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Revisiting precautionary saving under ambiguity
16 references·4 citing·28 second hop
Revisiting precautionary saving under ambiguity (2018)Revisiting precautionary saving under amb…Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion (2011)Portfolio Choices and Asset P…Recursive smooth ambiguity preferences (2009)Recursive smooth ambiguity pr…Precautionary Saving and Consumption Smoothing across Time and Possibilities (2009)Precautionary Saving and Cons…Changes in risk and the demand for saving (2008)Changes in risk and the deman…A Smooth Model of Decision Making under Ambiguity (2005)A Smooth Model of Decision Ma…A Smooth Model of Decision Making Under Ambiguity (2003)A Smooth Model of Decision Ma…Precautionary 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…Increasing Nth degree risk (1980)Increasing Nth degree riskTemporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…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…The Effect of Uncertainty on Saving Decisions (1970)The Effect of Uncertainty on …Saving and Uncertainty: The Precautionary Demand for Saving (1968)Saving and Uncertainty: The P…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…Precautionary saving under anticipated regret (2025)Precautionary saving under an…Optimal Consumption Under Smooth Ambiguity (2025)Optimal Consumption Under Smo…Mean-preserving capacities: A tractable class of Choquet capacities (2025)Mean-preserving capacities: A…The theory of precautionary saving: an overview of recent developments (2019)The theory of precautionary s…Maxmin expected utility with non-unique prior (1989)Subjective probability and expected utility without additivity (2004)Objective and Subjective Rationality in a Multiple Prior Model (2010)Axiomatic Foundations of Multiplier Preferences (2011)Is economic uncertainty priced in the cross-section of stock returns? (2017)Utility Theory for Decision Making (1971)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Expected Stock Returns and Variance Risk Premia (2009)Understanding Consumption (1992)Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Conditional Skewness in Asset Pricing Tests (2000)Macroeconomic determinants of growth: Cross-country evidence (1985)An empirical analysis of cross-national economic growth, 1951–1980 (1989)The Buffer-Stock Theory of Saving: Some Macroeconomic Evidence (1992)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)DO NATURAL DISASTERS PROMOTE LONG‐RUN GROWTH? (2002)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)Uninsured Idiosyncratic Risk and Aggregate Saving (1994)The analysis of household surveys (1997)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Risk Aversion in the Laboratory (2008)Sensitivity analysis: A review of recent advances (2015)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

  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 2005A Smooth Model of Decision Making under Ambiguity1,889 cited
  • 1990Precautionary Saving in the Small and in the Large1,850 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
  • 1989Precautionary Saving in the Small and in the Large1,498 cited
  • 1968Saving and Uncertainty: The Precautionary Demand for Saving1,376 cited
  • 1970The Effect of Uncertainty on Saving Decisions923 cited
  • 2003A Smooth Model of Decision Making Under Ambiguity434 cited
  • 2009Recursive smooth ambiguity preferences395 cited
  • 1974Risk aversion with many commodities394 cited
  • 2011Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion237 cited
  • 1980Increasing Nth degree risk225 cited
  • 2008Changes in risk and the demand for saving196 cited
  • 2009Precautionary Saving and Consumption Smoothing across Time and Possibilities

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  • 2019The theory of precautionary saving: an overview of recent developments78 cited
  • 2025Precautionary saving under anticipated regret2 cited
  • 2025Mean-preserving capacities: A tractable class of Choquet capacities1 cited
  • 2025Optimal Consumption Under Smooth Ambiguity1 cited