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Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion
16 references·16 citing·33 second hopsampled
Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion (2011)Portfolio Choices and Asset Prices: The C…Learning Under Ambiguity (2007)Learning Under AmbiguityA Smooth Model of Decision Making under Ambiguity (2005)A Smooth Model of Decision Ma…Empirical pricing kernels (2002)Empirical pricing kernelsAmbiguity, Risk, and Asset Returns in Continuous Time (2002)Ambiguity, Risk, and Asset Re…The Economics of Risk and Time (2001)The Economics of Risk and TimeNonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Nonparametric Estimation of S…Why do so Few Hold Stocks? (1995)Why do so Few Hold Stocks?Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio (1992)Uncertainty Aversion, Risk Av…Precautionary Saving in the Small and in the Large (1990)Precautionary Saving in the S…First order versus second order risk aversion (1990)First order versus second ord…Precautionary Saving in the Small and in the Large (1989)Precautionary Saving in the S…Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …The Ellsberg Paradox and Risk Aversion: An Anticipated Utility Approach (1987)The Ellsberg Paradox and Risk…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Increasing risk II: Its economic consequences (1971)Increasing risk II: Its econo…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Life-Cycle Asset Allocation with Ambiguity Aversion and Learning (2018)Life-Cycle Asset Allocation w…Cumulative Prospect Theory, Option Returns, and the Variance Premium (2018)Cumulative Prospect Theory, O…Ambiguity and the historical equity premium (2018)Ambiguity and the historical …Ambiguity aversion is not universal (2017)Ambiguity aversion is not uni…Uncertainty, Information Acquisition, and Price Swings in Asset Markets (2015)Uncertainty, Information Acqu…MODEL UNCERTAINTY (2015)MODEL UNCERTAINTYLending on Hold: Regulatory Uncertainty and Bank Lending Standards (2015)Lending on Hold: Regulatory U…Ambiguous Tipping Points (2015)Ambiguous Tipping PointsTreatment decisions under ambiguity (2013)Treatment decisions under amb…The Effect of Ambiguity Aversion on Insurance and Self‐protection (2013)The Effect of Ambiguity Avers…Dynamic asset allocation with ambiguous return predictability (2013)Dynamic asset allocation with…Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis (2013)Alpha as Ambiguity: Robust Me…Scientific Ambiguity and Climate Policy (2012)Scientific Ambiguity and Clim…Ambiguity, Learning, and Asset Returns (2012)Ambiguity, Learning, and Asse…Ambiguity in asset pricing and portfolio choice: a review of the literature (2012)Ambiguity in asset pricing an…Alpha As Ambiguity: Robust Mean-Variance Portfolio Analysis (2012)Alpha As Ambiguity: Robust Me…Essays in the Theory of Risk-Bearing. (1972)Strategic Asset Allocation (2002)Idiosyncratic Risk Matters! (2003)Eliciting Risk and Time Preferences (2008)Theory of games and economic behavior (2019)Risk, Ambiguity, and the Savage Axioms (1961)Utility Theory for Decision Making (1971)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)Chapter 18 A survey of behavioral finance (2003)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Robust Control and Model Uncertainty (2001)Robust Portfolio Rules and Asset Pricing (2004)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Ambiguity, Information Quality, and Asset Pricing (2008)Saving and Uncertainty: The Precautionary Demand for Saving (1968)Uninsured Idiosyncratic Risk and Aggregate Saving (1994)The analysis of household surveys (1997)Understanding Consumption (1992)Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Conditional Skewness in Asset Pricing Tests (2000)Gender Differences in the Allocation of Assets in Retirement Savings Plans (1998)Down or Out: Assessing the Welfare Costs of Household Investment Mistakes (2007)Optimal rules for ordering uncertain prospects (1975)Net Health Benefits (1998)Stochastic Volatility for Lévy Processes (2003)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)Risk Aversion in the Laboratory (2008)Sensitivity analysis: A review of recent advances (2015)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)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 2005A Smooth Model of Decision Making under Ambiguity1,889 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
  • 1971Increasing risk II: Its economic consequences1,082 cited
  • 1995Why do so Few Hold Stocks?1,078 cited
  • 2002Ambiguity, Risk, and Asset Returns in Continuous Time1,073 cited
  • 1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices1,060 cited
  • 1992Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio776 cited
  • 2002Empirical pricing kernels687 cited
  • 1987The Ellsberg Paradox and Risk Aversion: An Anticipated Utility Approach435 cited
  • 1990First order versus second order risk aversion401 cited
  • 2007Learning Under Ambiguity364 cited

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Cited by

  • 2012Ambiguity, Learning, and Asset Returns405 cited
  • 2013Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis170 cited
  • 2012Scientific Ambiguity and Climate Policy168 cited
  • 2013The Effect of Ambiguity Aversion on Insurance and Self‐protection164 cited
  • 2012Ambiguity in asset pricing and portfolio choice: a review of the literature149 cited
  • 2017Ambiguity aversion is not universal134 cited
  • 2015MODEL UNCERTAINTY125 cited
  • 2015Uncertainty, Information Acquisition, and Price Swings in Asset Markets111 cited
  • 2015Lending on Hold: Regulatory Uncertainty and Bank Lending Standards106 cited
  • 2012Alpha As Ambiguity: Robust Mean-Variance Portfolio Analysis88 cited
  • 2013Treatment decisions under ambiguity85 cited
  • 2015Ambiguous Tipping Points82 cited
  • 2018Life-Cycle Asset Allocation with Ambiguity Aversion and Learning76 cited
  • 2018Ambiguity and the historical equity premium73 cited
  • 2018Cumulative Prospect Theory, Option Returns, and the Variance Premium71 cited
  • 2013Dynamic asset allocation with ambiguous return predictability64 cited