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The risk aversion measure without the independence axiom
13 references·7 citing·34 second hop
The risk aversion measure without the independence axiom (1988)The risk aversion measure without the ind…Choice Under Uncertainty: Problems Solved and Unsolved (1992)Choice Under Uncertainty: Pro…The Dual Theory of Choice under Risk (1987)The Dual Theory of Choice und…Risk aversion in the theory of expected utility with rank dependent probabilities (1987)Risk aversion in the theory o…Risk Aversion in Quiggin and Yaari's Rank-Order Model of Choice Under Uncertainty (1987)Risk Aversion in Quiggin and …Choice Under Uncertainty: Problems Solved and Unsolved (1987)Choice Under Uncertainty: Pro…A theory of anticipated utility (1982)A theory of anticipated utili…Risk Aversion and Consumer Preferences (1977)Risk Aversion and Consumer Pr…Risk 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…Risk Aversion and Demand Functions (1973)Risk Aversion and Demand Func…Behavior Towards Risk with Many Commodities (1969)Behavior Towards Risk with Ma…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…The price for information about probabilities and its relation with risk and ambiguity (2011)The price for information abo…Does Uncertainty Vanish in the Small? The Smooth Ambiguity Case (2011)Does Uncertainty Vanish in th…De Finetti and the Arrow-Pratt measure of risk aversion (2009)De Finetti and the Arrow-Prat…Risk and Uncertainty Aversion with Reference to the Theories Of Expected Utility, Rank Dependent Expected Utility, and Choquet Expected Utility. (1999)Risk and Uncertainty Aversion…Nondegenerate Intervals of No-Trade Prices for Risk Averse Traders (1999)Nondegenerate Intervals of No…Non-Additive Probabilities and the Measure of Uncertainty and Risk Aversion: A Proposal (1994)Non-Additive Probabilities an…A Comparison Of Two Definitions Of Risk Aversion (1991)A Comparison Of Two Definitio…Essays in the Theory of Risk-Bearing. (1972)First order versus second order risk aversion (1990)An axiomatization of cumulative prospect theory (1993)Risk Aversion in the Laboratory (2008)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)RATIONAL CHOICE AND THE FRAMING OF DECISIONS (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Individual differences in reasoning: Implications for the rationality debate? (2000)Theory of games and economic behavior (2019)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Subjective probability and expected utility without additivity (2004)Judgment under Uncertainty: Heuristics and Biases (1974)International Norm Dynamics and Political Change (1998)The Institutional Dynamics of International Political Orders (1998)Anomalies: Risk Aversion (2001)On Economic Inequality (1973)Ordering risks: Expected utility theory versus Yaari's dual theory of risk (1998)Deviation Measures in Risk Analysis and Optimization (2003)The fundamental risk quadrangle in risk management, optimization and statistical estimation (2013)Risk, Ambiguity, and the Savage Axioms (1961)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Why do people pay taxes? (1992)The irrelevance of inference: a decision-making approach to the stochastic evaluation of health care technologies (1999)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)On the measurement of inequality (1970)Risk Aversion and Incentive Effects (2002)Optimal consumption–portfolio choices and retirement planning (2003)The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks (2012)Principles of Financial Economics (2014)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)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

  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1982A theory of anticipated utility3,136 cited
  • 1987The Dual Theory of Choice under Risk2,426 cited
  • 1966Aspects of the Theory of Risk-Bearing.1,888 cited
  • 1992Choice Under Uncertainty: Problems Solved and Unsolved948 cited
  • 1987Choice Under Uncertainty: Problems Solved and Unsolved878 cited
  • 1987Risk aversion in the theory of expected utility with rank dependent probabilities430 cited
  • 1974Risk aversion with many commodities394 cited
  • 1987Risk Aversion in Quiggin and Yaari's Rank-Order Model of Choice Under Uncertainty136 cited
  • 1969Behavior Towards Risk with Many Commodities130 cited
  • 1977Risk Aversion and Consumer Preferences81 cited
  • 1973Risk Aversion and Demand Functions32 cited

Cited by

  • 1999Risk and Uncertainty Aversion with Reference to the Theories Of Expected Utility, Rank Dependent Expected Utility, and Choquet Expected Utility.10 cited
  • 2011The price for information about probabilities and its relation with risk and ambiguity9 cited

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  • 2009De Finetti and the Arrow-Pratt measure of risk aversion6 cited
  • 2011Does Uncertainty Vanish in the Small? The Smooth Ambiguity Case6 cited
  • 1994Non-Additive Probabilities and the Measure of Uncertainty and Risk Aversion: A Proposal6 cited
  • 1999Nondegenerate Intervals of No-Trade Prices for Risk Averse Traders1 cited
  • 1991A Comparison Of Two Definitions Of Risk Aversion0 cited