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Testing for risk aversion: a stochastic dominance approach
16 references·16 citing·27 second hopsampled
Testing for risk aversion: a stochastic dominance approach (2001)Testing for risk aversion: a stochastic d…Theory of games and economic behavior (2019)Theory of games and economic …The Handbook of experimental economics (1995)The Handbook of experimental …Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Prospect 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…Rules for Ordering Uncertain Prospects (1969)Rules for Ordering Uncertain …Aspects of the Theory of Risk-Bearing. (1966)Aspects of the Theory of Risk…SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)SECURITY PRICES, RISK, AND MA…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…An Exact Consumption-Loan Model of Interest with or without the Social Contrivance of Money (1958)An Exact Consumption-Loan Mod…The Utility of Wealth (1952)The Utility of WealthPortfolio Selection (1952)Portfolio SelectionThe Utility Analysis of Choices Involving Risk (1948)The Utility Analysis of Choic…A Mathematical Theory of Saving (1928)A Mathematical Theory of Savi…Experiments on Risk Attitude: The Case of Chinese Students (2016)Experiments on Risk Attitude:…Individual vs. Aggregate Preferences: The Case of a Small Fish in a Big Pond (2013)Individual vs. Aggregate Pref…Expected utility paradoxes (2010)Expected utility paradoxesCumulative Prospect Theory: Tests Using the Stochastic Dominance Approach (2010)Cumulative Prospect Theory: T…Individual Vs. Aggregate Preferences: The Case of a Small Fish in a Big Pond (2008)Individual Vs. Aggregate Pref…Individual Choice from a Convex Lottery Set: Experimental Evidence (2008)Individual Choice from a Conv…First Degree Stochastic Dominance Violations: Decision Weights and Bounded Rationality (2008)First Degree Stochastic Domin…A More General Non‐expected Utility Model as an Explanation of Gambling Outcomes for Individuals and Markets (2008)A More General Non‐expected U…The Markowitz model of utility supplemented with a small degree of probability distortion as an explanation of outcomes of Allais experiments over large and small payoffs and gambling on unlikely outcomes (2007)The Markowitz model of utilit…Overweighing Recent Observations: Experimental Results and Economic Implications (2007)Overweighing Recent Observati…Experiments on risk attitude: The case of Chinese students (2007)Experiments on risk attitude:…Individual vs. Aggregate Preferences: The Case of a Small Fish in a Big Pond (2006)Individual vs. Aggregate Pref…Experiments on Risk Attitude: The Case of Chinese Students (2006)Experiments on Risk Attitude:…Violations of Cpt in Mixed Gambles (2004)Violations of Cpt in Mixed Ga…Portfolio Composition Choice: A Behavioral Approach (2003)Portfolio Composition Choice:…Decision-Making and Gender Differences: A 15 Million Dm Game (2001)Decision-Making and Gender Di…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)Collective Action and the Evolution of Social Norms (2000)ERC: A Theory of Equity, Reciprocity, and Competition (2000)Evolutionary games on graphs (2007)Increasing Returns and Long-Run Growth (1986)Government Spending in a Simple Model of Endogeneous Growth (1990)The Economics of Climate Change (2007)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)Toward a positive theory of consumer choice (1980)Non-cooperative games (1989)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)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
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 2019Theory of games and economic behavior16,630 cited
  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1928A Mathematical Theory of Saving5,834 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1952Portfolio Selection4,609 cited
  • 1995The Handbook of experimental economics3,678 cited
  • 1958An Exact Consumption-Loan Model of Interest with or without the Social Contrivance of Money3,538 cited
  • 1948The Utility Analysis of Choices Involving Risk3,097 cited
  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2,451 cited
  • 1966Aspects of the Theory of Risk-Bearing.1,888 cited
  • 1952The Utility of Wealth1,845 cited
  • 1969Rules for Ordering Uncertain Prospects

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Cited by

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  • 2013Individual vs. Aggregate Preferences: The Case of a Small Fish in a Big Pond11 cited
  • 2016Experiments on Risk Attitude: The Case of Chinese Students10 cited
  • 2003Portfolio Composition Choice: A Behavioral Approach10 cited
  • 2007Experiments on risk attitude: The case of Chinese students9 cited
  • 2006Experiments on Risk Attitude: The Case of Chinese Students8 cited
  • 2004Violations of Cpt in Mixed Gambles6 cited
  • 2001Decision-Making and Gender Differences: A 15 Million Dm Game5 cited
  • 2007The Markowitz model of utility supplemented with a small degree of probability distortion as an explanation of outcomes of Allais experiments over large and small payoffs and gambling on unlikely outcomes4 cited
  • 2006Individual vs. Aggregate Preferences: The Case of a Small Fish in a Big Pond4 cited
  • 2007Overweighing Recent Observations: Experimental Results and Economic Implications3 cited
  • 2010Cumulative Prospect Theory: Tests Using the Stochastic Dominance Approach2 cited
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