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Reference Dependence: Endogenous Anchors and Life-Cycle Investing
15 references·0 citing·41 second hop
Reference Dependence: Endogenous Anchors and Life-Cycle Investing (2020)Reference Dependence: Endogenous Anchors …Reference Dependence and Market Participation (2017)Reference Dependence and Mark…Explicit Representation of Cost-Efficient Strategies (2014)Explicit Representation of Co…The viscosity solutions approach to stochastic control problems (2009)The viscosity solutions appro…BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME (2008)BEHAVIORAL PORTFOLIO SELECTIO…A Model of Reference-Dependent Preferences (2006)A Model of Reference-Dependen…Stochastic Finance (2004)Stochastic FinanceA random walk down Wall Street: the time-tested strategy for successful investing (2003)A random walk down Wall Stree…Gain, Loss, and Asset Pricing (2000)Gain, Loss, and Asset PricingAdvances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Loss Aversion in Riskless Cho…Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market (1988)Inefficient Dynamic Portfolio…Distributional Analysis of Portfolio Choice (1988)Distributional Analysis of Po…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Portfolio Selection (1952)Portfolio SelectionProspect Theory: An Analysis of Decision under Risk (1979)Golden Eggs and Hyperbolic Discounting (1997)A perspective on judgment and choice: Mapping bounded rationality. (2003)Psychology and Economics: Evidence from the Field (2009)Salience Theory of Choice Under Risk (2012)Thirty Years of Prospect Theory in Economics: A Review and Assessment (2013)Aspects of the Theory of Risk-Bearing. (1966)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)The Pricing of Options and Corporate Liabilities (1973)An equilibrium characterization of the term structure (1977)Option pricing: A simplified approach (1979)Long Forward and Zero-Coupon Rates Can Never Fall (1996)Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis (2003)Choosing Outcomes versus Choosing Products: Consumer-Focused Retirement Investment Advice (2008)Prospect theory: An analysis of decision under risk (1988)Status quo bias in decision making (1988)A Theory of Fairness, Competition, and Cooperation (1999)Time Discounting and Time Preference: A Critical Review (2002)Theory of Rational Option Pricing (1973)Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets (2000)Does the choice of performance measure influence the evaluation of hedge funds? (2007)No-dynamic-arbitrage and market impact (2010)Judgment under Uncertainty: Heuristics and Biases (1975)Individual differences in reasoning: Implications for the rationality debate? (2000)PORTFOLIO CHOICE VIA QUANTILES (2010)Static portfolio choice under cumulative prospect theory (2010)Time-Inconsistent Stochastic Linear--Quadratic Control (2012)Theory of games and economic behavior (2019)Coherent multiperiod risk adjusted values and Bellman’s principle (2006)AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT (2007)Robustness and sensitivity analysis of risk measurement procedures (2010)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)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

  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1991Loss Aversion in Riskless Choice: A Reference-Dependent Model6,428 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1952Portfolio Selection4,609 cited
  • 2006A Model of Reference-Dependent Preferences2,726 cited
  • 2004Stochastic Finance701 cited
  • 2000Gain, Loss, and Asset Pricing475 cited
  • 2008BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME316 cited
  • 1988Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market246 cited
  • 1988Distributional Analysis of Portfolio Choice221 cited
  • 2003A random walk down Wall Street: the time-tested strategy for successful investing150 cited
  • 2009The viscosity solutions approach to stochastic control problems97 cited
  • 2014Explicit Representation of Cost-Efficient Strategies47 cited
  • 2017Reference Dependence and Market Participation7 cited

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