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Risk aversion, robustness and adaptive information in decision models
16 references·0 citing·34 second hop
Risk aversion, robustness and adaptive information in decision models (1985)Risk aversion, robustness and adaptive in…Decisions with Multiple Objectives: Preferences and Value Tradeoffs. (1994)Decisions with Multiple Objec…The Theory of Commodity Price Stabilization: A Study in the Economics of Risk. (1983)The Theory of Commodity Price…Handbook of mathematical economics: (1982)Handbook of mathematical econ…On the aggregation of information in competitive markets (1980)On the aggregation of informa…Information, futures prices, and stabilizing speculation (1978)Information, futures prices, …Monopoly, Non-Linear Pricing and Imperfect Information: The Insurance Market (1977)Monopoly, Non-Linear Pricing …Decisions with Multiple Objectives: Preferences and Value Tradeoffs. (1977)Decisions with Multiple Objec…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION (1976)ON THE EFFICIENCY OF COMPETIT…Adaptive Economic Models (1975)Adaptive Economic ModelsThe Valuation of Option Contracts and a Test of Market Efficiency (1972)The Valuation of Option Contr…THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY (1972)THE VALUATION OF OPTION CONTR…Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…A Theory of Monopolistic Price Adjustment (1972)A Theory of Monopolistic Pric…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…On a Measure of the Information Provided by an Experiment (1956)On a Measure of the Informati…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Herd Behavior and Investment (1988)Differences of Opinion Make a Horse Race (1993)Volume, Volatility, Price, and Profit When All Traders Are Above Average (1998)The Pricing of Options and Corporate Liabilities (1973)STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES (1976)Stock Returns and Volatility (1990)Risk and Volatility: Econometric Models and Financial Practice (2004)Theory of rational option pricing (2005)Transmission of Volatility between Stock Markets (1990)Herd on the Street: Informational Inefficiencies in a Market with Short‐Term Speculation (1992)The Use of Knowledge in Society (1996)The Adaptive Markets Hypothesis (2004)Conjoint Analysis in Consumer Research: Issues and Outlook (1978)Risk management in a dynamic society: a modelling problem (1997)Best-worst multi-criteria decision-making method (2014)Moral Hazard and Observability (1979)Prospect theory: An analysis of decision under risk (1988)The New Institutional Economics: Taking Stock, Looking Ahead (2000)Maximum entropy sampling (1987)The Stag Hunt and the Evolution of Social Structure (2003)Signals (2010)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)Citizen Participation in Decision Making: Is It Worth the Effort? (2004)Extended VIKOR method in comparison with outranking methods (2006)Multi-criteria decision analysis in environmental sciences: Ten years of applications and trends (2011)Competitive Storage and Commodity Price Dynamics (1996)Effects of Non‐Farm Employment on Rural Income Inequality in Developing Countries: An Investment Perspective (2000)Overcoming Market Constraints to Pro-Poor Agricultural Growth in Sub-Saharan Africa (2006)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

  • 1994Decisions with Multiple Objectives: Preferences and Value Tradeoffs.8,369 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
  • 1977Decisions with Multiple Objectives: Preferences and Value Tradeoffs.2,305 cited
  • 1956On a Measure of the Information Provided by an Experiment1,507 cited
  • 1976ON THE EFFICIENCY OF COMPETITIVE STOCK MARKETS WHERE TRADES HAVE DIVERSE INFORMATION1,438 cited
  • 1980On the aggregation of information in competitive markets1,247 cited
  • 1972THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY718 cited
  • 1983The Theory of Commodity Price Stabilization: A Study in the Economics of Risk.632 cited
  • 1972The Valuation of Option Contracts and a Test of Market Efficiency612 cited
  • 1972A Theory of Monopolistic Price Adjustment513 cited
  • 1977Monopoly, Non-Linear Pricing and Imperfect Information: The Insurance Market449 cited
  • 1978Information, futures prices, and stabilizing speculation391 cited
  • 1982Handbook of mathematical economics:370 cited

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  • 1975Adaptive Economic Models256 cited
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