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Risk aversion in the small and Jensen inequalities
6 references·0 citing·19 second hop
Risk aversion in the small and Jensen inequalities (1993)Risk aversion in the small and Jensen ine…Insurance: Mathematics and Economics (2004)Insurance: Mathematics and Ec…First order versus second order risk aversion (1990)First order versus second ord…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…On Cash Equivalents and Information Evaluation in Decisions Under Uncertainty Part I: Basic Theory (1968)On Cash Equivalents and Infor…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Risk and uncertainty: a fallacy of large numbers (1963)Risk and uncertainty: a falla…Applied Statistical Decision Theory (1962)Economics of Information Systems (1971)Limits for the Precision and Value of Information from Dependent Sources (1985)Eliciting Informative Feedback: The Peer-Prediction Method (2005)Essays in the Theory of Risk-Bearing. (1972)Mental Accounting, Loss Aversion, and Individual Stock Returns (2001)Optimal Portfolio Choice under Loss Aversion (2004)WHAT MOTIVATES TAX COMPLIANCE? (2018)Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)An Application of Extreme Value Theory for Measuring Financial Risk (2006)Models for construction of multivariate dependence – a comparison study (2008)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Myopic Loss Aversion and the Equity Premium Puzzle (1995)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)
this work references cited by second hop

References

  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 2004Insurance: Mathematics and Economics1,308 cited
  • 1963Risk and uncertainty: a fallacy of large numbers615 cited
  • 1990First order versus second order risk aversion401 cited
  • 1968On Cash Equivalents and Information Evaluation in Decisions Under Uncertainty Part I: Basic Theory100 cited

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