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Beneficial changes in dependence structures and two-moment decision models
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Beneficial changes in dependence structures and two-moment decision models (2010)Beneficial changes in dependence structur…Multiple Risks and Mean-Variance Preferences (2009)Multiple Risks and Mean-Varia…Mean Variance Vulnerability (2008)Mean Variance VulnerabilityProper and Standard Risk Aversion in Two-Moment Decision Models (2004)Proper and Standard Risk Aver…Variance Vulnerability, Background Risks, and Mean-Variance Preferences (2003)Variance Vulnerability, Backg…More on Properness: The Case of Mean-Variance Preferences (2002)More on Properness: The Case …Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Mean‐Variance Preferences and Investor Behaviour (2001)Mean‐Variance Preferences and…Parametric characterizations of risk aversion and prudence (2000)Parametric characterizations …Dependency of Risks and Stop-Loss Order (1996)Dependency of Risks and Stop-…Outside Risk Aversion and the Comparative Statics of Increasing Risk in Quasi-Linear Decision Models (1995)Outside Risk Aversion and the…A characterization of the distributions that imply mean—Variance utility functions (1983)A characterization of the dis…Increasing Generalized Correlation: A Definition and Some Economic Consequences (1980)Increasing Generalized Correl…The impact of uncertainty in a class of objective functions (1977)The impact of uncertainty in …Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk (1976)Optimal Portfolios with One S…On the theory of the competitive firm under price uncertainty (1971)On the theory of the competit…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…An Introduction to Copulas (1999)Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)Aspects of the Theory of Risk-Bearing. (1966)Increasing risk II: Its economic consequences (1971)Supermodularity and the Comparative Statics of Risk (2006)An Ordinal Theory of Risk Aversion (2018)Production under uncertainty and choice under uncertainty in the emergence of generalized expected utility theory (2022)Value and Capital (1939)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Risk Aversion in the Small and in the Large (1976)Research Bibliography—Stochastic Dominance: A Research Bibliography (1982)Short Term Financial Planning under Uncertainty (1982)The Effects of Shifts in a Return Distribution on Optimal Portfolios (1990)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)Risk Aversion with Random Initial Wealth (1981)Precautionary Saving in the Small and in the Large (1989)Elasticity of risk aversion and international trade (2006)Rules for Ordering Uncertain Prospects (1969)The Comparison of Multi-Dimensioned Distributions of Economic Status (1982)Multidimensional inequality and multidimensional generalized entropy measures: An axiomatic derivation (1999)Multidimensional Poverty and Inequality (2014)An introduction to mathematical risk theory (1979)Comparison Methods for Queues and Other Stochastic Models (1984)Comparison Methods for Queues and Other Stochastic Models. (1986)Stop-loss order for portfolios of dependent risks (1997)Comonotonicity, correlation order and premium principles (1998)Upper and lower bounds or sum of random variables (2000)Essays in the Theory of Risk-Bearing. (1972)Good News and Bad News: Representation Theorems and Applications (1981)The Asset Allocation of Emerging Market Mutual Funds (2001)Essays on behavioral decision making (2013)Precautionary saving in mean-variance models and different sources of risk (2020)Stochastic specification of production functions and economic implications (1978)Cash Crop Production, Food Price Volatility, and Rural Market Integration in the Third World (1992)Rising Food Prices, Food Price Volatility, and Social Unrest (2014)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)
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References

  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1971On the theory of the competitive firm under price uncertainty1,450 cited
  • 1983A characterization of the distributions that imply mean—Variance utility functions435 cited
  • 1980Increasing Generalized Correlation: A Definition and Some Economic Consequences276 cited
  • 1996Dependency of Risks and Stop-Loss Order224 cited
  • 1976Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk171 cited
  • 2000Parametric characterizations of risk aversion and prudence78 cited
  • 1977The impact of uncertainty in a class of objective functions70 cited
  • 2001Mean‐Variance Preferences and Investor Behaviour62 cited
  • 2009Multiple Risks and Mean-Variance Preferences53 cited
  • 2008Mean Variance Vulnerability50 cited
  • 2003Variance Vulnerability, Background Risks, and Mean-Variance Preferences38 cited
  • 2002More on Properness: The Case of Mean-Variance Preferences30 cited
  • 2004Proper and Standard Risk Aversion in Two-Moment Decision Models20 cited

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  • 1995Outside Risk Aversion and the Comparative Statics of Increasing Risk in Quasi-Linear Decision Models19 cited
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