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The newsvendor problem under multiplicative background risk
16 references·3 citing·42 second hop
The newsvendor problem under multiplicative background risk (2009)The newsvendor problem under multiplicati…Risk aversion and expected-utility theory: A calibration theorem (2013)Risk aversion and expected-ut…Risk Aversion, Wealth, and Background Risk (2008)Risk Aversion, Wealth, and Ba…Why Stock Markets Crash: Critical Events in Complex Financial Systems (2004)Why Stock Markets Crash: Crit…Option‐Implied Risk Aversion Estimates (2004)Option‐Implied Risk Aversion …The Economics of Risk and Time (2001)The Economics of Risk and TimeRisk Aversion and Expected-utility Theory: A Calibration Theorem (2000)Risk Aversion and Expected-ut…Developments in Non-Expected Utility Theory: The Hunt for a Descriptive Theory of Choice under Risk (2000)Developments in Non-Expected …Decision Bias in the Newsvendor Problem with a Known Demand Distribution: Experimental Evidence (2000)Decision Bias in the Newsvend…The single-period (news-vendor) problem: literature review and suggestions for future research (1999)The single-period (news-vendo…Risk Vulnerability and the Tempering Effect of Background Risk (1996)Risk Vulnerability and the Te…Currency crashes in emerging markets: An empirical treatment (1996)Currency crashes in emerging …The Risk-Averse (and Prudent) Newsboy (1995)The Risk-Averse (and Prudent)…Standard Risk Aversion (1991)Standard Risk AversionSome Stronger Measures of Risk Aversion in the Small and the Large with Applications (1981)Some Stronger Measures of Ris…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…Ambiguity in risk preferences in robust stochastic optimization (2016)Ambiguity in risk preferences…The newsvendor’s optimal incentive contracts for multiple advertisers (2012)The newsvendor’s optimal ince…Newsvendor Models with Alternative Risk Preferences Within Expected Utility Theory and Prospect Theory Frameworks (2012)Newsvendor Models with Altern…Essays in the Theory of Risk-Bearing. (1972)Strategic Asset Allocation (2002)Idiosyncratic Risk Matters! (2003)Eliciting Risk and Time Preferences (2008)Theory of games and economic behavior (2019)Corporate Conservatism and Relative Compensation (1995)Discrete hierarchical organization of social group sizes (2005)Negative bubbles and shocks in cryptocurrency markets (2016)Social physics (2022)A Model of Balance-of-Payments Crises (1979)Leading Indicators of Currency Crises (1998)The Modern History of Exchange Rate Arrangements: A Reinterpretation (2004)From Financial Crash to Debt Crisis (2011)Analysis of Inventory Systems. (1964)Optimal Lot Sizing, Process Quality Improvement and Setup Cost Reduction (1986)Inventory management and production planning and scheduling (1999)A Newsvendor’s Procurement Problem when Suppliers Are Unreliable (2007)Strategic Customer Behavior, Commitment, and Supply Chain Performance (2008)The newsvendor problem: Review and directions for future research (2010)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Behavior in operations management: Assessing recent findings and revisiting old assumptions (2006)Behavioral Causes of the Bullwhip Effect and the Observed Value of Inventory Information (2006)Overcoming Algorithm Aversion: People Will Use Imperfect Algorithms If They Can (Even Slightly) Modify Them (2016)The Framing of Decisions and the Psychology of Choice (1981)Risk as feelings. (2001)Time Discounting and Time Preference: A Critical Review (2002)The Adaptive Markets Hypothesis (2004)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Psychology and Economics: Evidence from the Field (2009)Advances in prospect theory: Cumulative representation of uncertainty (1992)Risk Aversion and Incentive Effects (2002)Cognitive Reflection and Decision Making (2005)Are Risk Aversion and Impatience Related to Cognitive Ability? (2010)Credit and Banking in a DSGE Model of the Euro Area (2010)Global Evidence on Economic Preferences* (2018)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)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

  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1996Currency crashes in emerging markets: An empirical treatment1,940 cited
  • 2000Developments in Non-Expected Utility Theory: The Hunt for a Descriptive Theory of Choice under Risk1,902 cited
  • 2000Risk Aversion and Expected-utility Theory: A Calibration Theorem1,623 cited
  • 2001The Economics of Risk and Time1,361 cited
  • 2000Decision Bias in the Newsvendor Problem with a Known Demand Distribution: Experimental Evidence1,087 cited
  • 2008Risk Aversion, Wealth, and Background Risk1,054 cited
  • 2004Why Stock Markets Crash: Critical Events in Complex Financial Systems941 cited
  • 1999The single-period (news-vendor) problem: literature review and suggestions for future research910 cited
  • 1991Standard Risk Aversion851 cited
  • 1996Risk Vulnerability and the Tempering Effect of Background Risk765 cited
  • 2013Risk aversion and expected-utility theory: A calibration theorem692 cited
  • 2004Option‐Implied Risk Aversion Estimates647 cited
  • 1995The Risk-Averse (and Prudent) Newsboy485 cited

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1981
Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
450 cited

Cited by

  • 2016Ambiguity in risk preferences in robust stochastic optimization31 cited
  • 2012The newsvendor’s optimal incentive contracts for multiple advertisers13 cited
  • 2012Newsvendor Models with Alternative Risk Preferences Within Expected Utility Theory and Prospect Theory Frameworks13 cited