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Background risk and the demand for state-contingent claims
16 references·6 citing·33 second hop
Background risk and the demand for state-contingent claims (2003)Background risk and the demand for state-…The Economics of Risk and Time (2001)The Economics of Risk and TimeOptimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income (2001)Optimal Portfolio Choice for …Portfolio Choice in the Presence of Background Risk (2000)Portfolio Choice in the Prese…Who Buys and Who Sells Options: The Role of Options in an Economy with Background Risk (1998)Who Buys and Who Sells Option…Changes in Background Risk and Risk Taking Behavior (1996)Changes in Background Risk an…The Risk-Averse (and Prudent) Newsboy (1995)The Risk-Averse (and Prudent)…The Analytics of Uncertainty and Information (1992)The Analytics of Uncertainty …Standard Risk Aversion (1991)Standard Risk AversionPrecautionary 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…Deterministic transformations of random variables and the comparative statics of risk (1989)Deterministic transformations…Proper Risk Aversion (1987)Proper Risk AversionPreservation of “more risk averse” under expectations (1982)Preservation of “more risk av…Risk Aversion with Random Initial Wealth (1981)Risk Aversion with Random Ini…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…Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory (2020)Multi-period portfolio select…Quels déterminants de la prise de risque? 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(2003)Eliciting Risk and Time Preferences (2008)Risk and uncertainty: a fallacy of large numbers (1963)Myopic Loss Aversion and the Equity Premium Puzzle (1993)Myopic Loss Aversion and the Equity Premium Puzzle (1995)Saving and Uncertainty: The Precautionary Demand for Saving (1968)Uninsured Idiosyncratic Risk and Aggregate Saving (1994)The analysis of household surveys (1997)Saving and Liquidity Constraints (1991)Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Optimal life cycle asset allocation : understanding the empirical evidence (2005)Hedging, Familiarity and Portfolio Choice (2006)Understanding Consumption (1992)Conditional Skewness in Asset Pricing Tests (2000)Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk (2000)The Role of Social Capital in Financial Development (2004)Why Stocks May Disappoint (2000)European Unemployment: The Evolution of Facts and Ideas (2005)Unemployment, institutions, and reform complementarities: re-assessing the aggregate evidence for OECD countries (2009)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)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
  • 1990Precautionary Saving in the Small and in the Large1,850 cited
  • 1989Precautionary Saving in the Small and in the Large1,498 cited
  • 2001The Economics of Risk and Time1,361 cited
  • 1991Standard Risk Aversion851 cited
  • 1992The Analytics of Uncertainty and Information843 cited
  • 2001Optimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income755 cited
  • 1987Proper Risk Aversion540 cited
  • 2000Portfolio Choice in the Presence of Background Risk539 cited
  • 1995The Risk-Averse (and Prudent) Newsboy485 cited
  • 1996Changes in Background Risk and Risk Taking Behavior353 cited
  • 1981Risk Aversion with Random Initial Wealth235 cited
  • 1998Who Buys and Who Sells Options: The Role of Options in an Economy with Background Risk127 cited
  • 1982Preservation of “more risk averse” under expectations112 cited
  • 1989Deterministic transformations of random variables and the comparative statics of risk

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Cited by

  • 2005Optimal risk sharing with background risk118 cited
  • 2010An analysis of portfolio selection with background risk64 cited
  • 2020Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory36 cited
  • 2016Higher-order risk vulnerability4 cited
  • 2017Quels déterminants de la prise de risque? Les réponses de l’économie expérimentale3 cited
  • 2014Convex and decreasing absolute risk aversion is proper1 cited