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Separation theorems and expected utilities
16 references·16 citing·28 second hopsampled
Separation theorems and expected utilities (1975)Separation theorems and expected utilitiesRisk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Preferences, Utility, and Demand. (1972)Preferences, Utility, and Dem…Utility Theory for Decision Making (1971)Utility Theory for Decision M…Increasing risk II: Its economic consequences (1971)Increasing risk II: Its econo…The Effects of Taxation on Risk Taking (1969)The Effects of Taxation on Ri…Rules for Ordering Uncertain Prospects (1969)Rules for Ordering Uncertain …Taxation and Risk-Taking: An Expected Utility Approach (1968)Taxation and Risk-Taking: An …An Introduction to Bernoullian Utility Theory: I. Utility Functions (1967)An Introduction to Bernoullia…Revealed Preference Theory (1966)Revealed Preference 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…Utility Theory without the Completeness Axiom (1962)Utility Theory without the Co…Admissibility and Measurable Utility Functions (1962)Admissibility and Measurable …Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Theory of Games and Economic Behavior (1946)Theory of Games and Economic …Theory of Games and Economic Behavior (1945)Theory of Games and Economic …Revealed Preferences over Risk and Uncertainty (2020)Revealed Preferences over Ris…New Developments in Revealed Preference Theory: Decisions Under Risk, Uncertainty, and Intertemporal Choice (2020)New Developments in Revealed …A test for risk-averse expected utility (2016)A test for risk-averse expect…A Uni…ed Approach to Revealed Preference Theory: The Case of Rational Choice (2014)A Uni…ed Approach to Revealed…Representation of subjective preferences under ambiguity (2005)Representation of subjective …von Neumann Morgenstern preferences (2000)von Neumann Morgenstern prefe…Revealed Preference and Expected Utility (2000)Revealed Preference and Expec…Dynamic Consistency and Non-Expected Utility (1999)Dynamic Consistency and Non-E…Revealed preference and linear utility (1993)Revealed preference and linea…Revealed preference, stochastic dominance, and the expected utility hypothesis (1992)Revealed preference, stochast…The subjective expected utility hypothesis and revealed preference (1991)The subjective expected utili…Functional Analytic Tools for Expected Utility Theory (1991)Functional Analytic Tools for…Research Bibliography—Stochastic Dominance: A Research Bibliography (1982)Research Bibliography—Stochas…An axiomatic derivation of subjective probability, utility, and evaluation functions (1979)An axiomatic derivation of su…A Survey of Multiattribute/Multicriterion Evaluation Theories (1978)A Survey of Multiattribute/Mu…Expected Utility Theories: A Review Note (1977)Expected Utility Theories: A …On the measurement of inequality (1970)On Economic Inequality (1973)A theory of anticipated utility (1982)Theory of games and economic behavior (2019)The Framing of Decisions and the Psychology of Choice (1981)Maxmin expected utility with non-unique prior (1989)Time Discounting and Time Preference: A Critical Review (2002)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Risk Aversion and Incentive Effects (2002)Optimal rules for ordering uncertain prospects (1975)Net Health Benefits (1998)Stochastic Volatility for Lévy Processes (2003)Cardinal Welfare, Individualistic Ethics, and Interpersonal Comparisons of Utility (1980)Development of prosocial, individualistic, and competitive orientations: Theory and preliminary evidence. (1997)Political Choice in Britain (2004)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)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)Afriat and Revealed Preference Theory (1973)Path Independence, Rationality, and Social Choice (1973)Preference, Value, Choice, and Welfare (2011)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)Representative design and probabilistic theory in a functional psychology. (1955)Features of similarity. (1977)Evolutionary game dynamics (2003)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
  • 1945Theory of Games and Economic Behavior4,006 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1946Theory of Games and Economic Behavior3,280 cited
  • 1971Utility Theory for Decision Making2,460 cited
  • 1966Aspects of the Theory of Risk-Bearing.1,888 cited
  • 1969Rules for Ordering Uncertain Prospects1,757 cited
  • 1971Increasing risk II: Its economic consequences1,082 cited
  • 1966Revealed Preference Theory642 cited
  • 1962Utility Theory without the Completeness Axiom563 cited
  • 1962Admissibility and Measurable Utility Functions559 cited
  • 1972Preferences, Utility, and Demand.527 cited
  • 1968Taxation and Risk-Taking: An Expected Utility Approach241 cited
  • 1969The Effects of Taxation on Risk Taking182 cited
  • 1967An Introduction to Bernoullian Utility Theory: I. Utility Functions163 cited

Cited by

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  • 1982Research Bibliography—Stochastic Dominance: A Research Bibliography140 cited
  • 1978A Survey of Multiattribute/Multicriterion Evaluation Theories46 cited
  • 1999Dynamic Consistency and Non-Expected Utility29 cited
  • 1979An axiomatic derivation of subjective probability, utility, and evaluation functions26 cited
  • 1992Revealed preference, stochastic dominance, and the expected utility hypothesis25 cited
  • 2020Revealed Preferences over Risk and Uncertainty24 cited
  • 2020New Developments in Revealed Preference Theory: Decisions Under Risk, Uncertainty, and Intertemporal Choice20 cited
  • 2016A test for risk-averse expected utility14 cited
  • 2000von Neumann Morgenstern preferences13 cited
  • 1991Functional Analytic Tools for Expected Utility Theory9 cited
  • 1977Expected Utility Theories: A Review Note7 cited
  • 1993Revealed preference and linear utility7 cited
  • 2005Representation of subjective preferences under ambiguity7 cited
  • 1991The subjective expected utility hypothesis and revealed preference7 cited
  • 2000Revealed Preference and Expected Utility5 cited
  • 2014A Uni…ed Approach to Revealed Preference Theory: The Case of Rational Choice4 cited