Economics of Risk and Uncertainty

Contents:

PART I EXPECTED UTILITY
1. Daniel Bernoulli (1954), 'Exposition of a New Theory on the Measurement of Risk', trans. by Louise Sommer, Econometrica, 22 (1), January, 23-36
2. Milton Friedman and L.J. Savage (1948), 'The Utility Analysis of Choices Involving Risk', Journal of Political Economy, 56 (4), August, 279-304

3. John W. Pratt (1964), 'Risk Aversion in the Small and in the Large', Econometrica, 32 (1-2), January-April, 122-36

4. Michael Rothschild and Joseph Stiglitz (1970), 'Increasing Risk: I. A Definition', Journal of Economic Theory, 2 (3), September, 225-43

5. Paul A. Samuelson (1963), 'Risk and Uncertainty: The Fallacy of the Law of Large Numbers', Scientia, 57 (6), 1-6

6. Larry G. Epstein and Stephen M. Tanny (1980), 'Increasing Generalized Correlation: A Definition and Some Economic Consequences', Canadian Journal of Economics, 13 (1), 16-34

7. Louis Eeckhoudt and Harris Schlesinger (2006), 'Putting Risk in its Proper Place', American Economic Review, 96 (1), March, 280-8

8. Christian Gollier and John W. Pratt (1996), 'Risk Vulnerability and the Tempering Effect of Background Risk', Econometrica, 64 (5), September, 1109-23

PART II STATIC CHOICES UNDER UNCERTAINTY
9. Charles A. Holt and Susan K. Laury (2002), 'Risk Aversion and Incentive Effects', American Economic Review, 92 (5), December, 1644-55

10. Kenneth J. Arrow (1963), 'Uncertainty and the Welfare Economics of Medical Care', American Economic Review, 53 (5), December, 941-73

11. Artur Raviv (1979), 'The Design of an Optimal Insurance Policy', American Economic Review, 69 (1), March, 84-96

12. Jan Mossin (1968), 'Aspects of Rational Insurance Purchasing', Journal of Political Economy, 76 (4), July-August, 533-68

13. Isaac Ehrlich and Gary S. Becker (1972), 'Market Insurance, Self-Insurance, and Self-Protection', Journal of Political Economy, 80 (4), July-August, 623-48

14. Robert Wilson (1968), 'The Theory of Syndicates', Econometrica, 36 (1), January, 119-32

15. Robert M. Townsend (1994), 'Risk and Insurance in Village India', Econometrica, 62 (3), May, 539-91

16. Agnar Sandmo (1971), 'On the Theory of the Competitive Firm under Price Uncertainty', American Economic Review, 61 (1), March, 65-73

PART III RISK AND TIME
17. Jacques H. Dreze and Franco Modigliani (1972), 'Consumption Decisions Under Uncertainty', Journal of Economic Theory, 5 (3), December, 307-35

18. Kenneth J. Arrow and Anthony C. Fisher (1974), 'Environmental Preservation, Uncertainty and Irreversibility', Quarterly Journal of Economics, 88 (2), May, 312-19

19. Robert Pindyck (1991), 'Irreversibility, Uncertainty and Investment', Journal of Economic Literature, 29 (3), September, 1110-48

20. Jan Mossin (1968), 'Optimal Multiperiod Portfolio Policies', Journal of Business, 41 (2), April, 215-29

21. Paul A. Samuelson (1969), 'Lifetime Portfolio Selection by Dynamic Stochastic Programming', Review of Economics and Statistics, 51 (3), August, 239-46

PART IV ASSET PRICING
22. Karl H. Borch (1962), 'Equilibrium in a Reinsurance Market', Econometrica, 30 (3), July, 424-44

23. Robert E. Lucas, Jr. (1978), 'Asset Prices in an Exchange Economy', Econometrica, 46 (6), November, 1429-46

24. Mark Rubinstein (1974), 'An Aggregation Theorem for Securities Markets', Journal of Financial Economics, 1 (3), September, 225-44

25. Rajnish Mehra and Edward Prescott (1985), 'The Equity Premium: A Puzzle', Journal of Monetary Economics, 15 (2), March, 145-61

26. Narayana R. Kocherlakota (1996), 'The Equity Premium: It's Still a Puzzle', Journal of Economic Literature, 34 (1), March, 42-71

27. Ian Martin (2012), 'On the Valuation of Long-Dated Assets', Journal of Political Economy, 120 (2), April, 346-58

28 Robert J. Barro (1989), 'Rare Disasters and Asset Markets in the Twentieth Century', Quarterly Journal of Economics, 121 (3), August, 823-66

29. Martin L. Weitzman (2007), 'Subjective Expectations and Asset-Return Puzzle', American Economic Review, 97 (4), September, 1102-30

PART V NON-EXPECTED UTILITY
30. Uzi Segal and Avia Spivak (1990), 'First Order Versus Second Order Risk Aversion', Journal of Economic Theory, 51 (1), June, 111-25

31. Matthew Rabin (2000), 'Risk Aversion and Expected-Utility Theory, A Calibration Theorem' Econometrica, 68 (5), September, 1281-92

32. Menahem E. Yaari (1987), 'The Dual Theory of Choice Under Risk', Econometrica, 55 (1), January, 95-115

33. John Quiggin (1982), 'A Theory of Anticipated Utility', Journal of Economic Behavior and Organization, 3 (4), December, 323-43

34. Amos Tyversky and Daniel Kahneman (1992), 'Advances in Prospect Theory - Cumulative Representation of Uncertainty', Journal of Risk and Uncertainty, 5 (4), October, 297-323

35. Mark J. Machina (1987), 'Choice Under Uncertainty: Problems Solved and Unsolved', Journal of Economic Perspectives, 1 (1), Summer, 121-54

36. Faruk Gul (1991), 'A Theory of Disappointment Aversion', Econometrica, 59 (3), May, 667-86

37. Larry G. Epstein and Stanley Zin (1991), 'Substitution, Risk Aversion and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis', Journal of Political Economy, 99 (2), April, 263-86

38. Philippe Weil (1989), 'The Equity Premium Puzzle and the Risk-Free Rate Puzzle', Journal of Monetary Economics, 24 (3), November, 401-21

39. Ravi Bansal and Amir Yaron (2004), 'Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles', Journal of Finance, 59 (4), August, 1481-509

40. Yoram Halevy and Vincent Feltkamp (2005), 'A Bayesian Approach to Uncertainty Aversion', Review of Economic Studies, 72 (2), April, 449-66

41. Fabio Maccheroni, Massimo Marinacci and Doriana Ruffino (2013), 'Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis', Econometrica, 81 (3), May, 1075-113

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• Finanças
• Economia monetária
• Macroeconomia