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Time-Consistency of Indifference Prices and Monetary Utility Functions
16 references·5 citing·23 second hop
Time-Consistency of Indifference Prices and Monetary Utility Functions (2006)Time-Consistency of Indifference Prices a…Theory of games and economic behavior (2019)Theory of games and economic …Coherent Measures of Risk (1999)Coherent Measures of RiskAdvances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …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…Risk, Ambiguity, and the Savage Axioms (1961)Risk, Ambiguity, and the Sava…Theory of Value (1959)Theory of ValuePortfolio 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…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*The Utility Analysis of Choices Involving Risk (1948)The Utility Analysis of Choic…The Theory of Games and Economic Behavior (1945)The Theory of Games and Econo…Risk-Sensitive Value Measure Method for Projects Evaluation (2010)Risk-Sensitive Value Measure …Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk (2009)Bid-ask dynamic pricing in fi…VALUATIONS AND DYNAMIC CONVEX RISK MEASURES (2007)VALUATIONS AND DYNAMIC CONVEX…Pricing options in incomplete equity markets via the instantaneous Sharpe ratio (2007)Pricing options in incomplete…Dynamic utility-based good deal bounds (2007)Dynamic utility-based good de…Judgment under Uncertainty: Heuristics and Biases (1975)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Individual differences in reasoning: Implications for the rationality debate? (2000)A perspective on judgment and choice: Mapping bounded rationality. (2003)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)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)Toward a positive theory of consumer choice (1980)Non-cooperative games (1989)Frontiers in Group Dynamics (1947)A Method for Evaluating the Distribution of Power in a Committee System (1954)Measurement of health state utilities for economic appraisal (1986)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)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)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

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
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  • 2019Theory of games and economic behavior16,630 cited
  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1945The Theory of Games and Economic Behavior5,134 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1953Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine4,117 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 1948The Utility Analysis of Choices Involving Risk3,097 cited
  • 1959

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Theory of Value
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  • 2007VALUATIONS AND DYNAMIC CONVEX RISK MEASURES122 cited
  • 2009Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk54 cited
  • 2007Pricing options in incomplete equity markets via the instantaneous Sharpe ratio38 cited
  • 2007Dynamic utility-based good deal bounds33 cited
  • 2010Risk-Sensitive Value Measure Method for Projects Evaluation25 cited