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Comparative statics effects independent of the utility function. When do we act the same way under risk?
16 references·0 citing·38 second hop
Comparative statics effects independent of the utility function. When do we act the same way under risk? (2015)Comparative statics effects independent o…Mean–variance approximations to expected utility (2012)Mean–variance approximations …A multi-product risk-averse newsvendor with exponential utility function (2011)A multi-product risk-averse n…Nonparametric risk management and implied risk aversion (2000)Nonparametric risk management…The Risk-Averse (and Prudent) Newsboy (1995)The Risk-Averse (and Prudent)…The equity premium: A puzzle (1985)The equity premium: A puzzleA Simple Econometric Approach for Utility-Based Asset Pricing Models (1985)A Simple Econometric Approach…Hedging and the Competitive Firm under Price Uncertainty (1979)Hedging and the Competitive F…THE DEMAND FOR RISKY ASSETS (1977)THE DEMAND FOR RISKY ASSETSRisk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Increases in risk and in risk aversion (1974)Increases in risk and in risk…Theory of the Firm Facing Uncertain Demand (1972)Theory of the Firm Facing Unc…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…On the theory of the competitive firm under price uncertainty (1971)On the theory of the competit…Aspects of the Theory of Risk-Bearing. (1966)Aspects of the Theory of Risk…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…The Stability of Equilibrium: Comparative Statics and Dynamics (1941)The Stability of Equilibrium:…Liquidity Preference as Behavior Towards Risk (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Models of Market Organization with Imperfect Information: A Survey (1973)Competitive Firm and the Theory of Input Demand under Price Uncertainty (1974)Duopoly information equilibrium: Cournot and Bertrand (1989)Criteria for Choice Among Risky Ventures (1959)An Intertemporal Capital Asset Pricing Model (1973)The Rationale of the Mean-Standard Deviation Analysis, Skewness Preference, and the Demand for Money (1989)Why do people pay taxes? (1992)Economic foundations of cost-effectiveness analysis (1997)Inequality, Social Insurance, and Redistribution (2001)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Empirical pricing kernels (2002)Option‐Implied Risk Aversion Estimates (2004)Information demand and stock market volatility (2012)The Econometrics of Financial Markets (2012)Stochastic specification of production functions and economic implications (1978)Cash Crop Production, Food Price Volatility, and Rural Market Integration in the Third World (1992)Rising Food Prices, Food Price Volatility, and Social Unrest (2014)The design of tax structure: Direct versus indirect taxation (1976)Credit Rationing in Markets with Imperfect Information (1981)Theory of Financial Decision Making. (1988)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)On the measurement of inequality (1970)Risk Aversion and Incentive Effects (2002)Moral Hazard and Observability (1979)Prospect theory: An analysis of decision under risk (1988)The New Institutional Economics: Taking Stock, Looking Ahead (2000)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)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

  • 1985The equity premium: A puzzle5,785 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1972Essays in the Theory of Risk-Bearing.3,991 cited
  • 1966Aspects of the Theory of Risk-Bearing.1,888 cited
  • 1971On the theory of the competitive firm under price uncertainty1,450 cited
  • 1977THE DEMAND FOR RISKY ASSETS1,052 cited
  • 2000Nonparametric risk management and implied risk aversion740 cited
  • 1974Increases in risk and in risk aversion556 cited
  • 1972Theory of the Firm Facing Uncertain Demand550 cited
  • 1995The Risk-Averse (and Prudent) Newsboy485 cited
  • 1979Hedging and the Competitive Firm under Price Uncertainty390 cited
  • 1941The Stability of Equilibrium: Comparative Statics and Dynamics344 cited
  • 2012Mean–variance approximations to expected utility284 cited
  • 1985A Simple Econometric Approach for Utility-Based Asset Pricing Models129 cited
  • 2011A multi-product risk-averse newsvendor with exponential utility function94 cited

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