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A Precautionary Tale of Risk Aversion and Prudence
16 references·10 citing·33 second hop
A Precautionary Tale of Risk Aversion and Prudence (1994)A Precautionary Tale of Risk Aversion and…Theory of games and economic behavior (2019)Theory of games and economic …Standard Risk Aversion (1991)Standard Risk AversionPrecautionary 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…Aversion to one risk in the presence of others (1988)Aversion to one risk in the p…Proper Risk Aversion (1987)Proper Risk AversionA Class of Utility Functions Containing all the Common Utility Functions (1987)A Class of Utility Functions …Preservation of “more risk averse” under expectations (1982)Preservation of “more risk av…Risk Aversion with Random Initial Wealth (1981)Risk Aversion with Random Ini…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Consumption decisions under uncertainty (1972)Consumption decisions under u…The Effect of Uncertainty on Saving Decisions (1970)The Effect of Uncertainty on …Aspects of the Theory of Risk Bearing--Yrjo Jahnsson Lectures (1969)Aspects of the Theory of Risk…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Theory of Games and Economic Behavior (1945)Theory of Games and Economic …Downside Risk Aversion and the Downside Risk Premium (2018)Downside Risk Aversion and th…Consumption, Risk, and Prioritarianism (2014)Consumption, Risk, and Priori…On multivariate prudence (2013)On multivariate prudenceOn Downside Risk Aversion Measures (2012)On Downside Risk Aversion Mea…On Multivariate Prudence (2011)On Multivariate PrudencePrudence probability premium (2010)Prudence probability premiumOn the relationship between absolute prudence and absolute risk aversion (2006)On the relationship between a…Cautiousness and Tendency to Buy Options (2004)Cautiousness and Tendency to …Relationships between Risk Aversion, Prudence and Cautiousness (2001)Relationships between Risk Av…Prudence, Demand Uncertainty, Background Risk, and the Law of Supply: A Nonexpected Utility Approach to the Firm* (1997)Prudence, Demand Uncertainty,…Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)Theory of Value (1959)Saving and Uncertainty: The Precautionary Demand for Saving (1968)THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE (1988)The Equity Premium Puzzle and the Riskfree Rate Puzzle (1989)DO NATURAL DISASTERS PROMOTE LONG‐RUN GROWTH? (2002)Understanding Consumption (1992)Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Conditional Skewness in Asset Pricing Tests (2000)Macroeconomic determinants of growth: Cross-country evidence (1985)An empirical analysis of cross-national economic growth, 1951–1980 (1989)The Buffer-Stock Theory of Saving: Some Macroeconomic Evidence (1992)Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk (2000)Strategic Asset Allocation (2002)The Role of Social Capital in Financial Development (2004)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Non-cooperative games (1989)Correlated Equilibrium as an Expression of Bayesian Rationality (1987)Multiagent systems: algorithmic, game-theoretic, and logical foundations (2009)Evolutionary Game Theory (2011)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

  • 2019Theory of games and economic behavior16,630 cited
  • 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
  • 1945Theory of Games and Economic Behavior3,887 cited
  • 1990Precautionary Saving in the Small and in the Large1,850 cited
  • 1989Precautionary Saving in the Small and in the Large1,498 cited
  • 1970The Effect of Uncertainty on Saving Decisions923 cited
  • 1991Standard Risk Aversion851 cited
  • 1972Consumption decisions under uncertainty583 cited
  • 1987Proper Risk Aversion540 cited
  • 1981Risk Aversion with Random Initial Wealth235 cited
  • 1969Aspects of the Theory of Risk Bearing--Yrjo Jahnsson Lectures174 cited
  • 1987A Class of Utility Functions Containing all the Common Utility Functions136 cited
  • 1982Preservation of “more risk averse” under expectations112 cited
  • 1988Aversion to one risk in the presence of others

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109 cited

Cited by

  • 2013On multivariate prudence16 cited
  • 2010Prudence probability premium15 cited
  • 2006On the relationship between absolute prudence and absolute risk aversion14 cited
  • 2001Relationships between Risk Aversion, Prudence and Cautiousness10 cited
  • 2018Downside Risk Aversion and the Downside Risk Premium4 cited
  • 2004Cautiousness and Tendency to Buy Options3 cited
  • 2014Consumption, Risk, and Prioritarianism3 cited
  • 2012On Downside Risk Aversion Measures3 cited
  • 2011On Multivariate Prudence2 cited
  • 1997Prudence, Demand Uncertainty, Background Risk, and the Law of Supply: A Nonexpected Utility Approach to the Firm*0 cited