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Risk, Ambiguity, and the Separation of Utility and Beliefs
16 references·0 citing·22 second hop
Risk, Ambiguity, and the Separation of Utility and Beliefs (2001)Risk, Ambiguity, and the Separation of Ut…Subjective probability and expected utility without additivity (2004)Subjective probability and ex…A Subjective Spin on Roulette Wheels (2003)A Subjective Spin on Roulette…Utility of Gains and Losses: Measurement-Theoretical and Experimental Approaches (2000)Utility of Gains and Losses: …Maxmin Expected Utility over Savage Acts with a Set of Priors (2000)Maxmin Expected Utility over …Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …A More Robust Definition of Subjective Probability (1992)A More Robust Definition of S…A Theory of Disappointment Aversion (1991)A Theory of Disappointment Av…Subjective Probability and Expected Utility without Additivity (1989)Subjective Probability and Ex…Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …The Dual Theory of Choice under Risk (1987)The Dual Theory of Choice und…Expected utility with purely subjective non-additive probabilities (1987)Expected utility with purely …A theory of anticipated utility (1982)A theory of anticipated utili…Some remarks on measures of risk aversion and on their uses (1969)Some remarks on measures of r…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Risk, Ambiguity, and the Savage Axioms (1961)Risk, Ambiguity, and the Sava…Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine (1953)Le Comportement de l'Homme Ra…Disappointment in Decision Making Under Uncertainty (1985)Prospect theory: An analysis of decision under risk (1988)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect Theory: An Analysis of Decision under Risk (1979)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)Utility Theory for Decision Making (1971)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)A Smooth Model of Decision Making under Ambiguity (2005)Trusting the Stock Market (2005)The Framing of Decisions and the Psychology of Choice (1981)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Psychology and Economics (1997)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

  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1953Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine4,117 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 1982A theory of anticipated utility3,136 cited
  • 2004Subjective probability and expected utility without additivity2,510 cited
  • 1987The Dual Theory of Choice under Risk2,426 cited
  • 1989Subjective Probability and Expected Utility without Additivity2,308 cited
  • 1991A Theory of Disappointment Aversion1,343 cited
  • 1987Expected utility with purely subjective non-additive probabilities818 cited
  • 1992A More Robust Definition of Subjective Probability585 cited
  • 2000Utility of Gains and Losses: Measurement-Theoretical and Experimental Approaches389 cited
  • 1969Some remarks on measures of risk aversion and on their uses302 cited
  • 2003A Subjective Spin on Roulette Wheels179 cited
  • 2000

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Maxmin Expected Utility over Savage Acts with a Set of Priors
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