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Comparative higher-order risk aversion and higher-order prudence
16 references·1 citing·31 second hop
Comparative higher-order risk aversion and higher-order prudence (2018)Comparative higher-order risk aversion an…A note on risky targets and effort (2017)A note on risky targets and e…Precautionary self-insurance-cum-protection (2016)Precautionary self-insurance-…Increasing Downside Risk (2016)Increasing Downside RiskSubstituting one risk increase for another: A method for measuring risk aversion (2013)Substituting one risk increas…On the utility premium of Friedman and Savage (2009)On the utility premium of Fri…On the intensity of downside risk aversion (2008)On the intensity of downside …Putting Risk in Its Proper Place (2006)Putting Risk in Its Proper Pl…Higher-order generalizations of Arrow–Pratt and Ross risk aversion: A comparative statics approach (2006)Higher-order generalizations …Standard Risk Aversion (1991)Standard Risk AversionPrecautionary Saving in the Small and in the Large (1990)Precautionary Saving in the S…Precautionary Saving in the Small and in the Large (1989)Precautionary Saving in the S…Some Stronger Measures of Risk Aversion in the Small and the Large with Applications (1981)Some Stronger Measures of Ris…Increasing Nth degree risk (1980)Increasing Nth degree riskRisk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…The Utility Analysis of Choices Involving Risk (1948)The Utility Analysis of Choic…Comparing utility derivative premia under additive and multiplicative risks (2023)Comparing utility derivative …Admissibility and Measurable Utility Functions (1962)Rules for Ordering Uncertain Prospects (1969)Transfer Sensitive Inequality Measures (1987)Chapter 2 Measurement of inequality (2000)Knowing when to leap: Transitioning between exploitative and explorative R&D (2013)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)Saving and Uncertainty: The Precautionary Demand for Saving (1968)Uninsured Idiosyncratic Risk and Aggregate Saving (1994)The analysis of household surveys (1997)Understanding Consumption (1992)Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Conditional Skewness in Asset Pricing Tests (2000)Changes in risk and the demand for saving (2008)Pricing Kernels with Stochastic Skewness and Volatility Risk (2011)Consistency of Higher Order Risk Preferences (2014)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Risk as feelings. (2001)A Good Sign for Multivariate Risk Taking (2007)Higher Order Risk Attitudes, Demographics, and Financial Decisions (2013)Are Risk Preferences Stable? (2018)Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk (2000)Strategic Asset Allocation (2002)The Role of Social Capital in Financial Development (2004)Well-being : the foundations of hedonic psychology (1999)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

  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1948The Utility Analysis of Choices Involving Risk3,097 cited
  • 1990Precautionary Saving in the Small and in the Large1,850 cited
  • 1989Precautionary Saving in the Small and in the Large1,498 cited
  • 1991Standard Risk Aversion851 cited
  • 2006Putting Risk in Its Proper Place551 cited
  • 2016Increasing Downside Risk480 cited
  • 1981Some Stronger Measures of Risk Aversion in the Small and the Large with Applications450 cited
  • 1980Increasing Nth degree risk225 cited
  • 2008On the intensity of downside risk aversion116 cited
  • 2006Higher-order generalizations of Arrow–Pratt and Ross risk aversion: A comparative statics approach111 cited
  • 2013Substituting one risk increase for another: A method for measuring risk aversion49 cited
  • 2009On the utility premium of Friedman and Savage35 cited
  • 2016Precautionary self-insurance-cum-protection15 cited
  • 2017A note on risky targets and effort10 cited

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  • 2023Comparing utility derivative premia under additive and multiplicative risks1 cited