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Comparative risk aversion: A formal approach with applications to saving behavior
16 references·16 citing·29 second hopsampled
Comparative risk aversion: A formal approach with applications to saving behavior (2010)Comparative risk aversion: A formal appro…On the Simple Economics of Advertising, Marketing, and Product Design (2006)On the Simple Economics of Ad…Ambiguity Made Precise: A Comparative Foundation (2002)Ambiguity Made Precise: A Com…Solutions manual for Microeconomic theory : Mas-Colell, Whinston and Green (1997)Solutions manual for Microeco…Precautionary Saving in the Small and in the Large (1990)Precautionary Saving in the S…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Precautionary Saving in the Small and in the Large (1989)Precautionary Saving in the S…The Dual Theory of Choice under Risk (1987)The Dual Theory of Choice und…A theory of anticipated utility (1982)A theory of anticipated utili…Temporal 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…Consumption decisions under uncertainty (1972)Consumption decisions under u…Utility Theory for Decision Making (1971)Utility Theory for Decision M…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…The Self-Protection Problem (2024)The Self-Protection ProblemOptimal self‐protection and health risk perceptions: Exploring connections between risk theory and the Health Belief Model (2024)Optimal self‐protection and h…Concave/convex weighting and utility functions for risk: A new light on classical theorems (2021)Concave/convex weighting and …UNCERTAINTY AVOIDANCE, RISK AVOIDANCE AND PERCEIVED RISK: A CULTURAL PERSPECTIVE OF INDIVIDUAL INVESTORS (2019)UNCERTAINTY AVOIDANCE, RISK A…Non-stationary additive utility and time consistency (2019)Non-stationary additive utili…Comparative Risk Aversion in Two Periods: An Application to Self-Insurance and Self-Protection (2019)Comparative Risk Aversion in …Risk Aversion and Precautionary Savings in Dynamic Settings (2018)Risk Aversion and Precautiona…Revisiting precautionary saving under ambiguity (2018)Revisiting precautionary savi…Risk attitudes in axiomatic decision theory: a conceptual perspective (2017)Risk attitudes in axiomatic d…Comparing uncertainty aversion towards different sources (2016)Comparing uncertainty aversio…A rank-dependent utility model of uncertain lifetime (2015)A rank-dependent utility mode…Too risk averse to purchase insurance? (2014)Too risk averse to purchase i…Nonparametric comparative revealed risk aversion (2014)Nonparametric comparative rev…Risk aversion in the Eurozone (2013)Risk aversion in the EurozoneLIFE-CYCLE PREFERENCES REVISITED (2013)LIFE-CYCLE PREFERENCES REVISI…Too Risk Averse to Purchase Insurance? A Theoretical Glance at the Annuity Puzzle (2012)Too Risk Averse to Purchase I…Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Dynamic Asset Pricing Theory. (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)RATIONAL CHOICE AND THE FRAMING OF DECISIONS (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Individual differences in reasoning: Implications for the rationality debate? (2000)Theory of games and economic behavior (2019)Subjective probability and expected utility without additivity (2004)The Framing of Decisions and the Psychology of Choice (1981)Maxmin expected utility with non-unique prior (1989)Time Discounting and Time Preference: A Critical Review (2002)Understanding Consumption (1992)Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Conditional Skewness in Asset Pricing Tests (2000)The Buffer-Stock Theory of Saving: Some Macroeconomic Evidence (1992)DO NATURAL DISASTERS PROMOTE LONG‐RUN GROWTH? (2002)A Smooth Model of Decision Making under Ambiguity (2005)Expected Stock Returns and Variance Risk Premia (2009)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)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
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1982A theory of anticipated utility3,136 cited
  • 1971Utility Theory for Decision Making2,460 cited
  • 1987The Dual Theory of Choice under Risk2,426 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
  • 1997Solutions manual for Microeconomic theory : Mas-Colell, Whinston and Green966 cited
  • 1970The Effect of Uncertainty on Saving Decisions923 cited
  • 2006On the Simple Economics of Advertising, Marketing, and Product Design633 cited
  • 1972Consumption decisions under uncertainty583 cited
  • 2002Ambiguity Made Precise: A Comparative Foundation483 cited
  • 1974Risk aversion with many commodities

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394 cited

Cited by

  • 2018Risk Aversion and Precautionary Savings in Dynamic Settings40 cited
  • 2013LIFE-CYCLE PREFERENCES REVISITED38 cited
  • 2014Too risk averse to purchase insurance?37 cited
  • 2013Risk aversion in the Eurozone31 cited
  • 2018Revisiting precautionary saving under ambiguity22 cited
  • 2019UNCERTAINTY AVOIDANCE, RISK AVOIDANCE AND PERCEIVED RISK: A CULTURAL PERSPECTIVE OF INDIVIDUAL INVESTORS19 cited
  • 2019Comparative Risk Aversion in Two Periods: An Application to Self-Insurance and Self-Protection18 cited
  • 2014Nonparametric comparative revealed risk aversion17 cited
  • 2019Non-stationary additive utility and time consistency16 cited
  • 2012Too Risk Averse to Purchase Insurance? A Theoretical Glance at the Annuity Puzzle16 cited
  • 2024Optimal self‐protection and health risk perceptions: Exploring connections between risk theory and the Health Belief Model13 cited
  • 2015A rank-dependent utility model of uncertain lifetime11 cited
  • 2024The Self-Protection Problem9 cited
  • 2021Concave/convex weighting and utility functions for risk: A new light on classical theorems8 cited
  • 2016Comparing uncertainty aversion towards different sources7 cited
  • 2017Risk attitudes in axiomatic decision theory: a conceptual perspective6 cited