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Choosing and Using Utility Functions in Forming Portfolios
16 references·0 citing·38 second hop
Choosing and Using Utility Functions in Forming Portfolios (2018)Choosing and Using Utility Functions in F…Reference-Dependent Risk Attitudes (2007)Reference-Dependent Risk Atti…Portfolio Performance Manipulation and Manipulation-proof Performance Measures (2007)Portfolio Performance Manipul…The Term Structure of the Risk–Return Trade-Off (2005)The Term Structure of the Ris…Preferred by “All” and Preferred by “Most” Decision Makers: Almost Stochastic Dominance (2002)Preferred by “All” and Prefer…Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…Developments in Non-Expected Utility Theory: The Hunt for a Descriptive Theory of Choice under Risk (2000)Developments in Non-Expected …By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Myopic Loss Aversion and the Equity Premium Puzzle (1995)Myopic Loss Aversion and the …Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …The Equity Premium Puzzle and the Riskfree Rate Puzzle (1989)The Equity Premium Puzzle and…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Risk Analysis with Risk …An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Criteria for Choice Among Risky Ventures (1959)Criteria for Choice Among Ris…Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The equity premium: A puzzle (1985)Dynamic Asset Pricing Theory. (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Household Finance (2006)Prospect theory: An analysis of decision under risk (1988)Status quo bias in decision making (1988)Are Investors Reluctant to Realize Their Losses? (1998)A Model of Customer Satisfaction with Service Encounters Involving Failure and Recovery (1999)Investor Psychology and Asset Pricing (2001)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)Judgment under Uncertainty: Heuristics and Biases (1975)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)Debt, Deficits, and Finite Horizons (1985)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (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 Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)The Framing of Decisions and the Psychology of Choice (1981)Risk as feelings. (2001)Time Discounting and Time Preference: A Critical Review (2002)The Adaptive Markets Hypothesis (2004)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Business conditions and expected returns on stocks and bonds (1989)Predictive regressions (1999)International Asset Allocation With Regime Shifts (2002)Presidential Address: Discount Rates (2011)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)
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References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1995Myopic Loss Aversion and the Equity Premium Puzzle2,486 cited
  • 2000Developments in Non-Expected Utility Theory: The Hunt for a Descriptive Theory of Choice under Risk1,902 cited
  • 1989The Equity Premium Puzzle and the Riskfree Rate Puzzle1,663 cited
  • 2000Investing for the Long Run when Returns Are Predictable1,372 cited
  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 2007Reference-Dependent Risk Attitudes1,028 cited
  • 2007Portfolio Performance Manipulation and Manipulation-proof Performance Measures649 cited
  • 1959Criteria for Choice Among Risky Ventures401 cited
  • 2002Preferred by “All” and Preferred by “Most” Decision Makers: Almost Stochastic Dominance

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  • 2005The Term Structure of the Risk–Return Trade-Off300 cited
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