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Optimal Underwriting Contracts in Securities Issuance Under Rank-Dependent Expected Utility
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Optimal Underwriting Contracts in Securities Issuance Under Rank-Dependent Expected Utility (2018)Optimal Underwriting Contracts in Securit…Subjective probability and expected utility without additivity (2004)Subjective probability and ex…Stochastic Finance (2004)Stochastic FinanceOptimal risk-sharing rules and equilibria with Choquet-expected-utility (2000)Optimal risk-sharing rules an…Risk seeking with diminishing marginal utility in a non-expected utility model (1994)Risk seeking with diminishing…Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion (1994)Co-monotone allocations, Bick…Generalized Expected Utility Theory (1993)Generalized Expected Utility …Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …Subjective Probability and Expected Utility without Additivity (1989)Subjective Probability and Ex…Choosing Between Risky Prospects: The Characterization of Comparative Statics Results, and Location Independent Risk (1989)Choosing Between Risky Prospe…The Dual Theory of Choice under Risk (1987)The Dual Theory of Choice und…Risk aversion in the theory of expected utility with rank dependent probabilities (1987)Risk aversion in the theory o…A theory of anticipated utility (1982)A theory of anticipated utili…A Model of the Demand for Investment Banking Advising and Distribution Services for New Issues (1982)A Model of the Demand for Inv…"Expected Utility" Analysis without the Independence Axiom (1982)"Expected Utility" Analysis w…The Investment Banking Contract For New Issues Under Asymmetric Information: Delegation And The Incentive Problem (1980)The Investment Banking Contra…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Judgment under Uncertainty: Heuristics and Biases (1975)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)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)RATIONAL CHOICE AND THE FRAMING OF DECISIONS (1988)Theory of games and economic behavior (2019)Utility Theory for Decision Making (1971)Psychology and Economics (1997)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)Theory of Financial Decision Making. (1988)Why new issues are underpriced (1986)Why Has IPO Underpricing Changed Over Time (2004)Politically connected CEOs, corporate governance, and Post-IPO performance of China's newly partially privatized firms☆ (2007)Prospect Theory: Much Ado About Nothing? (2002)Household Portfolio Diversification: A Case for Rank-Dependent Preferences (2005)Risk measures and comonotonicity (2006)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)A Smooth Model of Decision Making under Ambiguity (2005)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)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

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  • 1982A theory of anticipated utility3,136 cited
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  • 1994Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion161 cited
  • 1994Risk seeking with diminishing marginal utility in a non-expected utility model

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160 cited
  • 1989Choosing Between Risky Prospects: The Characterization of Comparative Statics Results, and Location Independent Risk142 cited
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