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An Empirical Investigation of the Assumptions of Risk-Value Models
16 references·10 citing·25 second hop
An Empirical Investigation of the Assumptions of Risk-Value Models (2005)An Empirical Investigation of the Assumpt…Theory of games and economic behavior (2019)Theory of games and economic …Risk Aversion and Incentive Effects (2002)Risk Aversion and Incentive E…The Handbook of experimental economics (1995)The Handbook of experimental …Decisions with Multiple Objectives: Preferences and Value Tradeoffs. (1994)Decisions with Multiple Objec…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Disappointment in Decision Making Under Uncertainty (1985)Disappointment in Decision Ma…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …Decisions with Multiple Objectives: Preferences and Value Tradeoffs. (1977)Decisions with Multiple Objec…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine (1953)Le Comportement de l'Homme Ra…Theory of Games and Economic Behavior (1946)Theory of Games and Economic …Theory of Games and Economic Behavior (1945)Theory of Games and Economic …The Legacy of Peter Fishburn: Foundational Work and Lasting Impact (2022)The Legacy of Peter Fishburn:…Risk measure optimization: Perceived risk and overconfidence of structured product investors (2018)Risk measure optimization: Pe…Axiomatic Measures of Risk and Risk‐Value Models (2014)Axiomatic Measures of Risk an…Axiomatic Models of Perceived Risk (2011)Axiomatic Models of Perceived…Using first degree stochastic dominance in allocation tasks: an experimental study (2010)Using first degree stochastic…Risk averse preference models for normalised lotteries based on simulation (2010)Risk averse preference models…The Influence of Expectations, Risk Attitudes, and Behavioral Biases on Investment Decisions (2009)The Influence of Expectations…Decision Making Based on Risk-Value Tradeoffs (2009)Decision Making Based on Risk…Axiomatic Models of Perceived Risk (2008)Axiomatic Models of Perceived…Risk Perception and Acceptance— One Process or Two? (2006)Risk Perception and Acceptanc…Risk, Ambiguity, and the Savage Axioms (1961)Judgment under Uncertainty: Heuristics and Biases (1975)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)Conjoint Analysis in Consumer Research: Issues and Outlook (1978)Risk management in a dynamic society: a modelling problem (1997)Best-worst multi-criteria decision-making method (2014)Toward a positive theory of consumer choice (1980)Non-cooperative games (1989)Advances in prospect theory: Cumulative representation of uncertainty (1992)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Representative design and probabilistic theory in a functional psychology. (1955)Features of similarity. (1977)Evolutionary game dynamics (2003)Oxytocin increases trust in humans (2005)Gender Differences in Preferences (2009)INDIVIDUAL RISK ATTITUDES: MEASUREMENT, DETERMINANTS, AND BEHAVIORAL CONSEQUENCES (2011)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

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  • 2019Theory of games and economic behavior16,630 cited
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  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1953Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine4,117 cited
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  • 1946Theory of Games and Economic Behavior3,280 cited
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Cited by

  • 2006Risk Perception and Acceptance— One Process or Two?19 cited
  • 2018Risk measure optimization: Perceived risk and overconfidence of structured product investors8 cited
  • 2022The Legacy of Peter Fishburn: Foundational Work and Lasting Impact5 cited
  • 2010Risk averse preference models for normalised lotteries based on simulation4 cited
  • 2009Decision Making Based on Risk-Value Tradeoffs2 cited
  • 2009The Influence of Expectations, Risk Attitudes, and Behavioral Biases on Investment Decisions2 cited
  • 2010Using first degree stochastic dominance in allocation tasks: an experimental study1 cited
  • 2008Axiomatic Models of Perceived Risk1 cited
  • 2011Axiomatic Models of Perceived Risk1 cited
  • 2014Axiomatic Measures of Risk and Risk‐Value Models0 cited