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Decreasing absolute risk aversion, prudence and increased downside risk aversion
14 references·16 citing·29 second hop
Decreasing absolute risk aversion, prudence and increased downside risk aversion (2012)Decreasing absolute risk aversion, pruden…Increasing Downside Risk (2016)Increasing Downside RiskOn the intensity of downside risk aversion (2008)On the intensity of downside …Greater downside risk aversion in the large (2008)Greater downside risk aversio…Putting Risk in Its Proper Place (2006)Putting Risk in Its Proper Pl…Higher-order generalizations of Arrow–Pratt and Ross risk aversion: A comparative statics approach (2006)Higher-order generalizations …Skewness Preference, Risk Aversion, and the Precedence Relations on Stochastic Changes (2005)Skewness Preference, Risk Ave…A note on comparative downside risk aversion (2004)A note on comparative downsid…Greater Downside Risk Aversion (2002)Greater Downside Risk AversionPrecautionary Saving in the Small and in the Large (1990)Precautionary Saving in the S…Precautionary Saving in the Small and in the Large (1989)Precautionary Saving in the S…Stochastic dominance : an approach to decision-making under risk (1978)Stochastic dominance : an app…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Saving and Uncertainty: The Precautionary Demand for Saving (1968)Saving and Uncertainty: The P…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Prevention and Precaution (2025)Prevention and PrecautionComparative risk apportionment (2021)Comparative risk apportionmentReversibly Greater Downside Risk Aversion (2020)Reversibly Greater Downside R…Who Should Exert More Effort? Risk Aversion, Downside Risk Aversion and Optimal Prevention (2019)Who Should Exert More Effort?…Greater Arrow–Pratt (Absolute) risk aversion of higher orders (2019)Greater Arrow–Pratt (Absolute…Alternative Approaches to Comparative nth-Degree Risk Aversion (2019)Alternative Approaches to Com…Principal leadership style and school performance: mediating roles of risk management culture and management control systems use in Australian schools (2018)Principal leadership style an…Downside Risk Aversion and the Downside Risk Premium (2018)Downside Risk Aversion and th…Greater parametric downside risk aversion (2017)Greater parametric downside r…Strong Increases in Downside Risk Aversion (2016)Strong Increases in Downside …Higher-order risk vulnerability (2016)Higher-order risk vulnerabili…Can Group Incentives Alleviate Moral Hazard? The Role of Pro-Social Preferences (2015)Can Group Incentives Alleviat…The Theory of Risk and Risk Aversion (2014)The Theory of Risk and Risk A…Substituting one risk increase for another: A method for measuring risk aversion (2013)Substituting one risk increas…Solomonic separation: Risk decisions as productivity indicators (2013)Solomonic separation: Risk de…On Downside Risk Aversion Measures (2012)On Downside Risk Aversion Mea…The Utility Analysis of Choices Involving Risk (1948)Admissibility and Measurable Utility Functions (1962)Rules for Ordering Uncertain Prospects (1969)Transfer Sensitive Inequality Measures (1987)Chapter 2 Measurement of inequality (2000)Knowing when to leap: Transitioning between exploitative and explorative R&D (2013)Decision making with incomplete information (1987)From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)Consistent Testing for Stochastic Dominance under General Sampling Schemes (2005)Understanding Consumption (1992)Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Conditional Skewness in Asset Pricing Tests (2000)Stronger measures of higher-order risk attitudes (2010)Precautionary Effort: A New Look (2011)Optimal self-protection in two periods: On the role of endogenous saving (2017)The Buffer-Stock Theory of Saving: Some Macroeconomic Evidence (1992)DO NATURAL DISASTERS PROMOTE LONG‐RUN GROWTH? (2002)A Good Sign for Multivariate Risk Taking (2007)Higher Order Risk Attitudes, Demographics, and Financial Decisions (2013)Are Risk Preferences Stable? (2018)A mean-maverick game cross-efficiency approach to portfolio selection: An application to Paris stock exchange (2018)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)Uninsured Idiosyncratic Risk and Aggregate Saving (1994)The analysis of household surveys (1997)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

  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1990Precautionary Saving in the Small and in the Large1,850 cited
  • 1989Precautionary Saving in the Small and in the Large1,498 cited
  • 1968Saving and Uncertainty: The Precautionary Demand for Saving1,376 cited
  • 2006Putting Risk in Its Proper Place551 cited
  • 2016Increasing Downside Risk480 cited
  • 1978Stochastic dominance : an approach to decision-making under risk230 cited
  • 2008On the intensity of downside risk aversion116 cited
  • 2006Higher-order generalizations of Arrow–Pratt and Ross risk aversion: A comparative statics approach111 cited
  • 2004A note on comparative downside risk aversion105 cited
  • 2005Skewness Preference, Risk Aversion, and the Precedence Relations on Stochastic Changes104 cited
  • 2002Greater Downside Risk Aversion59 cited
  • 2008Greater downside risk aversion in the large48 cited

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  • 2013Substituting one risk increase for another: A method for measuring risk aversion49 cited

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2019
Who Should Exert More Effort? Risk Aversion, Downside Risk Aversion and Optimal Prevention
36 cited
  • 2018Principal leadership style and school performance: mediating roles of risk management culture and management control systems use in Australian schools30 cited
  • 2015Can Group Incentives Alleviate Moral Hazard? The Role of Pro-Social Preferences24 cited
  • 2014The Theory of Risk and Risk Aversion19 cited
  • 2019Alternative Approaches to Comparative nth-Degree Risk Aversion18 cited
  • 2016Strong Increases in Downside Risk Aversion16 cited
  • 2019Greater Arrow–Pratt (Absolute) risk aversion of higher orders13 cited
  • 2017Greater parametric downside risk aversion9 cited
  • 2025Prevention and Precaution8 cited
  • 2016Higher-order risk vulnerability4 cited
  • 2018Downside Risk Aversion and the Downside Risk Premium4 cited
  • 2020Reversibly Greater Downside Risk Aversion4 cited
  • 2013Solomonic separation: Risk decisions as productivity indicators4 cited
  • 2021Comparative risk apportionment3 cited
  • 2012On Downside Risk Aversion Measures3 cited