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The Pratt-Arrow Requirement in a Fourth Degree Polynomial Utility Function
16 references·2 citing·27 second hop
The Pratt-Arrow Requirement in a Fourth Degree Polynomial Utility Function (1992)The Pratt-Arrow Requirement in a Fourth D…Theory of games and economic behavior (2019)Theory of games and economic …Mean-Variance Versus Direct Utility Maximization (1984)Mean-Variance Versus Direct U…Skewness Preference and Portfolio Choice (1982)Skewness Preference and Portf…On The Direction of Preference for Moments of Higher Order Than The Variance (1980)On The Direction of Preferenc…Approximating Expected Utility by a Function of Mean and Variance (1979)Approximating Expected Utilit…Diversification in a Three-Moment World (1978)Diversification in a Three-Mo…Probability and Utility Estimates for Racetrack Bettors (1977)Probability and Utility Estim…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…The Fundamental Theorem of Parameter-Preference Security Valuation (1973)The Fundamental Theorem of Pa…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…The Extension of Portfolio Analysis to Three or More Parameters (1971)The Extension of Portfolio An…Efficient Portfolio Selection with Quadratic and Cubic Utility (1970)Efficient Portfolio Selection…RISK AND THE REQUIRED RETURN ON EQUITY (1967)RISK AND THE REQUIRED RETURN …Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…The Utility of Wealth (1952)The Utility of WealthTheory of Games and Economic Behavior (1945)Theory of Games and Economic …Comoment risk and stock returns (2013)Comoment risk and stock retur…Optimal Portfolio Allocation Under Higher Moments (2004)Optimal Portfolio Allocation …SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)Theory of Financial Decision Making. (1988)Conditional Skewness in Asset Pricing Tests (2000)Introductory Econometrics for Finance (2008)Portfolio Selection: Efficient Diversification of Investments (1959)The Sampling Error in Estimates of Mean‐Variance Efficient Portfolio Weights (1999)Commissioned Paper: Capacity Management, Investment, and Hedging: Review and Recent Developments (2003)Liquidity Preference as Behavior Towards Risk (1958)60 Years of portfolio optimization: Practical challenges and current trends (2013)Handbook of Emotions (1993)Well-being : the foundations of hedonic psychology (1999)Investor Psychology and Asset Pricing (2001)Moral Hazard and Observability (1979)Prospect theory: An analysis of decision under risk (1988)The New Institutional Economics: Taking Stock, Looking Ahead (2000)Toward a positive theory of consumer choice (1980)Non-cooperative games (1989)Portfolio selection and skewness: Evidence from international stock markets (1997)Optimal Portfolio Allocation under Higher Moments (2006)Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns (2008)Correlated Equilibrium as an Expression of Bayesian Rationality (1987)Multiagent systems: algorithmic, game-theoretic, and logical foundations (2009)Evolutionary Game Theory (2011)Financial Intermediation and Delegated Monitoring (1984)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

  • 2019Theory of games and economic behavior16,630 cited
  • 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
  • 1945Theory of Games and Economic Behavior3,887 cited
  • 1952The Utility of Wealth1,845 cited
  • 1979Approximating Expected Utility by a Function of Mean and Variance874 cited
  • 1980On The Direction of Preference for Moments of Higher Order Than The Variance737 cited
  • 1967RISK AND THE REQUIRED RETURN ON EQUITY666 cited
  • 1984Mean-Variance Versus Direct Utility Maximization527 cited
  • 1973The Fundamental Theorem of Parameter-Preference Security Valuation447 cited
  • 1977Probability and Utility Estimates for Racetrack Bettors390 cited
  • 1978Diversification in a Three-Moment World284 cited
  • 1971The Extension of Portfolio Analysis to Three or More Parameters182 cited
  • 1982Skewness Preference and Portfolio Choice177 cited
  • 1970Efficient Portfolio Selection with Quadratic and Cubic Utility

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  • 2013Comoment risk and stock returns73 cited
  • 2004Optimal Portfolio Allocation Under Higher Moments37 cited