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Relative Risk Aversion: What Do We Know?
14 references·16 citing·36 second hop
Relative Risk Aversion: What Do We Know? (2005)Relative Risk Aversion: What Do We Know?Demography of Risk Aversion (2001)Demography of Risk AversionPreference Parameters and Behavioral Heterogeneity: An Experimental Approach in the Health and Retirement Study (1997)Preference Parameters and Beh…The Equity Premium: It's Still a Puzzle (1996)The Equity Premium: It's Stil…Joint Estimation of Risk Preference Structure and Technology Using Expo‐Power Utility (1994)Joint Estimation of Risk Pref…The Analytics of Uncertainty and Information (1992)The Analytics of Uncertainty …Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…The equity premium: A puzzle (1985)The equity premium: A puzzleTHE DEMAND FOR RISKY ASSETS (1977)THE DEMAND FOR RISKY ASSETSRisk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…On the theory of the competitive firm under price uncertainty (1971)On the theory of the competit…Increasing risk II: Its economic consequences (1971)Increasing risk II: Its econo…Aspects of the Theory of Risk-Bearing. (1966)Aspects of the Theory of Risk…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Natural disasters and risk aversion (2020)Natural disasters and risk av…Measuring Social Welfare (2019)Measuring Social WelfareUniversal coverage with supply-side reform: The impact on medical expenditure risk and utilization in Thailand (2014)Universal coverage with suppl…Should Governments Use a Declining Discount Rate in Project Analysis? (2014)Should Governments Use a Decl…The Theory of Insurance Demand (2013)The Theory of Insurance DemandTHE RELATIONSHIP BETWEEN RELATIVE RISK AVERSION AND THE LEVEL OF EDUCATION: A SURVEY AND IMPLICATIONS FOR THE DEMAND FOR LIFE INSURANCE (2013)THE RELATIONSHIP BETWEEN RELA…Risk Aversion, Risk Behavior and Demand for Insurance: A Survey (2013)Risk Aversion, Risk Behavior …Quadratic Variance Swap Models (2013)Quadratic Variance Swap ModelsRobust Portfolio Choice with Ambiguity and Learning About Return Predictability (2012)Robust Portfolio Choice with …Longevity risk, subjective survival expectations, and individual saving behavior (2012)Longevity risk, subjective su…Higher Order Risk Attitudes, Demographics, and Financial Decisions (2011)Higher Order Risk Attitudes, …Strategic IPOs and product market competition (2010)Strategic IPOs and product ma…Explaining the characteristics of the power (CRRA) utility family (2008)Explaining the characteristic…Economic Development, Insurgency, and Civil War (2008)Economic Development, Insurge…Multiplicative Background Risk (2006)Multiplicative Background RiskThe Value of a Statistical Life and the Coefficient of Relative Risk Aversion (2005)The Value of a Statistical Li…Criteria for Choice Among Risky Ventures (1959)An Intertemporal Capital Asset Pricing Model (1973)The Rationale of the Mean-Standard Deviation Analysis, Skewness Preference, and the Demand for Money (1989)Why do people pay taxes? 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(2001)INDIVIDUAL RISK ATTITUDES: MEASUREMENT, DETERMINANTS, AND BEHAVIORAL CONSEQUENCES (2011)Asset Prices in an Exchange Economy (1978)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)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)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)On the measurement of inequality (1970)Risk Aversion and Incentive Effects (2002)Optimal rules for ordering uncertain prospects (1975)Net Health Benefits (1998)Stochastic Volatility for Lévy Processes (2003)Moral Hazard and Observability (1979)The New Institutional Economics: Taking Stock, Looking Ahead (2000)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

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  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
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  • 2001Demography of Risk Aversion707 cited
  • 1994Joint Estimation of Risk Preference Structure and Technology Using Expo‐Power Utility246 cited

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  • 2008Explaining the characteristics of the power (CRRA) utility family253 cited
  • 2014

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Should Governments Use a Declining Discount Rate in Project Analysis?
247 cited
  • 2019Measuring Social Welfare175 cited
  • 2013The Theory of Insurance Demand155 cited
  • 2020Natural disasters and risk aversion150 cited
  • 2010Strategic IPOs and product market competition147 cited
  • 2013THE RELATIONSHIP BETWEEN RELATIVE RISK AVERSION AND THE LEVEL OF EDUCATION: A SURVEY AND IMPLICATIONS FOR THE DEMAND FOR LIFE INSURANCE146 cited
  • 2013Risk Aversion, Risk Behavior and Demand for Insurance: A Survey122 cited
  • 2008Economic Development, Insurgency, and Civil War120 cited
  • 2012Longevity risk, subjective survival expectations, and individual saving behavior119 cited
  • 2014Universal coverage with supply-side reform: The impact on medical expenditure risk and utilization in Thailand117 cited
  • 2005The Value of a Statistical Life and the Coefficient of Relative Risk Aversion116 cited
  • 2012Robust Portfolio Choice with Ambiguity and Learning About Return Predictability109 cited
  • 2006Multiplicative Background Risk108 cited
  • 2013Quadratic Variance Swap Models105 cited
  • 2011Higher Order Risk Attitudes, Demographics, and Financial Decisions104 cited