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Generalized Stochastic Dominance: An Empirical Examination
12 references·6 citing·34 second hop
Generalized Stochastic Dominance: An Empirical Examination (1990)Generalized Stochastic Dominance: An Empi…Theory of games and economic behavior (2019)Theory of games and economic …ESTIMATING AN UPPER BOUND ON THE PRATT RISK A VERSION COEFFICIENT WHEN THE UTILITY FUNCTION IS UNKNOWN* (1989)ESTIMATING AN UPPER BOUND ON …Testing for Stochastic Dominance (1988)Testing for Stochastic Domina…Interpretation and Transformation of Scale for the Pratt-Arrow Absolute Risk Aversion Coefficient: Implications for Stochastic Dominance (1985)Interpretation and Transforma…Dynamic optimization: The calculus of variations and optimal control in economics and management (1982)Dynamic optimization: The cal…An Interval Approach to Measuring Decision Maker Preferences (1981)An Interval Approach to Measu…Choice among distributions (1977)Choice among distributionsRisk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Simplifying the Choice between Uncertain Prospects Where Preference is Nonlinear (1974)Simplifying the Choice betwee…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Theory of Games and Economic Behavior (1947)Theory of Games and Economic …Theory of Games and Economic Behavior (1945)Theory of Games and Economic …The Importance of Financial Leverage and Risk Aversion in Risk‐Management Strategy Selection (2002)The Importance of Financial L…Evaluation of Alternative Coordination Systems Between Producers and Packers in the Pork Value Chain (2002)Evaluation of Alternative Coo…Nitrogen-Fixing Winter Cover Crops and Production Risk: A Case Study for No-Tillage Corn (1998)Nitrogen-Fixing Winter Cover …Impact of Risk Preferences on Crop Rotation Choice (1997)Impact of Risk Preferences on…Risk Preferences and Contracting In the U.S. Hog Industry (1994)Risk Preferences and Contract…Preference Among Risky Prospects Under Constant Risk Aversion (1988)Preference Among Risky Prospe…Essays in the Theory of Risk-Bearing. (1972)Risk Preferences of Agricultural Producers: Their Use in Extension and Research (1979)Research Bibliography—Stochastic Dominance: A Research Bibliography (1982)The Utility Analysis of Choices Involving Risk (1948)Portfolio Selection: Efficient Diversification of Investments (1959)Rules for Ordering Uncertain Prospects (1969)AN EMPIRICAL TEST OF THE INTERVAL APPROACH FOR ESTIMATING RISK PREFERENCES (1983)Risk Analysis with Single‐Index Portfolio Models: An Application to Farm Planning (1986)Assisting whole-farm decision-making through stochastic budgeting (2003)Analysis of decisions under uncertainty (1969)Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk (1976)Safety-First, Stochastic Dominance, and Optimal Portfolio Choice (1978)Should More Risk-Averse Agents Exert More Effort? (1999)An Empirical Test of Utility vs. Profit Maximization in Agricultural Production (1974)OBTAINING LOWER AND UPPER BOUNDS ON THE VALUE OF SEASONAL CLIMATE FORECASTS AS A FUNCTION OF RISK PREFERENCES (1988)The Rationale of the Mean-Standard Deviation Analysis, Skewness Preference, and the Demand for Money (1989)CASH FORWARD CONTRACTING VERSUS HEDGING OF FED CATTLE, AND THE IMPACT OF CASH CONTRACTING ON CASH PRICES (1992)Externalities, and technology transfer through multinational corporations A theoretical analysis (1987)Debts and deficits with fragmented fiscal policymaking (2000)A Toolkit for Analysing Nonlinear Dynamic Stochastic Models Easily (2001)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Non-cooperative games (1989)Subjectivity and correlation in randomized strategies (1974)The Health Utilities Index (HUI): concepts, measurement properties and applications. (2003)Games with Incomplete Information Played by “Bayesian” Players, I–III: Part I. The Basic Model (2004)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)Representative design and probabilistic theory in a functional psychology. (1955)Features of similarity. (1977)Evolutionary game dynamics (2003)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

  • 2019Theory of games and economic behavior16,630 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
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  • 1945Theory of Games and Economic Behavior4,006 cited
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  • 1982Dynamic optimization: The calculus of variations and optimal control in economics and management423 cited
  • 1977Choice among distributions250 cited
  • 1974Simplifying the Choice between Uncertain Prospects Where Preference is Nonlinear171 cited
  • 1985Interpretation and Transformation of Scale for the Pratt-Arrow Absolute Risk Aversion Coefficient: Implications for Stochastic Dominance140 cited
  • 1981An Interval Approach to Measuring Decision Maker Preferences129 cited
  • 1989ESTIMATING AN UPPER BOUND ON THE PRATT RISK A VERSION COEFFICIENT WHEN THE UTILITY FUNCTION IS UNKNOWN*99 cited
  • 1988Testing for Stochastic Dominance44 cited

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  • 1994Risk Preferences and Contracting In the U.S. Hog Industry52 cited
  • 1988Preference Among Risky Prospects Under Constant Risk Aversion28 cited
  • 1997Impact of Risk Preferences on Crop Rotation Choice

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14 cited
  • 2002The Importance of Financial Leverage and Risk Aversion in Risk‐Management Strategy Selection14 cited
  • 2002Evaluation of Alternative Coordination Systems Between Producers and Packers in the Pork Value Chain13 cited
  • 1998Nitrogen-Fixing Winter Cover Crops and Production Risk: A Case Study for No-Tillage Corn12 cited