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Decomposing the Cross Derivatives of a Multiattribute Utility Function into Risk Attitude and Value
16 references·6 citing·29 second hop
Decomposing the Cross Derivatives of a Multiattribute Utility Function into Risk Attitude and Value (2011)Decomposing the Cross Derivatives of a Mu…Theory of games and economic behavior (2019)Theory of games and economic …Multi-Criteria Decision Analysis: Environmental Applications and Case Studies (2011)Multi-Criteria Decision Analy…Strategic Decision Making Multiobjective Decision Analysis with Spreadsheets (1998)Strategic Decision Making Mul…Decisions with Multiple Objectives (1993)Decisions with Multiple Objec…The new Palgrave dictionary of money and finance (1992)The new Palgrave dictionary o…Stochastic Dominance and Expected Utility: Survey and Analysis (1992)Stochastic Dominance and Expe…Precautionary Saving in the Small and in the Large (1990)Precautionary Saving in the S…Readings on the Principles and Applications of Decision Analysis (1989)Readings on the Principles an…Proper Risk Aversion (1987)Proper Risk AversionRelative Risk Aversion (1982)Relative Risk AversionRisk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Risk aversion with many commodities (1974)Risk aversion with many commo…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…Theory of Games and Economic Behavior (1947)Theory of Games and Economic …Theory of Games and Economic Behavior (1945)Theory of Games and Economic …Foundations of Multiattribute Utility (2018)Foundations of Multiattribute…Theory of Generalized Risk Attitudes (2015)Theory of Generalized Risk At…From the Editors—Brainstorming, Multiplicative Utilities, Partial Information on Probabilities or Outcomes, and Regulatory Focus (2012)From the Editors—Brainstormin…From the Editors—Probability Scoring Rules, Ambiguity, Multiattribute Terrorist Utility, and Sensitivity Analysis (2011)From the Editors—Probability …From the Editors—Deterrence, Multiattribute Utility, and Probability and Bayes' Updating (2011)From the Editors—Deterrence, …From the Editor—Multiattribute and Intertemporal Preferences, Probability, and Stochastic Processes: Models and Assessment (2011)From the Editor—Multiattribut…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Prospect theory: An analysis of decision under risk (1988)From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Dual Stochastic Dominance and Related Mean-Risk Models (2002)Remarks on the Analytic Hierarchy Process (1990)Robust Optimization of Large-Scale Systems (1995)The Analytic Hierarchy Process—An Exposition (2001)Systematic Risk Management Approach for Construction Projects (1990)What Do People Know About Global Climate Change? 1. Mental Models (1994)Some Contributions of Integrated Assessment Models of Global Climate Change (2017)Understanding Consumption (1992)Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Conditional Skewness in Asset Pricing Tests (2000)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)On the measurement of inequality (1970)Risk Aversion and Incentive Effects (2002)Toward a positive theory of consumer choice (1980)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)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
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  • 1945Theory of Games and Economic Behavior4,006 cited
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  • 1992Stochastic Dominance and Expected Utility: Survey and Analysis843 cited
  • 1989Readings on the Principles and Applications of Decision Analysis685 cited
  • 1992The new Palgrave dictionary of money and finance665 cited
  • 1987Proper Risk Aversion540 cited
  • 1974Risk aversion with many commodities394 cited
  • 2011Multi-Criteria Decision Analysis: Environmental Applications and Case Studies386 cited
  • 1998Strategic Decision Making Multiobjective Decision Analysis with Spreadsheets380 cited
  • 1982Relative Risk Aversion328 cited

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Cited by

  • 2018Foundations of Multiattribute Utility66 cited
  • 2011From the Editor—Multiattribute and Intertemporal Preferences, Probability, and Stochastic Processes: Models and Assessment6 cited
  • 2015Theory of Generalized Risk Attitudes3 cited
  • 2012From the Editors—Brainstorming, Multiplicative Utilities, Partial Information on Probabilities or Outcomes, and Regulatory Focus3 cited
  • 2011From the Editors—Probability Scoring Rules, Ambiguity, Multiattribute Terrorist Utility, and Sensitivity Analysis3 cited
  • 2011From the Editors—Deterrence, Multiattribute Utility, and Probability and Bayes' Updating2 cited