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Dual Moments and Risk Attitudes
16 references·3 citing·34 second hop
Dual Moments and Risk Attitudes (2021)Dual Moments and Risk AttitudesNew Measures for Performance Evaluation (2008)New Measures for Performance …Putting Risk in Its Proper Place (2006)Putting Risk in Its Proper Pl…Economic and Financial Decisions under Risk (2005)Economic and Financial Decisi…Risk Aversion and Incentive Effects (2002)Risk Aversion and Incentive E…Parameter-Free Elicitation of Utility and Probability Weighting Functions (2000)Parameter-Free Elicitation of…Nonparametric risk management and implied risk aversion (2000)Nonparametric risk management…The Probability Weighting Function (1998)The Probability Weighting Fun…Curvature of the Probability Weighting Function (1996)Curvature of the Probability …Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …First order versus second order risk aversion (1990)First order versus second ord…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…A theory of anticipated utility (1982)A theory of anticipated utili…Some Stronger Measures of Risk Aversion in the Small and the Large with Applications (1981)Some Stronger Measures of Ris…On the measurement of inequality (1970)On the measurement of inequal…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Probabilistic risk aversion for generalized rank-dependent functions (2024)Probabilistic risk aversion f…Editorial to the special issue on Behavioral Insurance: Mathematics and Economics (2021)Editorial to the special issu…Fast and Simple Adaptive Elicitations: Experimental Test for Probability Weighting (2020)Fast and Simple Adaptive Elic…Aspects of the Theory of Risk-Bearing. (1966)On Economic Inequality (1973)Risk Aversion in the Small and in the Large (1976)A Class of Decomposable Poverty Measures (1984)The Dimensions of Residential Segregation (1988)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Individual differences in reasoning: Implications for the rationality debate? (2000)A perspective on judgment and choice: Mapping bounded rationality. (2003)RATIONAL CHOICE AND THE FRAMING OF DECISIONS (1988)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)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Empirical pricing kernels (2002)Option‐Implied Risk Aversion Estimates (2004)Information demand and stock market volatility (2012)The Econometrics of Financial Markets (2012)Weighing risk and uncertainty. (1995)On the Shape of the Probability Weighting Function (1999)Salience Theory of Choice Under Risk (2012)Developments in Non-Expected Utility Theory: The Hunt for a Descriptive Theory of Choice under Risk (2000)Risk as feelings. (2001)Money, Kisses, and Electric Shocks: On the Affective Psychology of Risk (2001)Decision by sampling (2006)Loss Aversion Under Prospect Theory: A Parameter-Free Measurement (2007)Oxytocin increases trust in humans (2005)Gender Differences in Preferences (2009)INDIVIDUAL RISK ATTITUDES: MEASUREMENT, DETERMINANTS, AND BEHAVIORAL CONSEQUENCES (2011)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

  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1970On the measurement of inequality6,456 cited
  • 2002Risk Aversion and Incentive Effects5,973 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1982A theory of anticipated utility3,136 cited
  • 1987The Dual Theory of Choice under Risk2,426 cited
  • 1998The Probability Weighting Function1,998 cited
  • 1996Curvature of the Probability Weighting Function990 cited
  • 2000Parameter-Free Elicitation of Utility and Probability Weighting Functions926 cited
  • 2000Nonparametric risk management and implied risk aversion740 cited
  • 2006Putting Risk in Its Proper Place551 cited
  • 1981Some Stronger Measures of Risk Aversion in the Small and the Large with Applications450 cited
  • 1987Risk aversion in the theory of expected utility with rank dependent probabilities430 cited
  • 1990First order versus second order risk aversion401 cited
  • 2005Economic and Financial Decisions under Risk380 cited
  • 2008New Measures for Performance Evaluation

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  • 2020Fast and Simple Adaptive Elicitations: Experimental Test for Probability Weighting4 cited
  • 2021Editorial to the special issue on Behavioral Insurance: Mathematics and Economics3 cited
  • 2024Probabilistic risk aversion for generalized rank-dependent functions2 cited