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Comparing utility derivative premia under additive and multiplicative risks
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Comparing utility derivative premia under additive and multiplicative risks (2023)Comparing utility derivative premia under…Increasing Downside Risk (2016)Increasing Downside RiskChanges in risk and the demand for saving (2008)Changes in risk and the deman…Putting Risk in Its Proper Place (2006)Putting Risk in Its Proper Pl…Relative Risk Aversion: What Do We Know? (2005)Relative Risk Aversion: What …The Economics of Risk and Time (2001)The Economics of Risk and TimeRisk Vulnerability and the Tempering Effect of Background Risk (1996)Risk Vulnerability and the Te…Changes in Background Risk and Risk Taking Behavior (1996)Changes in Background Risk an…Contributions to Insurance Economics (1992)Contributions to Insurance Ec…Background Risk, Prudence, and the Demand for Insurance (1992)Background Risk, Prudence, an…Standard Risk Aversion (1991)Standard Risk AversionPrecautionary Saving in the Small and in the Large (1990)Precautionary Saving in the S…Some Stronger Measures of Risk Aversion in the Small and the Large with Applications (1981)Some Stronger Measures of Ris…Increasing Nth degree risk (1980)Increasing Nth degree riskIncreasing risk II: Its economic consequences (1971)Increasing risk II: Its econo…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…The Utility Analysis of Choices Involving Risk (1948)The Utility Analysis of Choic…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)Strategic Asset Allocation (2002)Idiosyncratic Risk Matters! (2003)Eliciting Risk and Time Preferences (2008)Theory of games and economic behavior (2019)Aspects of the Theory of Risk-Bearing. (1966)Financial Intermediation and Delegated Monitoring (1984)Theory of Financial Decision Making. (1988)Cash Crop Production, Food Price Volatility, and Rural Market Integration in the Third World (1992)Precautionary Saving in the Small and in the Large (1989)Risk Aversion in the Laboratory (2008)Risk-Taking Behavior in the Wake of Natural Disasters (2012)Understanding Consumption (1992)Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Conditional Skewness in Asset Pricing Tests (2000)Optimal rules for ordering uncertain prospects (1975)Net Health Benefits (1998)Stochastic Volatility for Lévy Processes (2003)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Risk as feelings. (2001)A Good Sign for Multivariate Risk Taking (2007)Higher Order Risk Attitudes, Demographics, and Financial Decisions (2013)Are Risk Preferences Stable? (2018)Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk (2000)The Role of Social Capital in Financial Development (2004)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

  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1948The Utility Analysis of Choices Involving Risk3,097 cited
  • 1990Precautionary Saving in the Small and in the Large1,850 cited
  • 2001The Economics of Risk and Time1,361 cited
  • 1971Increasing risk II: Its economic consequences1,082 cited
  • 1991Standard Risk Aversion851 cited
  • 1996Risk Vulnerability and the Tempering Effect of Background Risk765 cited
  • 2006Putting Risk in Its Proper Place551 cited
  • 2016Increasing Downside Risk480 cited
  • 1981Some Stronger Measures of Risk Aversion in the Small and the Large with Applications450 cited
  • 1996Changes in Background Risk and Risk Taking Behavior353 cited
  • 2005Relative Risk Aversion: What Do We Know?254 cited
  • 1980Increasing Nth degree risk225 cited
  • 2008Changes in risk and the demand for saving196 cited
  • 1992Background Risk, Prudence, and the Demand for Insurance187 cited
  • 1992Contributions to Insurance Economics186 cited

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