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A wealth-requirement axiomatization of riskiness
11 references·8 citing·35 second hop
A wealth-requirement axiomatization of riskiness (2013)A wealth-requirement axiomatization of ri…Riskiness for Sets of Gambles (2012)Riskiness for Sets of GamblesComparing Risks by Acceptance and Rejection (2011)Comparing Risks by Acceptance…An Operational Measure of Riskiness (2009)An Operational Measure of Ris…An Economic Index of Riskiness (2008)An Economic Index of RiskinessRejecting small gambles under expected utility (2006)Rejecting small gambles under…An Alternative Characterization of Decreasing Absolute Risk Aversion (1983)An Alternative Characterizati…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-…Some remarks on measures of risk aversion and on their uses (1969)Some remarks on measures of r…Aspects of the Theory of Risk-Bearing. (1966)Aspects of the Theory of Risk…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Short‐term investments and indices of risk (2020)Short‐term investments and in…Riskiness in gambles that belong to the same location-scale family and with well-defined means and variances (2018)Riskiness in gambles that bel…A Model-Free Continuum of Degrees of Risk Aversion (2017)A Model-Free Continuum of Deg…On the Measurement of Economic Tail Risk (2016)On the Measurement of Economi…Risk of Monetary Gambles: An Axiomatic Approach (2015)Risk of Monetary Gambles: An …Performance evaluation with high moments and disaster risk (2014)Performance evaluation with h…Economic indices of absolute and relative riskiness (2013)Economic indices of absolute …An Economic Index of Relative Riskiness (2012)An Economic Index of Relative…The equity premium: A puzzle (1985)Risk Aversion and Incentive Effects (2002)Would a risk-averse newsvendor order less at a higher selling price? (2008)Decision making under risk in Deal or No Deal (2009)WHO REALLY WANTS TO BE A MILLIONAIRE? ESTIMATES OF RISK AVERSION FROM GAMESHOW DATA (2013)Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Coherent Measures of Risk (1999)Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement (2012)Risk Preferences and Their Robust Representation (2012)Managing Underperformance Risk in Project Portfolio Selection (2015)Maxmin expected utility with non-unique prior (1989)Market Liquidity and Funding Liquidity (2008)Worst-Case Range Value-at-Risk with Partial Information (2017)Characterization, Robustness and Aggregation of Signed Choquet Integrals (2018)A Theory for Measures of Tail Risk (2021)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Option Mispricing around Nontrading Periods (2017)Predicting hedge fund performance when fund returns are skewed (2019)Satisficing Measures for Analysis of Risky Positions (2008)The Riskiness of Corporate Bonds (2014)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)On the measurement of inequality (1970)Risk aversion with many commodities (1974)Uncertainty Aversion with Second-Order Utilities and Probabilities (2006)Ambiguity and the Bayesian Paradigm (2016)Moral Hazard and Observability (1979)Prospect theory: An analysis of decision under risk (1988)The New Institutional Economics: Taking Stock, Looking Ahead (2000)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)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)
this work references cited by second hop

References

  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1972Essays in the Theory of Risk-Bearing.3,991 cited
  • 1966Aspects of the Theory of Risk-Bearing.1,888 cited
  • 2008An Economic Index of Riskiness315 cited
  • 1969Some remarks on measures of risk aversion and on their uses302 cited
  • 2009An Operational Measure of Riskiness186 cited
  • 2006Rejecting small gambles under expected utility71 cited
  • 2011Comparing Risks by Acceptance and Rejection59 cited
  • 1983An Alternative Characterization of Decreasing Absolute Risk Aversion25 cited
  • 2012Riskiness for Sets of Gambles23 cited

Cited by

  • 2016On the Measurement of Economic Tail Risk97 cited
  • 2014Performance evaluation with high moments and disaster risk79 cited
  • 2013Economic indices of absolute and relative riskiness17 cited
  • 2012An Economic Index of Relative Riskiness8 cited
  • 2020Short‐term investments and indices of risk2 cited

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  • 2017A Model-Free Continuum of Degrees of Risk Aversion1 cited
  • 2015Risk of Monetary Gambles: An Axiomatic Approach0 cited
  • 2018Riskiness in gambles that belong to the same location-scale family and with well-defined means and variances0 cited