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Nonparametric predictive utility inference
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Nonparametric predictive utility inference (2012)Nonparametric predictive utility inferenceEllsberg Revisited: An Experimental Study (2007)Ellsberg Revisited: An Experi…A Smooth Model of Decision Making under Ambiguity (2005)A Smooth Model of Decision Ma…Subjective probability and expected utility without additivity (2004)Subjective probability and ex…Differentiating ambiguity and ambiguity attitude (2004)Differentiating ambiguity and…A Definition of Uncertainty Aversion (1999)A Definition of Uncertainty A…Subjective Probability and Expected Utility without Additivity (1989)Subjective Probability and Ex…Statistical Decision Theory (1989)Statistical Decision TheoryRisk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Adaptive Economic Models (1975)Adaptive Economic ModelsDECISION THEORY AND INCOMPLETE KNOWLEDGE (1974)DECISION THEORY AND INCOMPLET…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Applied Statistical Decision Theory. (1962)Applied Statistical Decision …Applied Statistical Decision Theory (1962)Applied Statistical Decision …Risk, Ambiguity, and the Savage Axioms (1961)Risk, Ambiguity, and the Sava…Exposition of a New Theory on the Measurement of Risk (1954)Exposition of a New Theory on…A Conjugate Class of Utility Functions for Sequential Decision Problems (2015)A Conjugate Class of Utility …Utility Theory for Decision Making (1971)A theory of anticipated utility (1982)The Dual Theory of Choice under Risk (1987)RATIONAL CHOICE AND THE FRAMING OF DECISIONS (1988)Psychology and Economics (1997)Moral Hazard and Observability (1979)Prospect theory: An analysis of decision under risk (1988)The New Institutional Economics: Taking Stock, Looking Ahead (2000)The Framing of Decisions and the Psychology of Choice (1981)Advances in prospect theory: Cumulative representation of uncertainty (1992)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)Risk Aversion and Incentive Effects (2002)A perspective on judgment and choice: Mapping bounded rationality. (2003)Maps of Bounded Rationality: Psychology for Behavioral Economics (2003)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)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Risk Aversion in the Laboratory (2008)Sensitivity analysis: A review of recent advances (2015)Bandit Processes and Dynamic Allocation Indices (1979)On the aggregation of information in competitive markets (1980)The real term structure and consumption growth (1988)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

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  • 1964Risk Aversion in the Small and in the Large4,964 cited
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  • 2004Differentiating ambiguity and ambiguity attitude915 cited
  • 2007Ellsberg Revisited: An Experimental Study614 cited
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  • 1975Adaptive Economic Models256 cited
  • 1974DECISION THEORY AND INCOMPLETE KNOWLEDGE80 cited

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  • 2015A Conjugate Class of Utility Functions for Sequential Decision Problems1 cited