AliMukhtar M., “Probability and Utility Estimates for Racetrack Bettors,”Journal of Political Economy85, no. 4 (August 1977), pp. 803–815.
2.
AllaisM.HagenO., Expected Utility Hypothesis and the Allais Paradox: Contemporary Discussions of Decisions under Uncertainty With Allais' Rejoinder. Dordrecht, Holland: D. Reidel Publishing Company, 1979.
3.
ArdittiFred D., “Risk and the Required Return on Equity,”Journal of Finance22, no. 1 (March 1967), pp. 19–36.
4.
ArrowKenneth J., “The Theory of Risk Aversion,”Essays in the Theory of Risk Bearing. Chicago: Markham Publishing Company, 1971, pp. 90–120.
5.
BailyMartin J.OlsonMancurWonnacottPaul, “The Marginal Utility of Income Does Not Increase: Borrowing, Lending, and Friedman-Savage Gambles,”American Economic Review70, no. 3 (June 1980), pp. 372–379.
6.
BenishayHaskel, “Market Preference for Characteristics of Common Stocks,”Economic Journal83 (March 1973), pp. 173–191.
7.
BenishayHaskel, “Variability in Earnings-Price Ratios of Corporate Equities,”American Economic Review51 (March 1961), pp. 81–94.
8.
BowerRichard S.BowerDorothy H., “Risk and the Valuation of Common Stock,”Journal of Political Economy77, no. 3 (May–June 1969), pp. 349–362.
9.
EdenBenjamin, “On Expected Utility Function for the Insurance Buying Gambler,”Review of Economic Studies46, no. 4 (October 1979), pp. 741–742.
10.
FriedmanMiltonSavageLawrence J., “The Utility of Choices Involving Risk,”The Journal of Political Economy56, no. 4 (August 1948), pp. 219–304.
11.
GregoryNathaniel, “Relative Wealth and Risk Taking: A Short Note on the Friedman-Savage Utility Function,”Journal of Political Economy88, no. 6 (December 1980), pp. 1226–1230.
12.
HakanssonNils H., “Friedman-Savage Utility Functions Consistent with Risk Aversion,”Quarterly Journal of Economics84, no. 3 (August 1970), pp. 472–487.
13.
HandaJagdish, “Risk, Probabilities, and a New Theory of Cardinal Utility,”Journal of Political Economy85, no. 11 (February 1977), pp. 97–122.
14.
HanochGioraLevyHaim, “Efficient Portfolio Selection with Quadratic and Cubic Utility,”Journal of Business43, no. 2 (April 1970), pp. 181–189.
15.
HawawiniGabriel A., “An Analytical Examination of the Intervaling Effect on Skewness and Other Moments,”Journal of Financial and Quantitative Analysis15, no. 5 (December 1980), pp. 1121–1127.
16.
JeanWilliam, “The Extension of Portfolio Analysis to Three or More Parameters,”Journal of Financial and Quantitative Analysis6, no. 1 (January 1971), pp. 505–515.
17.
KaneAlex, “Skewness Preference and Portfolio Choice,”Journal of Financial and Quantitative Analysis17, no. 1 (March 1982), pp. 15–25.
18.
KaplanskyIrving, “A Common Error concerning Kurtosis,”Journal of the American Statistical Association40, no. 230 (June 1945), p. 259.
19.
KrausAlanLitzenbergerRobert, “On the Distributional Conditions for a Consumption-oriented Three Moment CAPM,”The Journal of Finance38, no. 5 (December 1984), pp. 1381–1391.
20.
KrollYoramLevyHaimMarkowitzHarry, “Mean-Variance versus Direct Utility Maximization,”Journal of Finance39, no. 1 (March 1984), pp. 47–61.
21.
LevyH.MarkowitzH. M., “Approximating Expected Utility by a Function of Mean and Variance,”The American Economic Review69, no. 3 (June 1979), pp. 308–317.
22.
LevyHaim, “A Utility Function Depending on the First Three Moments and Comment,”Journal of Finance24, no. 4 (September 1969), pp. 715–720.
23.
MachinaMark J., “Expected Utility Analysis without the Independence Axiom,”Econometrica50 (1982), pp. 277–323.
24.
MachinaMark J., “General Expected Utility Analysis and the Nature of Observed Violations of the Independence Axiom,” in StigumB. P.WenstopF., eds., Foundations of Utility and Risk Theory with Applications. Dordrecht, Holland: D. Reidel Publishing Company, 1983, pp. 263–297.
25.
MarkowitzHarry, “The Utility of Wealth,”Journal of Political Economy60, no. 2 (April 1952), pp. 151–158.
26.
MorgensternOskar, “Some Reflections on Utility,”Selected Economic Writings of Oskar Morgenstern, ed. ShotterAndrew. New York: New York University Press, 1976.
27.
MostellerF.NogeeP., “An Experimental Measurement of Utility,”Journal of Political Economy59, no. 5 (October 1957), pp. 371–404.
28.
PrattJohn W., “Risk Aversion in the Small and in the Large,”Econometrica32, no. 1–2 (January–April 1964), pp. 122–136.
29.
PrestonM. G.BarattaP., “An Experimental Study of the Auction Value of an Uncertain Income,”American Journal of Psychology61 (April 1948), pp. 183–193.
30.
PryorFrederic L., “The Friedman-Savage Utility Function in Cross-cultural Perspective,”Journal of Political Economy84, no. 4 (August 1976), pp. 821–834.
31.
PulleyLawrence B., “A General Mean Variance Approximation to Expected Utility for Short Holding Periods,”Journal of Financial and Quantitative Analysis16, no. 3 (September 1981), pp. 361–373.
32.
RosettRichard N., “Gambling and Rationality,”Journal of Political Economy73, no. 6 (December 1965), pp. 595–607.
33.
RubensteinMark E., “The Fundamental Theorem of Parameter Preference Security Valuation,”Journal of Financial and Quantitative Analysis8, no. 1 (January 1973), pp. 61–69.
34.
ScottRobert C.HorvathPhillip A., “On the Direction of Preference for Moments of Higher Order Than the Variance,”The Journal of Finance35, no. 4 (September 1980), pp. 915–919.
35.
SimkowitzMichael A.BeedlesWilliam, “Diversification in a Three Moment World,”Journal of Financial and Quantitative Analysis13, no. 4 (December 1978), pp. 927–941.
36.
SmithKeith V., “The Effect of Intervaling on Estimating Parameters of the Capital Asset Pricing Model,”Journal of Financial and Quantitative Analysis13, no. 2 (June 1978), pp. 313–332.
37.
StigumBernt P.WenstopFred, eds., Foundations of Utility and Risk Theory with Applications. Dordrecht, Holland: D. Reidel Publishing Company, 1983.
38.
TehranianHassan, “Empirical Studies in Portfolio Performance Using Higher Degrees of Stochastic Dominance,”The Journal of Finance25, no. 1 (March 1980), pp. 159–171.
39.
Von NeumannJ.MorgensternOskar, Theory of Games and Economic Behavior. 1st ed. 1944; 2d ed. 1947; 3d ed. 1953. Princeton University Press.
40.
YaariMenahem E., “Convexity in the Theory of Choice under Risk,”Quarterly Journal of Economics79, no. 2 (May 1965), pp. 278–290.
41.
YuleG. U.KendallG., An Introduction to the Theory of Statistics. 14th ed.New York: Hafner Publishing Company, 1950.