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Diversification and Risk Aversion with Two Risks
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THE EFFECT OF HEALTH ON THE MARGINAL UTILITY OF CONSUMPTION (2008)WHAT GOOD IS WEALTH WITHOUT H…A Good Sign for Multivariate Risk Taking (2007)A Good Sign for Multivariate …Prudence and optimal prevention for health risks (2006)Prudence and optimal preventi…Exploring the health–wealth nexus (2003)Exploring the health–wealth n…On risk aversion with two risks (1999)On risk aversion with two ris…Healthy Bodies and Thick Wallets: The Dual Relation Between Health and Economic Status (1999)Healthy Bodies and Thick Wall…Alternative approaches to valuing intangible health losses: the evidence for multiple sclerosis (1998)Alternative approaches to val…New evidence on the relationship between income and health (1996)New evidence on the relations…Utility Functions that Depend on Health Status: Estimates and Economic Implications (1990)Utility Functions that Depend…Aversion to one risk in the presence of others (1988)Aversion to one risk in the p…Expectation dependence of random variables, with an application in portfolio theory (1987)Expectation dependence of ran…Multivariate Risk Aversion, Utility Independence and Separable Utility Functions (1975)Multivariate Risk Aversion, U…Aspects of the Theory of Risk-Bearing. 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(2009)Testing for Prudence and Skewness Seeking (2011)The Long-Run Discount Rate Controversy (2014)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)On the measurement of inequality (1970)Risk Aversion and Incentive Effects (2002)A perspective on judgment and choice: Mapping bounded rationality. (2003)Maps of Bounded Rationality: Psychology for Behavioral Economics (2003)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

  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1954Exposition of a New Theory on the Measurement of Risk2,787 cited
  • 1966Aspects of the Theory of Risk-Bearing.1,888 cited
  • 1999Healthy Bodies and Thick Wallets: The Dual Relation Between Health and Economic Status1,786 cited
  • 1996New evidence on the relationship between income and health740 cited
  • 2008WHAT GOOD IS WEALTH WITHOUT HEALTH? THE EFFECT OF HEALTH ON THE MARGINAL UTILITY OF CONSUMPTION570 cited
  • 1990Utility Functions that Depend on Health Status: Estimates and Economic Implications531 cited
  • 2003Exploring the health–wealth nexus355 cited
  • 1975Multivariate Risk Aversion, Utility Independence and Separable Utility Functions288 cited
  • 2007A Good Sign for Multivariate Risk Taking242 cited
  • 1998Alternative approaches to valuing intangible health losses: the evidence for multiple sclerosis164 cited
  • 1988Aversion to one risk in the presence of others109 cited
  • 1987Expectation dependence of random variables, with an application in portfolio theory83 cited
  • 2010The demand for a risky asset in the presence of a background risk75 cited
  • 2006Prudence and optimal prevention for health risks

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68 cited
  • 1999On risk aversion with two risks59 cited
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