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On the sensitivity of the value of information to risk aversion in two-action decision problems
16 references·1 citing·30 second hop
On the sensitivity of the value of information to risk aversion in two-action decision problems (2013)On the sensitivity of the value of inform…Effective utility functions induced by organizational target‐based incentives (2008)Effective utility functions i…The Shape of Utility Functions and Organizational Behavior (2003)The Shape of Utility Function…Adding Risks: Samuelson's Fallacy of Large Numbers Revisited (1999)Adding Risks: Samuelson's Fal…The Determinants of Information Value: Synthesizing Some General Results (1981)The Determinants of Informati…Some Stronger Measures of Risk Aversion in the Small and the Large with Applications (1981)Some Stronger Measures of Ris…Risk Aversion with Random Initial Wealth (1981)Risk Aversion with Random Ini…The Value of Information Given Decision Flexibility (1977)The Value of Information Give…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…A Comparative Statics Analysis of Risk Premiums (1973)A Comparative Statics Analysi…Value of Information Lotteries (1967)Value of Information LotteriesInformation Value Theory (1966)Information Value TheoryAspects of the Theory of Risk-Bearing. (1966)Aspects of the Theory of Risk…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Risk and uncertainty: a fallacy of large numbers (1963)Risk and uncertainty: a falla…Applied Statistical Decision Theory. (1962)Applied Statistical Decision …Applied Statistical Decision Theory (1962)Applied Statistical Decision …Willingness to Pay for Imperfect Information: Evidence from a Newsvendor Problem (2015)Willingness to Pay for Imperf…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1962)Optimal Insurance in Incomplete Markets (1983)Rational Insurance Purchasing: Consideration of Contract Nonperformance (1990)Background Risk, Prudence, and the Demand for Insurance (1992)Economic theory of teams (1972)Limits for the Precision and Value of Information from Dependent Sources (1985)50th Anniversary Article: The Evolution of Research on Information Systems: A Fiftieth-Year Survey of the Literature in Management Science (2004)Economic Value of Weather and Climate Forecasts (2012)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)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)On the measurement of inequality (1970)Risk Aversion and Incentive Effects (2002)The Foundations of Decision Analysis (1968)Computational Aspects of Cooperative Game Theory (2012)Sensitivity analysis: A review of recent advances (2015)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)Comparison of Bayesian and regression approaches to the study of information processing in judgment (1971)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Bayesian Experimental Design: A Review (1995)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Myopic Loss Aversion and the Equity Premium Puzzle (1995)The value of the stochastic solution in stochastic linear programs with fixed recourse (1982)Differential information and the small firm effect (1984)CREDIT SCORING, STATISTICAL TECHNIQUES AND EVALUATION CRITERIA: A REVIEW OF THE LITERATURE (2011)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
  • 1962Applied Statistical Decision Theory2,172 cited
  • 1966Aspects of the Theory of Risk-Bearing.1,888 cited
  • 1966Information Value Theory1,005 cited
  • 1962Applied Statistical Decision Theory.632 cited
  • 1963Risk and uncertainty: a fallacy of large numbers615 cited
  • 1981Some Stronger Measures of Risk Aversion in the Small and the Large with Applications450 cited
  • 1981Risk Aversion with Random Initial Wealth235 cited
  • 1981The Determinants of Information Value: Synthesizing Some General Results224 cited
  • 2003The Shape of Utility Functions and Organizational Behavior186 cited
  • 1973A Comparative Statics Analysis of Risk Premiums135 cited
  • 1999Adding Risks: Samuelson's Fallacy of Large Numbers Revisited88 cited
  • 1977The Value of Information Given Decision Flexibility87 cited
  • 1967Value of Information Lotteries81 cited
  • 2008Effective utility functions induced by organizational target‐based incentives

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  • 2015Willingness to Pay for Imperfect Information: Evidence from a Newsvendor Problem0 cited