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Risk preference and indirect utility in portfolio-choice problems
9 references·1 citing·31 second hop
Risk preference and indirect utility in portfolio-choice problems (1996)Risk preference and indirect utility in p…Absolute and relative risk aversion: An experimental study (1994)Absolute and relative risk av…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966. (1975)OPTIMAL INVESTMENT AND CONSUM…Multiperiod Consumption-Investment Decisions (1975)Multiperiod Consumption-Inves…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…Multiperiod consumption-investment decisions and risk preference (1971)Multiperiod consumption-inves…Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions (1970)Optimal Investment and Consum…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…Rent Seeking Contest and Indirect Risk Preference (2013)Rent Seeking Contest and Indi…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)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Session Topic: Individual Investors and Mutual Funds (1974)On the role of consumption and decreasing absolute risk aversion in the theory of job search (1977)Efficient Allocations with Hidden Income and Hidden Storage (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)GENDER‐BASED RISK AVERSION AND RETIREMENT ASSET ALLOCATION (2010)“Last-Place Aversion”: Evidence and Redistributive Implications * (2013)\nRankings and Risk-Taking in the Finance Industry (2018)The Rise and Decline of Nations: Economic Growth, Stagflation, and Social Rigidities (1982)The Rise and Decline of Nations: Economic Growth, Stagflation, and Social Rigidities (1983)The Rise and Decline of Nations. (1983)Theory of Games and Economic Behavior (1946)ON THE THEORY OF FINANCIAL INTERMEDIATION (1971)An Asymptotic Theory of Growth Under Uncertainty (1975)Modern portfolio theory, 1950 to date (2011)On the measurement of inequality (1970)Risk Aversion and Incentive Effects (2002)Moral Hazard and Observability (1979)The New Institutional Economics: Taking Stock, Looking Ahead (2000)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods (1974)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

References

  • 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
  • 1966Aspects of the Theory of Risk-Bearing.1,888 cited
  • 1975Multiperiod Consumption-Investment Decisions448 cited
  • 1970Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions347 cited
  • 1975OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966.347 cited
  • 1994Absolute and relative risk aversion: An experimental study192 cited
  • 1971Multiperiod consumption-investment decisions and risk preference37 cited

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  • 2013Rent Seeking Contest and Indirect Risk Preference1 cited

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