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Duality and consumption decisions under income and price risk
16 references·3 citing·39 second hop
Duality and consumption decisions under income and price risk (2004)Duality and consumption decisions under i…The Effects of Investing Social Security Funds in the Stock Market When Fixed Costs Prevent Some Households from Holding Stocks (2001)The Effects of Investing Soci…Taxation of Labor Income and the Demand for Risky Assets (2000)Taxation of Labor Income and …Risk Vulnerability and the Tempering Effect of Background Risk (1996)Risk Vulnerability and the Te…Income and Substitution Effects for Mean-Preserving Spreads (1989)Income and Substitution Effec…Optimal Choices under Uncertainty: The Case of Two-Argument Utility Functions (1988)Optimal Choices under Uncerta…Free riding and uncertainty (1987)Free riding and uncertaintyThe Optimal Level of Social Security Benefits (1985)The Optimal Level of Social S…Some Stronger Measures of Risk Aversion in the Small and the Large with Applications (1981)Some Stronger Measures of Ris…Risk Aversion with Random Initial Wealth (1981)Risk Aversion with Random Ini…Multiperiod Consumption-Investment Decisions (1975)Multiperiod Consumption-Inves…Cosumption decisions under uncertainty (1972)Cosumption decisions under un…Consumption decisions under uncertainty (1972)Consumption decisions under u…Risk, Return, and Equilibrium (1971)Risk, Return, and EquilibriumThe Effect of Uncertainty on Saving Decisions (1970)The Effect of Uncertainty on …Saving and Uncertainty: The Precautionary Demand for Saving (1968)Saving and Uncertainty: The P…The Utility Analysis of Choices Involving Risk (1948)The Utility Analysis of Choic…Ex Post Uncertainty and the Consumer Problem (2020)Ex Post Uncertainty and the C…The income effect under uncertainty: A Slutsky-like decomposition with risk aversion (2016)The income effect under uncer…Slutzky equations and substitution effects of risks in terms of mean-variance preferences (2008)Slutzky equations and substit…Risk Aversion in the Small and in the Large (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)COMPONENTS OF INVESTMENT PERFORMANCE* (1972)Intertemporal Asset Pricing with Heterogeneous Consumers and Without Demand Aggregation (1982)The Valuation of Uncertain Income Streams and the Pricing of Options (2010)Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1962)Risk Aversion in the Small and in the Large (1976)Optimal Insurance in Incomplete Markets (1983)Rational Insurance Purchasing: Consideration of Contract Nonperformance (1990)Background Risk, Prudence, and the Demand for Insurance (1992)Aspects of the Theory of Risk-Bearing. (1966)Financial Intermediation and Delegated Monitoring (1984)Theory of Financial Decision Making. (1988)Cash Crop Production, Food Price Volatility, and Rural Market Integration in the Third World (1992)Theory of Value (1959)THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE (1988)The Equity Premium Puzzle and the Riskfree Rate Puzzle (1989)DO NATURAL DISASTERS PROMOTE LONG‐RUN GROWTH? (2002)Theory of games and economic behavior (2019)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Learning, Asset‐Pricing Tests, and Market Efficiency (2002)Is the IPO pricing process efficient? (2003)Essays in the Theory of Risk-Bearing. (1972)Precautionary Saving in the Small and in the Large (1989)Strategic Asset Allocation (2002)Risk Aversion in the Laboratory (2008)Risk-Taking Behavior in the Wake of Natural Disasters (2012)Macroeconomic determinants of growth: Cross-country evidence (1985)An empirical analysis of cross-national economic growth, 1951–1980 (1989)The Buffer-Stock Theory of Saving: Some Macroeconomic Evidence (1992)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Risk as feelings. (2001)Global Demographic Change: Dimensions and Economic Significance (2004)Fairness, Responsibility, and Welfare (2008)The Interaction of Public and Private Insurance: Medicaid and the Long-Term Care Insurance Market (2008)
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References

  • 1948The Utility Analysis of Choices Involving Risk3,097 cited
  • 1968Saving and Uncertainty: The Precautionary Demand for Saving1,376 cited
  • 1970The Effect of Uncertainty on Saving Decisions923 cited
  • 1996Risk Vulnerability and the Tempering Effect of Background Risk765 cited
  • 1972Consumption decisions under uncertainty583 cited
  • 1971Risk, Return, and Equilibrium539 cited
  • 1981Some Stronger Measures of Risk Aversion in the Small and the Large with Applications450 cited
  • 1975Multiperiod Consumption-Investment Decisions448 cited
  • 1985The Optimal Level of Social Security Benefits282 cited
  • 1981Risk Aversion with Random Initial Wealth235 cited
  • 2000Taxation of Labor Income and the Demand for Risky Assets105 cited
  • 2001The Effects of Investing Social Security Funds in the Stock Market When Fixed Costs Prevent Some Households from Holding Stocks80 cited
  • 1988Optimal Choices under Uncertainty: The Case of Two-Argument Utility Functions69 cited
  • 1987Free riding and uncertainty56 cited
  • 1989Income and Substitution Effects for Mean-Preserving Spreads45 cited
  • 1972

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Cosumption decisions under uncertainty
44 cited

Cited by

  • 2008Slutzky equations and substitution effects of risks in terms of mean-variance preferences2 cited
  • 2016The income effect under uncertainty: A Slutsky-like decomposition with risk aversion0 cited
  • 2020Ex Post Uncertainty and the Consumer Problem0 cited