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The Pearson system of utility functions
16 references·9 citing·29 second hop
The Pearson system of utility functions (2004)The Pearson system of utility functionsTwo-Moment Decision Models and Expected Utility Maximization (2016)Two-Moment Decision Models an…PROBABILITY WEIGHTING FUNCTION (2005)PROBABILITY WEIGHTING FUNCTIONThe Economics of Risk and Time (2001)The Economics of Risk and TimeParameter-Free Elicitation of Utility and Probability Weighting Functions (2000)Parameter-Free Elicitation of…The Probability Weighting Function (1998)The Probability Weighting Fun…Eliciting von Neumann-Morgenstern Utilities When Probabilities Are Distorted or Unknown (1996)Eliciting von Neumann-Morgens…Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …Standard Risk Aversion (1991)Standard Risk AversionProspect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Proper Risk Aversion (1987)Proper Risk AversionProspect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …Risk 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-…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…The Utility of Wealth (1952)The Utility of WealthBenchmark-Based Preferences Make Investors Loss Averse in Bull Markets and Gain Seeking in Bear Markets (2017)Benchmark-Based Preferences M…Risk Aversion: Differential Conditions for the Concavity in Transformed Two-Parameter Distributions (2016)Risk Aversion: Differential C…A Conjugate Class of Utility Functions for Sequential Decision Problems (2015)A Conjugate Class of Utility …On the sensitivity of the value of information to risk aversion in two-action decision problems (2013)On the sensitivity of the val…Improved dimension reduction method (DRM) in uncertainty analysis using kriging interpolation (2009)Improved dimension reduction …The informational content of the shape of utility functions: financial strategic behavior (2008)The informational content of …Representing risk preferences in expected utility based decision models (2008)Representing risk preferences…The Generalised Extreme Value Distribution as Utility Function (2007)The Generalised Extreme Value…Moments of utility functions and their applications (2006)Moments of utility functions …Strategic Asset Allocation (2002)Idiosyncratic Risk Matters! (2003)Eliciting Risk and Time Preferences (2008)Theory of games and economic behavior (2019)Aspects of the Theory of Risk-Bearing. (1966)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Judgment under Uncertainty: Heuristics and Biases (1975)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Individual differences in reasoning: Implications for the rationality debate? (2000)A perspective on judgment and choice: Mapping bounded rationality. (2003)Risk, Ambiguity, and the Savage Axioms (1961)The Framing of Decisions and the Psychology of Choice (1981)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Handbook of Emotions (1993)Well-being : the foundations of hedonic psychology (1999)Investor Psychology and Asset Pricing (2001)Moral Hazard and Observability (1979)The New Institutional Economics: Taking Stock, Looking Ahead (2000)On the Shape of the Probability Weighting Function (1999)Developments in Non-Expected Utility Theory: The Hunt for a Descriptive Theory of Choice under Risk (2000)Risk as feelings. (2001)Financial Intermediation and Delegated Monitoring (1984)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

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1972Essays in the Theory of Risk-Bearing.3,991 cited
  • 1998The Probability Weighting Function1,998 cited
  • 1952The Utility of Wealth1,845 cited
  • 2001The Economics of Risk and Time1,361 cited
  • 2005PROBABILITY WEIGHTING FUNCTION1,041 cited
  • 2000Parameter-Free Elicitation of Utility and Probability Weighting Functions926 cited
  • 1991Standard Risk Aversion851 cited
  • 2016Two-Moment Decision Models and Expected Utility Maximization590 cited
  • 1987Proper Risk Aversion540 cited
  • 1996Eliciting von Neumann-Morgenstern Utilities When Probabilities Are Distorted or Unknown491 cited

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Cited by

  • 2008Representing risk preferences in expected utility based decision models32 cited
  • 2008The informational content of the shape of utility functions: financial strategic behavior15 cited
  • 2009Improved dimension reduction method (DRM) in uncertainty analysis using kriging interpolation15 cited
  • 2007The Generalised Extreme Value Distribution as Utility Function9 cited
  • 2013On the sensitivity of the value of information to risk aversion in two-action decision problems8 cited
  • 2006Moments of utility functions and their applications3 cited
  • 2015A Conjugate Class of Utility Functions for Sequential Decision Problems1 cited
  • 2017Benchmark-Based Preferences Make Investors Loss Averse in Bull Markets and Gain Seeking in Bear Markets1 cited
  • 2016Risk Aversion: Differential Conditions for the Concavity in Transformed Two-Parameter Distributions1 cited