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Arbitrage, rationality, and equilibrium
16 references·16 citing·26 second hopsampled
Arbitrage, rationality, and equilibrium (1991)Arbitrage, rationality, and equilibriumValuation: Measuring and Managing the Value of Companies. (1991)Valuation: Measuring and Mana…Correlated Equilibrium as an Expression of Bayesian Rationality (1987)Correlated Equilibrium as an …An Evolutionary Theory of Economic Change (1983)An Evolutionary Theory of Eco…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…The valuation of options for alternative stochastic processes (1976)The valuation of options for …The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Subjectivity and correlation in randomized strategies (1974)Subjectivity and correlation …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Theory of Syndicates (1968)The Theory of SyndicatesGames with Incomplete Information Played by “Bayesian” Players, I–III Part I. The Basic Model (1967)Games with Incomplete Informa…Risk, Ambiguity, and the Savage Axioms (1961)Risk, Ambiguity, and the Sava…A BEHAVIORAL MODEL OF RATIONAL CHOICE (1955)A BEHAVIORAL MODEL OF RATIONA…Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine (1953)Le Comportement de l'Homme Ra…Non-Cooperative Games (1951)Non-Cooperative GamesModeling sequential R&D investments: a binomial compound option approach (2014)Modeling sequential R&D inves…Investments in combined cycle natural gas-fired systems: A real options analysis (2013)Investments in combined cycle…Evaluating system dynamics models of risky projects using decision trees: alternative energy projects as an illustrative example (2010)Evaluating system dynamics mo…Investment decisions, net present value and bounded rationality (2009)Investment decisions, net pre…Extensions of the Subjective Expected Utility Model (2007)Extensions of the Subjective …Valuing large engineering projects under uncertainty: private risk effects and real options (2006)Valuing large engineering pro…Is Cost–Benefit Analysis Anomaly-Proof? (2005)Is Cost–Benefit Analysis Anom…A Generalization of Pratt-Arrow Measure to Nonexpected-Utility Preferences and Inseparable Probability and Utility (2003)A Generalization of Pratt-Arr…Dutch books: avoiding strategic and dynamic complications, and a comonotonic extension (2002)Dutch books: avoiding strateg…A survey of some applications of the idea of ambiguity aversion in economics (2000)A survey of some applications…State Dependent Expected Utility for Savage's State Space (1999)State Dependent Expected Util…Information, Trade, and Derivative Securities (1999)Information, Trade, and Deriv…Self-interest and equity in a bargaining tournament with non-linear payoffs (1997)Self-interest and equity in a…Information, Trade, and Derivative Securities: Table 1 (1996)Information, Trade, and Deriv…Could gambling save science? Encouraging an honest consensus (1995)Could gambling save science? …Coherent decision analysis with inseparable probabilities and utilities (1995)Coherent decision analysis wi…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)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)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Theory of Value (1959)Implied Binomial Trees (1994)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Exploration and Exploitation in Organizational Learning (1991)Covenants with and without a Sword: Self-Governance Is Possible (1992)A theory of sequential reciprocity (2003)OVERCOMING THE LIABILITY OF FOREIGNNESS. (1995)A Relational View of Information Seeking and Learning in Social Networks (2003)The Strength of Weak Ties You Can Trust: The Mediating Role of Trust in Effective Knowledge Transfer (2004)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1955A BEHAVIORAL MODEL OF RATIONAL CHOICE15,851 cited
  • 1983An Evolutionary Theory of Economic Change10,549 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1951Non-Cooperative Games6,999 cited
  • 1953Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine4,117 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1967Games with Incomplete Information Played by “Bayesian” Players, I–III Part I. The Basic Model2,152 cited
  • 1974Subjectivity and correlation in randomized strategies1,630 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 1987Correlated Equilibrium as an Expression of Bayesian Rationality1,613 cited
  • 1991Valuation: Measuring and Managing the Value of Companies.1,382 cited

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The Theory of Syndicates
1,178 cited

Cited by

  • 1996Information, Trade, and Derivative Securities: Table 1187 cited
  • 2005Is Cost–Benefit Analysis Anomaly-Proof?92 cited
  • 1995Could gambling save science? Encouraging an honest consensus82 cited
  • 2010Evaluating system dynamics models of risky projects using decision trees: alternative energy projects as an illustrative example52 cited
  • 2009Investment decisions, net present value and bounded rationality52 cited
  • 1999State Dependent Expected Utility for Savage's State Space45 cited
  • 1995Coherent decision analysis with inseparable probabilities and utilities44 cited
  • 2002Dutch books: avoiding strategic and dynamic complications, and a comonotonic extension40 cited
  • 2006Valuing large engineering projects under uncertainty: private risk effects and real options32 cited
  • 1999Information, Trade, and Derivative Securities32 cited
  • 2003A Generalization of Pratt-Arrow Measure to Nonexpected-Utility Preferences and Inseparable Probability and Utility31 cited
  • 1997Self-interest and equity in a bargaining tournament with non-linear payoffs27 cited
  • 2007Extensions of the Subjective Expected Utility Model23 cited
  • 2014Modeling sequential R&D investments: a binomial compound option approach23 cited
  • 2013Investments in combined cycle natural gas-fired systems: A real options analysis22 cited
  • 2000A survey of some applications of the idea of ambiguity aversion in economics20 cited