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Considering Samuelson's ‘fallacy of the Law of Large Numbers’, Without Utility
11 references·3 citing·37 second hop
Considering Samuelson's ‘fallacy of the Law of Large Numbers’, Without Utility (2003)Considering Samuelson's ‘fallacy of the L…Samuelson's Fallacy of Large Numbers and Optional Stopping (2002)Samuelson's Fallacy of Large …Anomalies: Risk Aversion (2001)Anomalies: Risk AversionAdding Risks: Samuelson's Fallacy of Large Numbers Revisited (1999)Adding Risks: Samuelson's Fal…The law of large numbers and the attractiveness of compound gambles (1988)The law of large numbers and …How a certain internal consistency entails the expected utility dogma (1988)How a certain internal consis…Proper Risk Aversion (1987)Proper Risk AversionRisk: The long and the short. (1983)Risk: The long and the short.Decision making in the short run. (1981)Decision making in the short …Risk and uncertainty: a fallacy of large numbers (1963)Risk and uncertainty: a falla…Alternative Approaches to the Theory of Choice in Risk-Taking Situations (1951)Alternative Approaches to the…An Inquiry into the Nature and Causes of the Wealth of Nations (1776)An Inquiry into the Nature an…On the History of the Growth-Optimal Portfolio (2012)On the History of the Growth-…Machine Learning for Financial Engineering (2011)Machine Learning for Financia…Geometric Mean Maximization: An Overlooked Portfolio Approach? (2010)Geometric Mean Maximization: …Prospect Theory: An Analysis of Decision under Risk (1979)The Framing of Decisions and the Psychology of Choice (1981)Time Discounting and Time Preference: A Critical Review (2002)Individual Preferences, Monetary Gambles, and Stock Market Participation: A Case for Narrow Framing (2006)Estimating Risk Preferences from Deductible Choice (2007)The Endowment Effect, Loss Aversion, and Status Quo Bias (2016)A BEHAVIORAL MODEL OF RATIONAL CHOICE (1955)Evaluation and integration of visual and auditory information in speech perception. (1983)Rational belief (1983)Prospect theory: An analysis of decision under risk (1988)Determinants of risk-taking: Behavioral and economic views (1993)Theory of games and economic behavior (2019)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)Financial Intermediation and Delegated Monitoring (1984)The downside risk of project portfolios: The impact of capital investment projects and the value of project efficiency and project risk management programmes (2016)Risk Aversion and the Long Run (2018)Diversification and portfolio theory: a review (2020)The Introduction of Risk into a Programming Model (1956)A Treatise on Probability (1973)Cardinal Welfare, Individualistic Ethics, and Interpersonal Comparisons of Utility (1980)On the Strategic Stability of Equilibria (1986)Optimum consumption and portfolio rules in a continuous-time model (1971)Continuous Martingales and Brownian Motion (1999)Brownian Motion and Stochastic Calculus (2007)Portfolio Selection: Efficient Diversification of Investments (1959)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**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)Additional tests of utility theory under unique and repeated conditions (1991)Psychology and Economics: Perspectives on Risk, Cooperation, and the Marketplace (1994)Ambiguity aversion in the long run: Repeated decisions under risk and uncertainty (2009)Clusters and knowledge: local buzz, global pipelines and the process of knowledge creation (2004)Finance and Growth: Theory and Evidence (2004)The building blocks of economic complexity (2009)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)
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References

  • 1776An Inquiry into the Nature and Causes of the Wealth of Nations13,952 cited
  • 2001Anomalies: Risk Aversion957 cited
  • 1951Alternative Approaches to the Theory of Choice in Risk-Taking Situations714 cited
  • 1963Risk and uncertainty: a fallacy of large numbers615 cited
  • 1987Proper Risk Aversion540 cited
  • 1981Decision making in the short run.188 cited
  • 1999Adding Risks: Samuelson's Fallacy of Large Numbers Revisited88 cited
  • 1983Risk: The long and the short.80 cited
  • 1988The law of large numbers and the attractiveness of compound gambles19 cited
  • 2002Samuelson's Fallacy of Large Numbers and Optional Stopping11 cited
  • 1988How a certain internal consistency entails the expected utility dogma5 cited

Cited by

  • 2012On the History of the Growth-Optimal Portfolio35 cited
  • 2010Geometric Mean Maximization: An Overlooked Portfolio Approach?35 cited
  • 2011Machine Learning for Financial Engineering34 cited

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