Estimating portfolio and consumption choice: A conditional Euler equations approach

Journal of Finance

Volumn 54, Issue 5, 1999, Pages 1609-1645

  Brandt, Michael W ^a  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040348531     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/0022-1082.00162     Document Type: Article

References (50)

1. Balduzzi, Pierluigi, and Anthony Lynch, 1996, Transaction costs and predictability: Some utility cost calculations, Working paper, New York University.
2. Barberis, Nicholas, 1999, Investing for the long run when returns are predictable, Journal of Finance, forthcoming.
3. Black, Fisher, 1976, Studies of stock price volatility changes, Proceedings of the Business and Economic Statistics Section, American Statistical Association 1, 177-181.
4. Bollerslev, Tim, Ray Y. Chou, and Kenneth F. Kroner, 1992 ARCH modeling in finance: A review of the theory and empirical evidence, Journal of Econometrics 52, 5-59.
5. Bosq, Denis, 1988, Prévision non paramétrique d'un processus stationaire non boré, Working paper, University of Paris.
6. Brennan, Michael J., Eduardo S. Schwartz, and Ronald Lagnado, 1997, Strategic asset allocation, Journal of Economic Dynamics and Control 21, 1377-1403.
7. Campbell, John Y., 1987, Stock returns and the term structure, Journal of Financia Econometrics 18, 373-399.
8. Campbell, John Y., and Robert J. Shiller, 1988, The dividend price ratio and expectations of future dividends and discount factors, Review of Financial Studies 1, 195-228.
9. Campbell, John Y., and Luis M. Viceira, 1996, Consumption and portfolio decisions when expected returns are time varying, NBER working paper #5857.
10. Canner, Niko, N. Gregory Mankiw, and David N. Weil, 1997, An asset allocation puzzle, American Economic Review 87, 181-191.
11. Clark, R. Malcom, 1975, A calibration curve for radiocarbon dates, Antiquity 49, 251-266.
12. Collomb, Gérard, and Wolfgang Härdle, 1986, Strong uniform convergence rates m robust non-parametric time series analysis and prediction: Kernel regression estimation from dependent observations, Stochastic Processes and Their Applications 23, 77-89.
13. Conley, Timothy G., Lars Peter Hansen, Erzo G. J. Luttmer, and Jose A. Scheinkman, 1997, Short-term interest rates as subordinated diffusions, Review of Financial Studies 10, 525-577.
14. Fama, Eugene F., and Kenneth R. French, 1988a, Dividend yields and expected stock returns, Journal of Financial Economics 22, 3-25.
15. Fama, Eugene F., and Kenneth R. French, 1988b, Permanent and temporary components of stock prices, Journal of Political Economy 96, 246-273.
16. Fama, Eugene F., and Kenneth R. French, 1989, Business conditions and expected returns on stocks and bonds, Journal of Financial Economics 25, 23-49.
17. Fama, Eugene F., and G. William Schwert, 1977, Asset returns and inflation, Journal of Financial Economics 5, 115-146.
18. Fan, Jianqing, Nancy E. Heckman, and Matt P. Wand, 1995, Local polynomial smoothing in generalized linear models and quasi-likelihood functions, Journal of the American Statistical Association 90, 141-150.
19. Ferson, Wayne E., and Campbell R. Harvey, 1991, The variation of economic risk premiums, Journal of Political Economy 99, 385-415.
20. French, Kenneth R., G. William Schwert, and Robert F. Stambaugh, 1987, Expected stock returns and volatility, Journal of Financial Economics 19, 3-29.
21. Gourieroux, Christian, Alain Monfort, and Carlos Tenreiro, 1995, Kernel M-estimators and functional residuals plots, Working paper, CREST.
22. Gozalo, Pedro L., and Oliver B. Linton, 1994, Local nonlinear least squares estimation: Using parametric information nonparametrically, Working paper, Cowles Foundation.
23. Hansen, Lars Peter, 1982, Large sample properties of generalized method of moments estimators, Econometrica 50, 1029-1054.
24. Hansen, Lars Peter, and Kenneth J. Singleton, 1982, Generalized instrumental variables estimation of nonlinear rational expectations models, Econometrica 50, 1269-1286.
25. Härdle, Wolfgang, 1984, How to determine the bandwidths of nonlinear smoothers in practice; in Jürgen Franke, Wolfgang Härdle, and Douglas Martin, eds.: Robust and Nonlinear Time Series Analysis (Springer Verlag, Heidelberg).
26. Härdle, Wolfgang, 1984, Robust regression function estimation, Journal of Multivariate Analysis 14, 169-180.
27. Härdle, Wolfgang, 1990, Applied Nonparametric Regression (Cambridge University Press, New York).
28. Härdle, Wolfgang, and James S. Marron, 1985, Optimal bandwith selection in nonparametric regression function estimation, Annals of Statistics 13, 1465-1481.
29. Hart, Jeffrey D., and Philippe Vieu, 1990, Data-driven bandwidth choice for density estimation based on dependent data, Annals of Statistics 18, 873-890.
30. Harvey, Campbell R., 1989, Time-varying conditional covariance in tests of asset pricing models, Journal of Financial Economics 24, 289-317.
31. Huber, Peter J., 1964, Robust estimation of a location parameter, Annals of Mathematical Statistics 35, 73-101.
32. Kandel, Shmuel, and Robert F. Stambaugh, 1996, On the predictability of stock returns: An asset-allocation perspective, Journal of Finance 51, 385-424.
33. Keim, Donald B., and Robert F. Stambaugh, 1986, Predicting returns in the stock and bond markets, Journal of Financial Economics 17, 357-390.
34. Luttmer, Erzo G. J., 1997, What level of fixed costs can reconcile asset returns and consumption choices?, Working paper, London School of Economics.
35. Mack, Yue-pok, and Bernard W. Silverman, 1982, Weak and strong uniform consistency of kernel regression estimates, Zeitschrift für Wahrscheinlichkeitstheorie and Verwandte Gebiete 61, 405-415.
36. Merton, Robert C., 1969, Lifetime portfolio selection under uncertainty: The continuous-time case, Review of Economics and Statistics 51, 247-257.
37. Morvai, Gusztáv, 1991, Empirical log-optimal portfolio selection, Problems in Control Information Theory 20, 453-463.
38. Morvai, Gusztáv, 1992, Portfolio choice based on the empirical distribution, Kybernetika 28, 484-493.
39. Newey, Whitney K., and Kenneth D. West, 1987, A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix, Econometrica 55, 703-708.
40. Pagan, Adrian R., and G. William Schwert, 1990, Alternative models for conditional stock volatility, Journal of Econometrics 45, 267-290.
41. Parzen, Emanuel, 1962, On estimation of a probability density and mode, Annals of Mathematical Statistics 33, 1065-1076.
42. Poterba, James, and Lawrence H. Summers, 1988, Mean reversion in stock prices, Journal of Financial Economics 22, 27-59.
43. Pritsker, Matt, 1998, Nonparametric density estimation and tests of continuous time interest rate models, Working paper, Federal Reserve Board.
44. Robinson, Peter M., 1983, Nonparametric estimators for time series, Journal of Time Series Analysis 4, 185-207.
45. Schwert, G. William, 1989, Why does stock market volatility change over time?, Journal of Finance 44, 1115-1153.
46. Siegel, Jeremy J., 1994, Stocks for the Long Run (Richard D. Irwin, Burr Ridge, Ill.).
47. Silverman, Bernard W., 1986, Density Estimation for Statistics and Data Analysis (Chapman and Hall, New York).
48. Solnik, Bruno, 1993, The performance of international asset pricing strategies using conditioning information, Journal of Empirical Finance 1, 33-35.
49. Stone, Mervyn, 1976, Cross-validatory choice and assessment of statistical prediction, Journal of the Royal Statistical Society, Series B 38, 111-147.
50. Tsybakov, Alexander B., 1982, Robust estimates of a function, Problems of Information Transmission 18, 190-201.