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Greater prudence and greater downside risk aversion
16 references·16 citing·37 second hopsampled
Greater prudence and greater downside risk aversion (2010)Greater prudence and greater downside ris…Increasing Downside Risk (2016)Increasing Downside RiskOn the intensity of downside risk aversion (2008)On the intensity of downside …Putting Risk in Its Proper Place (2006)Putting Risk in Its Proper Pl…Higher-order generalizations of Arrow–Pratt and Ross risk aversion: A comparative statics approach (2006)Higher-order generalizations …Skewness Preference, Risk Aversion, and the Precedence Relations on Stochastic Changes (2005)Skewness Preference, Risk Ave…A note on comparative downside risk aversion (2004)A note on comparative downsid…Introducing convexity into optimal compensation contracts (1999)Introducing convexity into op…On the Concavity of the Consumption Function (1996)On the Concavity of the Consu…Expo‐Power Utility: A ‘Flexible’ Form for Absolute and Relative Risk Aversion (1993)Expo‐Power Utility: A ‘Flexib…An Analysis of the Principal-Agent Problem (1992)An Analysis of the Principal-…Precautionary Saving in the Small and in the Large (1990)Precautionary Saving in the S…Precautionary Saving in the Small and in the Large (1989)Precautionary Saving in the S…An Analysis of the Principal-Agent Problem (1983)An Analysis of the Principal-…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Saving and Uncertainty: The Precautionary Demand for Saving (1968)Saving and Uncertainty: The P…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Disentangling risk and time for optimal prevention (2026)Disentangling risk and time f…Precautionary saving under anticipated regret (2025)Precautionary saving under an…A fresh look at primary prevention for health risks (2021)A fresh look at primary preve…Completely Greater and Less Downside Risk Aversion in terms of Utility Measures and Higher-Order Generalizations (2019)Completely Greater and Less D…Toward a Systematic Approach to the Economic Effects of Risk: Characterizing Utility Functions (2018)Toward a Systematic Approach …Downside Risk Aversion and the Downside Risk Premium (2018)Downside Risk Aversion and th…Prudence and the convexity of compensation contracts (2017)Prudence and the convexity of…Greater parametric downside risk aversion (2017)Greater parametric downside r…Higher-order risk vulnerability (2016)Higher-order risk vulnerabili…Risk and choice: A research saga (2013)Risk and choice: A research s…Allocative downside risk aversion (2013)Allocative downside risk aver…The Schwarzian derivative as a ranking of downside risk aversion (2012)The Schwarzian derivative as …Ranking Preferences by Downside Risk Aversion (2012)Ranking Preferences by Downsi…On Downside Risk Aversion Measures (2012)On Downside Risk Aversion Mea…A Note on Comparative Skewness Preferences (2012)A Note on Comparative Skewnes…Prudence probability premium (2010)Prudence probability premiumThe 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)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Scientific progress and irreversibility: an economic interpretation of the ‘Precautionary Principle’ (2000)Credit Crises, Precautionary Savings, and the Liquidity Trap (2011)Macroeconomics with Financial Frictions: A Survey (2012)The Economic Theory of Agency: The Principal's Problem. (1973)Moral Hazard and Observability (1979)Good News and Bad News: Representation Theorems and Applications (1981)Incomplete Contracts and Renegotiation (1988)Managerial Incentive Problems: A Dynamic Perspective (1999)The Theory of Incentives: The Principal-Agent Model (2001)Understanding Consumption (1992)Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Conditional Skewness in Asset Pricing Tests (2000)The Buffer-Stock Theory of Saving: Some Macroeconomic Evidence (1992)DO NATURAL DISASTERS PROMOTE LONG‐RUN GROWTH? (2002)A Good Sign for Multivariate Risk Taking (2007)Higher Order Risk Attitudes, Demographics, and Financial Decisions (2013)Are Risk Preferences Stable? (2018)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)Uninsured Idiosyncratic Risk and Aggregate Saving (1994)The analysis of household surveys (1997)Using Cost Observation to Regulate Firms (1986)Incentives in Principal-Agent Relationships (1991)The Tenuous Trade‐off between Risk and Incentives (2002)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
  • 1983An Analysis of the Principal-Agent Problem2,127 cited
  • 1992An Analysis of the Principal-Agent Problem1,913 cited
  • 1990Precautionary Saving in the Small and in the Large1,850 cited
  • 1989Precautionary Saving in the Small and in the Large1,498 cited
  • 1968Saving and Uncertainty: The Precautionary Demand for Saving1,376 cited
  • 2006Putting Risk in Its Proper Place551 cited
  • 2016Increasing Downside Risk480 cited
  • 1996On the Concavity of the Consumption Function474 cited
  • 1993Expo‐Power Utility: A ‘Flexible’ Form for Absolute and Relative Risk Aversion294 cited
  • 1999Introducing convexity into optimal compensation contracts171 cited
  • 2008On the intensity of downside risk aversion116 cited
  • 2006Higher-order generalizations of Arrow–Pratt and Ross risk aversion: A comparative statics approach111 cited
  • 2004A note on comparative downside risk aversion105 cited
  • 2005Skewness Preference, Risk Aversion, and the Precedence Relations on Stochastic Changes

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104 cited

Cited by

  • 2013Risk and choice: A research saga28 cited
  • 2012The Schwarzian derivative as a ranking of downside risk aversion23 cited
  • 2021A fresh look at primary prevention for health risks18 cited
  • 2010Prudence probability premium15 cited
  • 2018Toward a Systematic Approach to the Economic Effects of Risk: Characterizing Utility Functions12 cited
  • 2017Greater parametric downside risk aversion9 cited
  • 2017Prudence and the convexity of compensation contracts9 cited
  • 2016Higher-order risk vulnerability4 cited
  • 2018Downside Risk Aversion and the Downside Risk Premium4 cited
  • 2013Allocative downside risk aversion4 cited
  • 2012On Downside Risk Aversion Measures3 cited
  • 2026Disentangling risk and time for optimal prevention2 cited
  • 2025Precautionary saving under anticipated regret2 cited
  • 2012A Note on Comparative Skewness Preferences2 cited
  • 2019Completely Greater and Less Downside Risk Aversion in terms of Utility Measures and Higher-Order Generalizations2 cited
  • 2012Ranking Preferences by Downside Risk Aversion1 cited