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Local risk aversion in the rank dependent expected utility model: First order versus second order effects
12 references·1 citing·33 second hop
Local risk aversion in the rank dependent expected utility model: First order versus second order effects (1998)Local risk aversion in the rank dependent…Risk-Aversion Concepts in Expected- and Non-Expected-Utility Models (1995)Risk-Aversion Concepts in Exp…Separating marginal utility and probabilistic risk aversion (1994)Separating marginal utility a…Risk seeking with diminishing marginal utility in a non-expected utility model (1994)Risk seeking with diminishing…Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion (1994)Co-monotone allocations, Bick…Progress in Decision, Utility and Risk Theory (1991)Progress in Decision, Utility…Increasing Risk: Another Definition (1991)Increasing Risk: Another Defi…First order versus second order risk aversion (1990)First order versus second ord…The Dual Theory of Choice under Risk (1987)The Dual Theory of Choice und…Risk aversion in the theory of expected utility with rank dependent probabilities (1987)Risk aversion in the theory o…A theory of anticipated utility (1982)A theory of anticipated utili…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Écarts entre prix d’achat et prix de vente d’une variable aléatoire : une clarification (2004)Écarts entre prix d’achat et …Essays in the Theory of Risk-Bearing. (1972)An axiomatization of cumulative prospect theory (1993)Risk Aversion in the Laboratory (2008)The Utility Analysis of Choices Involving Risk (1948)Background Risks and the Value of a Statistical Life (2001)Is Probability Weighting Sensitive to the Magnitude of Consequences? An Experimental Investigation on Losses (2004)Risk Aversion in Cumulative Prospect Theory (2008)Theory of games and economic behavior (2019)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)RATIONAL CHOICE AND THE FRAMING OF DECISIONS (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Individual differences in reasoning: Implications for the rationality debate? (2000)On the measurement of inequality (1970)Optimal risk-sharing rules and equilibria with Choquet-expected-utility (2000)The Newsvendor Game Has a Nonempty Core (2002)Quantile-Based Risk Sharing (2018)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Subjective probability and expected utility without additivity (2004)The Theory of Games and Economic Behavior (1945)Non-Expected Utility and The Robustness of the Classical Insurance Paradigm (1995)The politics of redistributive social insurance (2002)Principles of Financial Economics (2014)Mental Accounting, Loss Aversion, and Individual Stock Returns (2001)Optimal Portfolio Choice under Loss Aversion (2004)WHAT MOTIVATES TAX COMPLIANCE? (2018)The Uncertainty Effect: When a Risky Prospect is Valued Less than its Worst Possible Outcome (2006)A parametric analysis of prospect theory’s functionals for the general population (2009)COMMON COMPONENTS OF RISK AND UNCERTAINTY ATTITUDES ACROSS CONTEXTS AND DOMAINS: EVIDENCE FROM 30 COUNTRIES (2014)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)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
  • 1982A theory of anticipated utility3,136 cited
  • 1987The Dual Theory of Choice under Risk2,426 cited
  • 1987Risk aversion in the theory of expected utility with rank dependent probabilities430 cited
  • 1990First order versus second order risk aversion401 cited
  • 1994Separating marginal utility and probabilistic risk aversion315 cited
  • 1994Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion161 cited
  • 1994Risk seeking with diminishing marginal utility in a non-expected utility model160 cited
  • 1995Risk-Aversion Concepts in Expected- and Non-Expected-Utility Models87 cited
  • 1991Increasing Risk: Another Definition52 cited
  • 1991Progress in Decision, Utility and Risk Theory22 cited

Cited by

  • 2004Écarts entre prix d’achat et prix de vente d’une variable aléatoire : une clarification0 cited

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