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Comparative statics under uncertainty: The case of mean-variance preferences
16 references·6 citing·32 second hop
Comparative statics under uncertainty: The case of mean-variance preferences (2003)Comparative statics under uncertainty: Th…Two-Moment Decision Models and Expected Utility Maximization (2016)Two-Moment Decision Models an…The Economics of Risk and Time (2001)The Economics of Risk and TimeVariance vs downside risk: Is there really that much difference? (1999)Variance vs downside risk: Is…Risk Vulnerability and the Tempering Effect of Background Risk (1996)Risk Vulnerability and the Te…Changes in Background Risk and Risk Taking Behavior (1996)Changes in Background Risk an…Risk, Return, Skewness and Preference (1992)Risk, Return, Skewness and Pr…Standard Risk Aversion (1991)Standard Risk AversionPrecautionary 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…Economic Decisions Under Uncertainty (1989)Economic Decisions Under Unce…On the Class of Elliptical Distributions and their Applications to the Theory of Portfolio Choice (1983)On the Class of Elliptical Di…A characterization of the distributions that imply mean—Variance utility functions (1983)A characterization of the dis…Increasing risk II: Its economic consequences (1971)Increasing risk II: Its econo…A Note on Uncertainty and Indifference Curves (1969)A Note on Uncertainty and Ind…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Precautionary saving in mean-variance models and different sources of risk (2020)Precautionary saving in mean-…ON THE CONCAVITY AND QUASICONCAVITY PROPERTIES OF UTILITY FUNCTIONS (2015)ON THE CONCAVITY AND QUASICON…Notes and Comments: Measures of risk attitude: correspondences between mean-variance and expected-utility approaches (2005)Notes and Comments: Measures …Relative Risk Aversion, Relative Prudence and Comparative Statics under Uncertainty: The Case of (mu,sigma)-Preferences (2004)Relative Risk Aversion, Relat…Comparative statics of properness in two-moment decision models (2004)Comparative statics of proper…Pensions as a portfolio problem: fixed contribution rates vs. fixed replacement rates reconsidered (2003)Pensions as a portfolio probl…Essays in the Theory of Risk-Bearing. (1972)Risk Aversion in the Small and in the Large (1976)Strategic Asset Allocation (2002)Idiosyncratic Risk Matters! (2003)Eliciting Risk and Time Preferences (2008)Theory of games and economic behavior (2019)Risk Aversion in the Small and in the Large (1964)Optimal rules for ordering uncertain prospects (1975)Net Health Benefits (1998)Stochastic Volatility for Lévy Processes (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)The specification of conditional expectations (2001)Optimal Portfolio Allocation under Higher Moments (2006)Saving and Uncertainty: The Precautionary Demand for Saving (1968)Uninsured Idiosyncratic Risk and Aggregate Saving (1994)The analysis of household surveys (1997)Understanding Consumption (1992)Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Conditional Skewness in Asset Pricing Tests (2000)A Theory of the Welfare State (1994)What You Don't Know About Customer-Perceived Quality: The Role of Customer Expectation Distributions (1999)Ex Post Liability for Harm vs. Ex Ante Safety Regulation: Substitutes or Complements? (2018)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Risk Aversion in the Laboratory (2008)Risk-Taking Behavior in the Wake of Natural Disasters (2012)Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk (2000)The Role of Social Capital in Financial Development (2004)The Cross-Section of Expected Stock Returns (1992)
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References

  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1990Precautionary Saving in the Small and in the Large1,850 cited
  • 1989Precautionary Saving in the Small and in the Large1,498 cited
  • 2001The Economics of Risk and Time1,361 cited
  • 1971Increasing risk II: Its economic consequences1,082 cited
  • 1991Standard Risk Aversion851 cited
  • 1996Risk Vulnerability and the Tempering Effect of Background Risk765 cited
  • 2016Two-Moment Decision Models and Expected Utility Maximization590 cited
  • 1983A characterization of the distributions that imply mean—Variance utility functions435 cited
  • 1983On the Class of Elliptical Distributions and their Applications to the Theory of Portfolio Choice372 cited
  • 1996Changes in Background Risk and Risk Taking Behavior353 cited
  • 1969A Note on Uncertainty and Indifference Curves297 cited
  • 1999Variance vs downside risk: Is there really that much difference?281 cited
  • 1989Economic Decisions Under Uncertainty188 cited
  • 1992Risk, Return, Skewness and Preference

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  • 2003Pensions as a portfolio problem: fixed contribution rates vs. fixed replacement rates reconsidered41 cited
  • 2020Precautionary saving in mean-variance models and different sources of risk22 cited
  • 2005Notes and Comments: Measures of risk attitude: correspondences between mean-variance and expected-utility approaches12 cited
  • 2004Relative Risk Aversion, Relative Prudence and Comparative Statics under Uncertainty: The Case of (mu,sigma)-Preferences6 cited
  • 2015ON THE CONCAVITY AND QUASICONCAVITY PROPERTIES OF UTILITY FUNCTIONS3 cited
  • 2004Comparative statics of properness in two-moment decision models3 cited