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Risk
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Risk (2008)RiskChanges in Background Risk and Risk Taking Behavior (1996)Changes in Background Risk an…A More Robust Definition of Subjective Probability (1992)A More Robust Definition of S…Increasing Nth degree risk (1980)Increasing Nth degree riskIncreasing Generalized Correlation: A Definition and Some Economic Consequences (1980)Increasing Generalized Correl…Increases in risk and in risk aversion (1974)Increases in risk and in risk…Increasing risk II: Its economic consequences (1971)Increasing risk II: Its econo…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Some remarks on measures of risk aversion and on their uses (1969)Some remarks on measures of r…Mean-Variance Analysis in the Theory of Liquidity Preference and Portfolio Selection (1969)Mean-Variance Analysis in the…A Note on Uncertainty and Indifference Curves (1969)A Note on Uncertainty and Ind…Investment Decision under Uncertainty: Applications of the State-Preference Approach (1966)Investment Decision under Unc…Equilibrium in a Capital Asset Market (1966)Equilibrium in a Capital Asse…The Role of Securities in the Optimal Allocation of Risk-bearing (1964)The Role of Securities in the…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Dividends, Earnings, Leverage, Stock Prices and the Supply of Capital to Corporations (1962)Dividends, Earnings, Leverage…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)The Role of Securities in the Optimal Allocation of Risk-bearing (1973)Option pricing when underlying stock returns are discontinuous (1976)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)Theory of Financial Decision Making. (1988)The Utility Analysis of Choices Involving Risk (1948)Rules for Ordering Uncertain Prospects (1969)On the measurement of inequality (1970)Optimal rules for ordering uncertain prospects (1975)Stochastic Dominance and Expected Utility: Survey and Analysis (1992)Ambiguity, Risk, and Asset Returns in Continuous Time (2002)Ellsberg Revisited: An Experimental Study (2007)Theory of Decision under Uncertainty (2009)Precautionary Saving in the Small and in the Large (1989)Net Health Benefits (1998)Stochastic Volatility for Lévy Processes (2003)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)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)BANKRUPTCY, SECURED DEBT, AND OPTIMAL CAPITAL STRUCTURE (1977)The Private and Social Value of Information and the Reward to Inventive Activity (1978)Uncertainty and the Evaluation of Public Investment Decisions (2013)PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE (1972)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Martingales and arbitrage in multiperiod securities markets (1979)Optimal contracts and competitive markets with costly state verification (1979)The arbitrage theory of capital asset pricing (1976)
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References

  • 1966Equilibrium in a Capital Asset Market5,065 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,990 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1964The Role of Securities in the Optimal Allocation of Risk-bearing1,172 cited
  • 1971Increasing risk II: Its economic consequences1,082 cited
  • 1992A More Robust Definition of Subjective Probability585 cited
  • 1974Increases in risk and in risk aversion556 cited
  • 1962Dividends, Earnings, Leverage, Stock Prices and the Supply of Capital to Corporations464 cited
  • 1966Investment Decision under Uncertainty: Applications of the State-Preference Approach385 cited
  • 1996Changes in Background Risk and Risk Taking Behavior353 cited
  • 1969Mean-Variance Analysis in the Theory of Liquidity Preference and Portfolio Selection351 cited
  • 1969Some remarks on measures of risk aversion and on their uses302 cited
  • 1969A Note on Uncertainty and Indifference Curves297 cited
  • 1980Increasing Generalized Correlation: A Definition and Some Economic Consequences276 cited

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Increasing Nth degree risk
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