marschak mechanism is not necessarily incentive compatible, even for non-random goods140 cited
  • 1982Research Bibliography—Stochastic Dominance: A Research Bibliography140 cited
  • 2012Risk Aversion and the Labor Margin in Dynamic Equilibrium Models140 cited
  • 2020The Climate Risk Premium: How Uncertainty Affects the Social Cost of Carbon122 cited
  • 1982Expectations Models of Asset Prices: A Survey of Theory

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112 cited
  • 1986The Nash bargaining solution is optimal106 cited
  • 1981Constant, Increasing and Decreasing Risk Aversion with Many Commodities97 cited
  • 1979On Multivariate Risk Aversion95 cited
  • 2013Temporal Resolution of Uncertainty and Recursive Models of Ambiguity Aversion95 cited
  • 1976Least concave utility functions90 cited
  • 2018MULTIATTRIBUTE UTILITY THEORY, INTERTEMPORAL UTILITY, AND CORRELATION AVERSION89 cited