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Multivariate risk premiums
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Multivariate risk premiums (1987)Multivariate risk premiumsComparison of Alternative Utility Functions in Portfolio Selection Problems (1983)Comparison of Alternative Uti…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…Constant, Increasing and Decreasing Risk Aversion with Many Commodities (1981)Constant, Increasing and Decr…On Multivariate Risk Aversion (1979)On Multivariate Risk AversionTemporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…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, impatience, and optimal timing decisions (1975)Risk aversion, impatience, an…Risk aversion with many commodities (1974)Risk aversion with many commo…The Fundamental Theorem of Parameter-Preference Security Valuation (1973)The Fundamental Theorem of Pa…Lectures on Microeconomic Theory. (1973)Lectures on Microeconomic The…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…Consumption decisions under uncertainty (1972)Consumption decisions under u…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…A strong (Ross) characterization of multivariate risk aversion (1995)A strong (Ross) characterizat…Mis-Specifications in Portfolio Selection Problems (1984)Mis-Specifications in Portfol…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)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)Portfolio Theory and Capital Markets. (1972)An aggregation theorem for securities markets (1974)Portfolio selection and skewness: Evidence from international stock markets (1997)Optimal Portfolio Allocation under Higher Moments (2006)Theory of Value (1959)Saving and Uncertainty: The Precautionary Demand for Saving (1968)THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE (1988)The Equity Premium Puzzle and the Riskfree Rate Puzzle (1989)DO NATURAL DISASTERS PROMOTE LONG‐RUN GROWTH? (2002)Theory of games and economic behavior (2019)Utility Theory for Decision Making (1971)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)A Smooth Model of Decision Making under Ambiguity (2005)Expected Stock Returns and Variance Risk Premia (2009)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)Welfare Implications of the Taxation of Savings (1980)The Theory of Technological Competition (1986)An Inquiry into Well-Being and Destitution (1995)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
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
  • 1972Consumption decisions under uncertainty583 cited
  • 1981Some Stronger Measures of Risk Aversion in the Small and the Large with Applications450 cited
  • 1973The Fundamental Theorem of Parameter-Preference Security Valuation447 cited
  • 1974Risk aversion with many commodities394 cited
  • 1973Lectures on Microeconomic Theory.339 cited
  • 1981Risk Aversion with Random Initial Wealth235 cited
  • 1983Comparison of Alternative Utility Functions in Portfolio Selection Problems202 cited
  • 1977A Matrix Measure of Multivariate Local Risk Aversion111 cited
  • 1981Constant, Increasing and Decreasing Risk Aversion with Many Commodities97 cited
  • 1979On Multivariate Risk Aversion95 cited
  • 1975Risk aversion, impatience, and optimal timing decisions38 cited
  • 1975Risk premium with many commodities

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  • 1984Mis-Specifications in Portfolio Selection Problems66 cited
  • 1995A strong (Ross) characterization of multivariate risk aversion8 cited