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Risk aversion for nonsmooth utility functions
7 references·1 citing·23 second hop
Risk aversion for nonsmooth utility functions (2010)Risk aversion for nonsmooth utility funct…Modeling, Measuring and Managing Risk (2007)Modeling, Measuring and Manag…Modeling, Measuring and Managing Risk (2007)Modeling, Measuring and Manag…Lecture Notes in Microeconomic Theory: The Economic Agent (2005)Lecture Notes in Microeconomi…First-order risk aversion and non-differentiability (1997)First-order risk aversion and…"Expected Utility" Analysis without the Independence Axiom (1982)"Expected Utility" Analysis w…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Zeroth, First, and Second Order Prudence Measures (2022)Zeroth, First, and Second Ord…The Utility Analysis of Choices Involving Risk (1948)Aspects of the Theory of Risk-Bearing. (1966)Modellbildung in den Sozialwissenschaften (2014)The happiness of economists: Estimating the causal effect of studying economics on subjective well-being (2014)Prospect Theory Versus Expected Utility Theory: Assumptions, Predictions, Intuition and Modelling of Risk Attitudes (2017)Non-Expected Utility and The Robustness of the Classical Insurance Paradigm (1995)Payoff Kinks in Preferences over Lotteries (2001)First-Order and Second-Order Ambiguity Aversion (2016)The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)Theory of Financial Decision Making. (1988)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)On a time consistency concept in risk averse multistage stochastic programming (2009)The 1/N investment strategy is optimal under high model ambiguity (2011)Risk management with expectiles (2015)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)A framework for optimization under ambiguity (2010)Catastrophe Risk Models for Evaluating Disaster Risk Reduction Investments in Developing Countries (2012)Fuzzy Portfolio Optimization of Power Generation Assets (2018)
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
  • 1982"Expected Utility" Analysis without the Independence Axiom1,518 cited
  • 2007Modeling, Measuring and Managing Risk326 cited
  • 2007Modeling, Measuring and Managing Risk149 cited
  • 2005Lecture Notes in Microeconomic Theory: The Economic Agent66 cited
  • 1997First-order risk aversion and non-differentiability28 cited

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  • 2022Zeroth, First, and Second Order Prudence Measures1 cited

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