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On the relationship between comparisons of risk aversion of different orders
16 references·1 citing·37 second hop
On the relationship between comparisons of risk aversion of different orders (2022)On the relationship between comparisons o…Increasing Downside Risk (2016)Increasing Downside RiskDecreasing absolute risk aversion, prudence and increased downside risk aversion (2012)Decreasing absolute risk aver…Greater Downside Risk Aversion (2002)Greater Downside Risk AversionOn the Conditions for Precautionary Saving (2001)On the Conditions for Precaut…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Mixed Risk Aversion (1996)Mixed Risk AversionAdvanced macroeconomics (1996)Advanced macroeconomicsUnbounded Utility for Savage's “Foundations of Statistics,” and Other Models (1993)Unbounded Utility for Savage'…The new Palgrave dictionary of money and finance (1992)The new Palgrave dictionary o…Precautionary Saving in the Small and in the Large (1990)Precautionary Saving in the S…Increasing Nth degree risk (1980)Increasing Nth degree riskStochastic Dominance and the Maximization of Expected Utility (1976)Stochastic Dominance and the …The Use of Unbounded Utility Functions in Expected-Utility Maximization: Response (1974)The Use of Unbounded Utility …Increases in risk and in risk aversion (1974)Increases in risk and in risk…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Preferences on discounting under time risk (2024)Preferences on discounting un…The Utility Analysis of Choices Involving Risk (1948)Admissibility and Measurable Utility Functions (1962)Rules for Ordering Uncertain Prospects (1969)Transfer Sensitive Inequality Measures (1987)Chapter 2 Measurement of inequality (2000)Knowing when to leap: Transitioning between exploitative and explorative R&D (2013)Essays in the Theory of Risk-Bearing. (1972)Risk Aversion in the Small and in the Large (1976)The design of tax structure: Direct versus indirect taxation (1976)Credit Rationing in Markets with Imperfect Information (1981)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)Theory of Financial Decision Making. (1988)The value of a statistical life: A meta-analysis with a mixed effects regression model (2008)Joint measurement of risk aversion, prudence, and temperance (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)On the measurement of inequality (1970)Optimal rules for ordering uncertain prospects (1975)Stochastic Dominance and Expected Utility: Survey and Analysis (1992)Understanding Consumption (1992)Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Conditional Skewness in Asset Pricing Tests (2000)Changes in risk and the demand for saving (2008)Pricing Kernels with Stochastic Skewness and Volatility Risk (2011)Consistency of Higher Order Risk Preferences (2014)The underpricing of initial public offerings and the partial adjustment phenomenon (1993)Product Mix and Earnings Volatility at Commercial Banks: Evidence from a Degree of Total Leverage Model (2001)Good Day Sunshine: Stock Returns and the Weather (2003)Chapter 4 The new empirics of economic growth (1999)On climate change and economic growth (2004)Chapter 8 Growth Econometrics (2005)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
  • 1996Advanced macroeconomics2,005 cited
  • 1990Precautionary Saving in the Small and in the Large1,850 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1992The new Palgrave dictionary of money and finance665 cited
  • 1974Increases in risk and in risk aversion556 cited
  • 2016Increasing Downside Risk480 cited
  • 1980Increasing Nth degree risk225 cited
  • 1996Mixed Risk Aversion204 cited
  • 1976Stochastic Dominance and the Maximization of Expected Utility107 cited
  • 1993Unbounded Utility for Savage's “Foundations of Statistics,” and Other Models82 cited
  • 2001On the Conditions for Precautionary Saving69 cited
  • 1974The Use of Unbounded Utility Functions in Expected-Utility Maximization: Response66 cited
  • 2002Greater Downside Risk Aversion59 cited
  • 2012Decreasing absolute risk aversion, prudence and increased downside risk aversion

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  • 2024Preferences on discounting under time risk2 cited