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Uncertainty Aversion with Second-Order Utilities and Probabilities
16 references·16 citing·27 second hopsampled
Uncertainty Aversion with Second-Order Utilities and Probabilities (2006)Uncertainty Aversion with Second-Order Ut…Topological methods in cardinal utility theory (2008)Topological methods in cardin…A Smooth Model of Decision Making under Ambiguity (2005)A Smooth Model of Decision Ma…Subjective probability and expected utility without additivity (2004)Subjective probability and ex…Ambiguity Made Precise: A Comparative Foundation (2002)Ambiguity Made Precise: A Com…A Definition of Uncertainty Aversion (1999)A Definition of Uncertainty A…An axiomatization of cumulative prospect theory (1993)An axiomatization of cumulati…Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …A More Robust Definition of Subjective Probability (1992)A More Robust Definition of S…Subjective Probability and Expected Utility without Additivity (1989)Subjective Probability and Ex…Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …Dynamic Consistency and Non-expected Utility Models of Choice under Uncertainty (1989)Dynamic Consistency and Non-e…Maxmin Expected Utility with a Non-Unique Prior (1986)Maxmin Expected Utility with …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 ValueAsset pricing and ambiguity: Empirical evidence (2018)Asset pricing and ambiguity: …Is economic uncertainty priced in the cross-section of stock returns? (2017)Is economic uncertainty price…Ambiguity and the Bayesian Paradigm (2016)Ambiguity and the Bayesian Pa…Ambiguity Attitudes in a Large Representative Sample (2015)Ambiguity Attitudes in a Larg…Ambiguity and Ambiguity Aversion (2014)Ambiguity and Ambiguity Avers…Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis (2013)Alpha as Ambiguity: Robust Me…Ambiguity, Learning, and Asset Returns (2012)Ambiguity, Learning, and Asse…Uncertainty averse preferences (2011)Uncertainty averse preferencesAxiomatic Foundations of Multiplier Preferences (2011)Axiomatic Foundations of Mult…A dual system model of preferences under risk. (2010)A dual system model of prefer…Vector Expected Utility and Attitudes Toward Variation (2009)Vector Expected Utility and A…Ambiguity and Second-Order Belief (2009)Ambiguity and Second-Order Be…A Truth Serum for Non-Bayesians: Correcting Proper Scoring Rules for Risk Attitudes (2009)A Truth Serum for Non-Bayesia…Risk Aversion in the Laboratory (2008)Risk Aversion in the Laborato…A theory of subjective compound lotteries (2008)A theory of subjective compou…Small worlds: Modeling attitudes toward sources of uncertainty (2007)Small worlds: Modeling attitu…Regret Theory: An Alternative Theory of Rational Choice Under Uncertainty (1982)Prospect theory: An analysis of decision under risk (1988)Violations of the betweenness axiom and nonlinearity in probability (1994)Bidding on the future: Evidence against normative discounting of delayed rewards. (1997)Psychological Expected Utility Theory and Anticipatory Feelings (2001)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect Theory: An Analysis of Decision under Risk (1979)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)Utility Theory for Decision Making (1971)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)Chapter 18 A survey of behavioral finance (2003)A theory of anticipated utility (1982)The Dual Theory of Choice under Risk (1987)RATIONAL CHOICE AND THE FRAMING OF DECISIONS (1988)Psychology and Economics (1997)The Framing of Decisions and the Psychology of Choice (1981)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Agency Problems and Residual Claims (1983)Well-being : the foundations of hedonic psychology (1999)Financial Intermediation and Delegated Monitoring (1984)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)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)
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References

  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 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
  • 1959Theory of Value2,538 cited
  • 2004Subjective probability and expected utility without additivity2,510 cited
  • 1989Subjective Probability and Expected Utility without Additivity2,308 cited
  • 2005A Smooth Model of Decision Making under Ambiguity1,889 cited
  • 1989Dynamic Consistency and Non-expected Utility Models of Choice under Uncertainty782 cited
  • 1986Maxmin Expected Utility with a Non-Unique Prior668 cited
  • 2008Topological methods in cardinal utility theory622 cited
  • 1992A More Robust Definition of Subjective Probability585 cited
  • 1999A Definition of Uncertainty Aversion498 cited
  • 2002Ambiguity Made Precise: A Comparative Foundation483 cited
  • 1993An axiomatization of cumulative prospect theory

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451 cited

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