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Reformulating prospect theory to become a von Neumann–Morgenstern theory
16 references·2 citing·31 second hop
Reformulating prospect theory to become a von Neumann–Morgenstern theory (2020)Reformulating prospect theory to become a…Mental Accounting and Consumer Choice (2008)Mental Accounting and Consume…Volume, Volatility, Price, and Profit When All Traders Are Above Average (1998)Volume, Volatility, Price, an…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: …Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …The equity premium: A puzzle (1985)The equity premium: A puzzleThe Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)The Disposition to Sell Winne…Mental Accounting and Consumer Choice (1985)Mental Accounting and Consume…The Framing of Decisions and the Psychology of Choice (1981)The Framing of Decisions and …Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…The Utility of Wealth (1952)The Utility of WealthHarry Markowitz’s contributions to utility theory (2024)Harry Markowitz’s contributio…Cube Root Utility Theory (2022)Cube Root Utility TheoryJudgment 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)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Judgment under Uncertainty: Heuristics and Biases (1974)Perception of Risk (1987)Toward a Theory of Situation Awareness in Dynamic Systems (1995)Framing Processes and Social Movements: An Overview and Assessment (2000)Risk, Ambiguity, and the Savage Axioms (1961)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)Are Investors Reluctant to Realize Their Losses? (1998)Instructional manipulation checks: Detecting satisficing to increase statistical power (2009)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

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1981The Framing of Decisions and the Psychology of Choice17,834 cited
  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1985Mental Accounting and Consumer Choice4,875 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1985The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence3,550 cited
  • 2008Mental Accounting and Consumer Choice3,415 cited
  • 1995Myopic Loss Aversion and the Equity Premium Puzzle2,486 cited
  • 1998Volume, Volatility, Price, and Profit When All Traders Are Above Average1,980 cited
  • 1952The Utility of Wealth1,845 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*

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  • 2024Harry Markowitz’s contributions to utility theory1 cited
  • 2022Cube Root Utility Theory1 cited