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Further examples of the impact of skewness on the expected utility of a risk-averse agent
14 references·0 citing·45 second hop
Further examples of the impact of skewness on the expected utility of a risk-averse agent (2011)Further examples of the impact of skewnes…Increasing Downside Risk (2016)Increasing Downside RiskAn experimental methodology testing for prudence and third-order preferences (2009)An experimental methodology t…Utility and the Skewness of Return in Gambling (2004)Utility and the Skewness of R…Information Efficiency in Betting Markets: a Survey (1999)Information Efficiency in Bet…Bettors Love Skewness, Not Risk, at the Horse Track (1998)Bettors Love Skewness, Not Ri…A Reexamination of the Relationship Between Preferences and Moment Orderings by Rational Risk-Averse Investors (1998)A Reexamination of the Relati…Risk, Return, Skewness and Preference (1992)Risk, Return, Skewness and Pr…A characterization of the distributions that imply mean—Variance utility functions (1983)A characterization of the dis…On The Direction of Preference for Moments of Higher Order Than The Variance (1980)On The Direction of Preferenc…Probability and Utility Estimates for Racetrack Bettors (1977)Probability and Utility Estim…The Erroneous Approximation of Expected Utility by Means of a Taylor's Series Expansion: Analytic and Computational Results (1976)The Erroneous Approximation o…SURVEY OF CAPITAL BUDGETING: THEORY AND PRACTICE (1970)SURVEY OF CAPITAL BUDGETING: …A Note on Uncertainty and Indifference Curves (1969)A Note on Uncertainty and Ind…Components of risk in decision making: Probability and variance preferences. (1960)Components of risk in decisio…The Utility Analysis of Choices Involving Risk (1948)Admissibility and Measurable Utility Functions (1962)Rules for Ordering Uncertain Prospects (1969)Transfer Sensitive Inequality Measures (1987)Chapter 2 Measurement of inequality (2000)Knowing when to leap: Transitioning between exploitative and explorative R&D (2013)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 (1965)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)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)The specification of conditional expectations (2001)Optimal Portfolio Allocation under Higher Moments (2006)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Does the Stock Market Overreact? (1985)Efficient Capital Markets: II (1991)Market Efficiency in Person‐to‐Person Betting (2006)Issues in sports forecasting (2010)A content analysis of how ‘normal’ sports betting behaviour is represented in gambling advertising (2017)SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)Theory of Financial Decision Making. (1988)Conditional Skewness in Asset Pricing Tests (2000)Introductory Econometrics for Finance (2008)The nature of capital and income (1906)Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine (1953)Exposition of a New Theory on the Measurement of Risk (1954)Assessment of risk taking behavior. (1964)The Theory of Political Ambiguity (1976)Why Study Risk Perception? (1982)Liquidity Preference as Behavior Towards Risk (1958)Essays in the Theory of Risk-Bearing. (1972)A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL (1995)Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach (2007)Consumption-Based Asset Pricing with Higher Cumulants (2012)SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)Equilibrium in a Capital Asset Market (1966)Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance (1974)A Survey of Capital Budgeting Techniques Used by Major U.S. Firms (1977)Asset Allocation in a Downside Risk Framework (2000)Anomalies: Parimutuel Betting Markets: Racetracks and Lotteries (1988)The Economics of Wagering Markets (1998)An Analytic Derivation of the Efficient Portfolio Frontier (1972)An Intertemporal Capital Asset Pricing Model (1973)An equilibrium model of the international capital market (1974)Why are Gambling Markets Organised so Differently from Financial Markets? (2004)Equity Portfolio Diversification (2008)
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References

  • 1980On The Direction of Preference for Moments of Higher Order Than The Variance737 cited
  • 2016Increasing Downside Risk480 cited
  • 1983A characterization of the distributions that imply mean—Variance utility functions435 cited
  • 1998Bettors Love Skewness, Not Risk, at the Horse Track402 cited
  • 1977Probability and Utility Estimates for Racetrack Bettors390 cited
  • 1970SURVEY OF CAPITAL BUDGETING: THEORY AND PRACTICE381 cited
  • 1969A Note on Uncertainty and Indifference Curves297 cited
  • 1960Components of risk in decision making: Probability and variance preferences.177 cited
  • 1999Information Efficiency in Betting Markets: a Survey138 cited
  • 1992Risk, Return, Skewness and Preference109 cited
  • 1976The Erroneous Approximation of Expected Utility by Means of a Taylor's Series Expansion: Analytic and Computational Results106 cited
  • 1998A Reexamination of the Relationship Between Preferences and Moment Orderings by Rational Risk-Averse Investors66 cited
  • 2004Utility and the Skewness of Return in Gambling15 cited
  • 2009An experimental methodology testing for prudence and third-order preferences13 cited

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