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First order versus second order risk aversion
9 references·16 citing·33 second hop
First order versus second order risk aversion (1990)First order versus second order risk aver…Knightian decision theory. Part I (2002)Knightian decision theory. Pa…The Dual Theory of Choice under Risk (1987)The Dual Theory of Choice und…Risk aversion in the theory of expected utility with rank dependent probabilities (1987)Risk aversion in the theory o…A theory of anticipated utility (1982)A theory of anticipated utili…"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…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Risk and uncertainty: a fallacy of large numbers (1963)Risk and uncertainty: a falla…What Matters to Individual Investors? Evidence from the Horse's Mouth (2020)What Matters to Individual In…WHAT MOTIVATES TAX COMPLIANCE? (2018)WHAT MOTIVATES TAX COMPLIANCE?APPLICATIONS OF BEHAVIOURAL ECONOMICS TO TAX EVASION (2012)APPLICATIONS OF BEHAVIOURAL E…Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion (2011)Portfolio Choices and Asset P…(Over)insuring Modest Risks (2010)(Over)insuring Modest RisksA Truth Serum for Non-Bayesians: Correcting Proper Scoring Rules for Risk Attitudes (2009)A Truth Serum for Non-Bayesia…Why do people pay taxes? Prospect theory versus expected utility theory (2007)Why do people pay taxes? Pros…Uncertainty Aversion with Second-Order Utilities and Probabilities (2006)Uncertainty Aversion with Sec…Optimal Portfolio Choice under Loss Aversion (2004)Optimal Portfolio Choice unde…Portfolio Choice and Liquidity Constraints* (2003)Portfolio Choice and Liquidit…Quantal Response Equilibrium and Overbidding in Private-Value Auctions (2002)Quantal Response Equilibrium …Mental Accounting, Loss Aversion, and Individual Stock Returns (2001)Mental Accounting, Loss Avers…Volatility and Investment: Interpreting Evidence from Developing Countries (1999)Volatility and Investment: In…Loss aversion in a consumption–savings model (1999)Loss aversion in a consumptio…Stockholding Behavior of U.S. Households: Evidence from the 1983–1989 Survey of Consumer Finances (1998)Stockholding Behavior of U.S.…‘First-order’ risk aversion and the equity premium puzzle (1990)‘First-order’ risk aversion a…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)RATIONAL CHOICE AND THE FRAMING OF DECISIONS (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Individual differences in reasoning: Implications for the rationality debate? 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(1983)The Common Prior Assumption in Economic Theory (1995)Model Uncertainty, Limited Market Participation, and Asset Prices (2005)Speculative Asset Prices (2014)A BEHAVIORAL MODEL OF RATIONAL CHOICE (1955)Financial constraints and firm tax evasion (2018)40 years of tax evasion games: a meta-analysis (2020)Theories and definitions of the informal economy: A survey (2021)Moral Hazard and Observability (1979)The New Institutional Economics: Taking Stock, Looking Ahead (2000)The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)Theory of Financial Decision Making. (1988)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Myopic Loss Aversion and the Equity Premium Puzzle (1995)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)
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
  • 1972Essays in the Theory of Risk-Bearing.3,991 cited
  • 1982A theory of anticipated utility3,136 cited
  • 1987The Dual Theory of Choice under Risk2,426 cited
  • 1982"Expected Utility" Analysis without the Independence Axiom1,518 cited
  • 1963Risk and uncertainty: a fallacy of large numbers615 cited
  • 2002Knightian decision theory. Part I564 cited
  • 1987Risk aversion in the theory of expected utility with rank dependent probabilities430 cited

Cited by

  • 2001Mental Accounting, Loss Aversion, and Individual Stock Returns979 cited
  • 2018WHAT MOTIVATES TAX COMPLIANCE?453 cited
  • 2004Optimal Portfolio Choice under Loss Aversion412 cited
  • 2002Quantal Response Equilibrium and Overbidding in Private-Value Auctions406 cited
  • 2010(Over)insuring Modest Risks388 cited
  • 1999Loss aversion in a consumption–savings model380 cited
  • 1999Volatility and Investment: Interpreting Evidence from Developing Countries

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349 cited
  • 2006Uncertainty Aversion with Second-Order Utilities and Probabilities290 cited
  • 1990‘First-order’ risk aversion and the equity premium puzzle285 cited
  • 2007Why do people pay taxes? Prospect theory versus expected utility theory274 cited
  • 2003Portfolio Choice and Liquidity Constraints*265 cited
  • 2020What Matters to Individual Investors? Evidence from the Horse's Mouth245 cited
  • 2011Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion237 cited
  • 2009A Truth Serum for Non-Bayesians: Correcting Proper Scoring Rules for Risk Attitudes219 cited
  • 1998Stockholding Behavior of U.S. Households: Evidence from the 1983–1989 Survey of Consumer Finances216 cited
  • 2012APPLICATIONS OF BEHAVIOURAL ECONOMICS TO TAX EVASION183 cited