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Slutzky equations and substitution effects of risks in terms of mean-variance preferences
16 references·0 citing·37 second hop
Slutzky equations and substitution effects of risks in terms of mean-variance preferences (2008)Slutzky equations and substitution effect…Multiple Risks and Mean-Variance Preferences (2009)Multiple Risks and Mean-Varia…Mean Variance Vulnerability (2008)Mean Variance VulnerabilityProper and Standard Risk Aversion in Two-Moment Decision Models (2004)Proper and Standard Risk Aver…Duality and consumption decisions under income and price risk (2004)Duality and consumption decis…Variance Vulnerability, Background Risks, and Mean-Variance Preferences (2003)Variance Vulnerability, Backg…More on Properness: The Case of Mean-Variance Preferences (2002)More on Properness: The Case …Risk Vulnerability and the Tempering Effect of Background Risk (1996)Risk Vulnerability and the Te…Changes in Background Risk and Risk Taking Behavior (1996)Changes in Background Risk an…Outside Risk Aversion and the Comparative Statics of Increasing Risk in Quasi-Linear Decision Models (1995)Outside Risk Aversion and the…Standard Risk Aversion (1991)Standard Risk AversionProper Risk Aversion (1987)Proper Risk AversionOn the Class of Elliptical Distributions and their Applications to the Theory of Portfolio Choice (1983)On the Class of Elliptical Di…A characterization of the distributions that imply mean—Variance utility functions (1983)A characterization of the dis…Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk (1976)Optimal Portfolios with One S…On the theory of the competitive firm under price uncertainty (1971)On the theory of the competit…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Risk and uncertainty: a fallacy of large numbers (1963)Essays in the Theory of Risk-Bearing. (1972)Myopic Loss Aversion and the Equity Premium Puzzle (1993)Myopic Loss Aversion and the Equity Premium Puzzle (1995)Strategic Asset Allocation (2002)Value and Capital (1939)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Risk Aversion in the Small and in the Large (1976)Research Bibliography—Stochastic Dominance: A Research Bibliography (1982)Short Term Financial Planning under Uncertainty (1982)The Effects of Shifts in a Return Distribution on Optimal Portfolios (1990)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)The specification of conditional expectations (2001)Optimal Portfolio Allocation under Higher Moments (2006)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)On Equilibrium Pricing under Parameter Uncertainty (1995)Variance vs downside risk: Is there really that much difference? (1999)Which Alpha? (2016)Precautionary Saving in the Small and in the Large (1989)Risk Aversion in the Laboratory (2008)Underinvestment in a Profitable Technology: The Case of Seasonal Migration in Bangladesh (2014)Risk Aversion in the Small and in the Large (1964)An analysis of portfolio selection with background risk (2010)Mean–variance, mean–VaR, and mean–CVaR models for portfolio selection with background risk (2018)How does background risk affect portfolio choice: An analysis based on uncertain mean-variance model with background risk (2019)Stochastic specification of production functions and economic implications (1978)Cash Crop Production, Food Price Volatility, and Rural Market Integration in the Third World (1992)Rising Food Prices, Food Price Volatility, and Social Unrest (2014)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Risk-Taking Behavior in the Wake of Natural Disasters (2012)Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk (2000)The Role of Social Capital in Financial Development (2004)
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References

  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1971On the theory of the competitive firm under price uncertainty1,450 cited
  • 1991Standard Risk Aversion851 cited
  • 1996Risk Vulnerability and the Tempering Effect of Background Risk765 cited
  • 1987Proper Risk Aversion540 cited
  • 1983A characterization of the distributions that imply mean—Variance utility functions435 cited
  • 1983On the Class of Elliptical Distributions and their Applications to the Theory of Portfolio Choice372 cited
  • 1996Changes in Background Risk and Risk Taking Behavior353 cited
  • 1976Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk171 cited
  • 2009Multiple Risks and Mean-Variance Preferences53 cited
  • 2008Mean Variance Vulnerability50 cited
  • 2003Variance Vulnerability, Background Risks, and Mean-Variance Preferences38 cited
  • 2002More on Properness: The Case of Mean-Variance Preferences30 cited
  • 2004Proper and Standard Risk Aversion in Two-Moment Decision Models20 cited
  • 1995Outside Risk Aversion and the Comparative Statics of Increasing Risk in Quasi-Linear Decision Models19 cited

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  • 2004Duality and consumption decisions under income and price risk8 cited
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