SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Prospect Theory and Mean-Variance Analysis
16 references·16 citing·25 second hopsampled
Prospect Theory and Mean-Variance Analysis (2003)Prospect Theory and Mean-Variance AnalysisMental Accounting and Consumer Choice (2008)Mental Accounting and Consume…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…The variation of certain speculative prices (1997)The variation of certain spec…Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)The Disposition to Sell Winne…Mental Accounting and Consumer Choice (1985)Mental Accounting and Consume…A theory of anticipated utility (1982)A theory of anticipated utili…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Safety First and the Holding of Assets (1952)Safety First and the Holding …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Review on Efficiency and Anomalies in Stock Markets (2020)Review on Efficiency and Anom…Dynamic co-integration and portfolio diversification of Islamic and conventional indices: Global evidence (2017)Dynamic co-integration and po…Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange (2015)Is gold different for risk-av…The benefits of differential variance-based constraints in portfolio optimization (2013)The benefits of differential …Probability weighting functions implied in options prices (2012)Probability weighting functio…Test statistics for prospect and Markowitz stochastic dominances with applications (2011)Test statistics for prospect …Dynamic Portfolio Choice and Asset Pricing with Narrow Framing and Probability Weighting (2011)Dynamic Portfolio Choice and …Do investors like to diversify? A study of Markowitz preferences (2011)Do investors like to diversif…Portfolio Theory: As I Still See It (2010)Portfolio Theory: As I Still …Portfolio selection with higher moments (2010)Portfolio selection with high…Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach (2010)Market Efficiency of Oil Spot…A network equilibrium model with travellers’ perception of stochastic travel times (2009)A network equilibrium model w…Economically relevant preferences for all observed epsilon (2008)Economically relevant prefere…BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME (2008)BEHAVIORAL PORTFOLIO SELECTIO…Prospect and Markowitz stochastic dominance (2007)Prospect and Markowitz stocha…Preferences over location-scale family (2007)Preferences over location-sca…Judgment under Uncertainty: Heuristics and Biases (1975)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Individual differences in reasoning: Implications for the rationality debate? (2000)A perspective on judgment and choice: Mapping bounded rationality. (2003)Risk, Ambiguity, and the Savage Axioms (1961)The Framing of Decisions and the Psychology of Choice (1981)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)Moral Hazard and Observability (1979)The New Institutional Economics: Taking Stock, Looking Ahead (2000)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)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)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Are Investors Reluctant to Realize Their Losses? (1998)Instructional manipulation checks: Detecting satisficing to increase statistical power (2009)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1985Mental Accounting and Consumer Choice4,875 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1972Essays in the Theory of Risk-Bearing.3,991 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1985The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence3,550 cited
  • 2008Mental Accounting and Consumer Choice3,415 cited
  • 1982A theory of anticipated utility3,136 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1952Safety First and the Holding of Assets

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2,537 cited

Cited by

  • 2010Portfolio selection with higher moments535 cited
  • 2008BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME316 cited
  • 2010Portfolio Theory: As I Still See It176 cited
  • 2012Probability weighting functions implied in options prices158 cited
  • 2009A network equilibrium model with travellers’ perception of stochastic travel times144 cited
  • 2007Preferences over location-scale family140 cited
  • 2010Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach121 cited
  • 2007Prospect and Markowitz stochastic dominance106 cited
  • 2011Dynamic Portfolio Choice and Asset Pricing with Narrow Framing and Probability Weighting90 cited
  • 2020Review on Efficiency and Anomalies in Stock Markets89 cited
  • 2011Test statistics for prospect and Markowitz stochastic dominances with applications87 cited
  • 2011Do investors like to diversify? A study of Markowitz preferences76 cited
  • 2008Economically relevant preferences for all observed epsilon72 cited
  • 2015Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange70 cited
  • 2017Dynamic co-integration and portfolio diversification of Islamic and conventional indices: Global evidence64 cited
  • 2013The benefits of differential variance-based constraints in portfolio optimization64 cited