-
1
-
-
0039147416
-
Variable selection for portfolio choice
-
Aït-Sahalia, Y., and M. Brandt, 2001, "Variable Selection for Portfolio Choice," Journal of Finance, 56, 1297-1351.
-
(2001)
Journal of Finance
, vol.56
, pp. 1297-1351
-
-
Aït-Sahalia, Y.1
Brandt, M.2
-
2
-
-
0012692686
-
An empirical investigation of continuous-time equity return models
-
Andersen, T., L. Benzoni, and J. Lund, 2002, "An Empirical Investigation of Continuous-Time Equity Return Models," Journal of Finance, 57, 1239-1284.
-
(2002)
Journal of Finance
, vol.57
, pp. 1239-1284
-
-
Andersen, T.1
Benzoni, L.2
Lund, J.3
-
3
-
-
0036353532
-
International asset allocation with regime shifts
-
Ang, A., and G. Bekaert, 2002, "International Asset Allocation with Regime Shifts," Review of Financial Studies, 15, 1137-1187.
-
(2002)
Review of Financial Studies
, vol.15
, pp. 1137-1187
-
-
Ang, A.1
Bekaert, G.2
-
4
-
-
0001883834
-
Transaction costs and predictability: Some utility cost calculations
-
Balduzzi, P., and A. Lynch, 1997, "Transaction Costs and Predictability: Some Utility Cost Calculations," Journal of Financial Economics, 52, 47-78.
-
(1997)
Journal of Financial Economics
, vol.52
, pp. 47-78
-
-
Balduzzi, P.1
Lynch, A.2
-
5
-
-
0039179796
-
Investing for the long run when returns are predictable
-
Barberis, N. C., 2000, "Investing for the Long Run When Returns Are Predictable," Journal of Finance, 55, 225-264.
-
(2000)
Journal of Finance
, vol.55
, pp. 225-264
-
-
Barberis, N.C.1
-
6
-
-
34848900983
-
ARCH modeling in finance
-
Bollerslev, T., R. Y. Chou, and K. Kroner, 1992, "ARCH Modeling in Finance," Journal of Econometrics, 52, 5-59.
-
(1992)
Journal of Econometrics
, vol.52
, pp. 5-59
-
-
Bollerslev, T.1
Chou, R.Y.2
Kroner, K.3
-
7
-
-
0040348531
-
Estimating portfolio and consumption choice: A conditional euler equations approach
-
Brandt, M., 1999, "Estimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach," Journal of Finance, 54, 1609-1645.
-
(1999)
Journal of Finance
, vol.54
, pp. 1609-1645
-
-
Brandt, M.1
-
8
-
-
0000271564
-
The role of learning in dynamic portfolio decisions
-
Brennan, M. J., 1998, "The Role of Learning in Dynamic Portfolio Decisions," European Finance Review, 1, 295-306.
-
(1998)
European Finance Review
, vol.1
, pp. 295-306
-
-
Brennan, M.J.1
-
9
-
-
27544444257
-
The use of treasury bill futures in strategic asset allocation programs
-
Anderson Graduate School of Management, University of California-Los Angeles
-
Brennan, M. J., E. S. Schwartz, and R. Lagnado, 1996, "The Use of Treasury Bill Futures in Strategic Asset Allocation Programs," Finance Working Paper 7-96, Anderson Graduate School of Management, University of California-Los Angeles.
-
(1996)
Finance Working Paper
, vol.7
, Issue.96
-
-
Brennan, M.J.1
Schwartz, E.S.2
Lagnado, R.3
-
10
-
-
0031590026
-
Strategic asset allocation
-
Brennan, M. J., E. S. Schwartz, and R. Lagnado, 1997, "Strategic Asset Allocation," Journal of Economic Dynamics and Control, 21, 1377-1403.
-
(1997)
Journal of Economic Dynamics and Control
, vol.21
, pp. 1377-1403
-
-
Brennan, M.J.1
Schwartz, E.S.2
Lagnado, R.3
-
11
-
-
0344839169
-
Stock returns and the term structure
-
Campbell, J. Y., 1987, "Stock Returns and the Term Structure," Journal of Financial Economics, 18, 373-399.
-
(1987)
Journal of Financial Economics
, vol.18
, pp. 373-399
-
-
Campbell, J.Y.1
-
12
-
-
0001077372
-
Intertemporal asset pricing without consumption data
-
Campbell, J. Y., 1993, "Intertemporal Asset Pricing without Consumption Data," American Economic Review, 83, 487-512.
-
(1993)
American Economic Review
, vol.83
, pp. 487-512
-
-
Campbell, J.Y.1
-
13
-
-
0031065887
-
A comparison of numerical and analytical approximate solutions to an intertemporal consumption choice problem
-
Campbell, J. Y., and H. K. Koo, 1997, "A Comparison of Numerical and Analytical Approximate Solutions to an Intertemporal Consumption Choice Problem," Journal of Economic Dynamics and Control, 21, 273-95.
-
(1997)
Journal of Economic Dynamics and Control
, vol.21
, pp. 273-295
-
-
Campbell, J.Y.1
Koo, H.K.2
-
14
-
-
43549117863
-
No news is good news. An asymmetric model of changing volatility in stock returns
-
Campbell, J. Y. and L. Hentschel, 1992, "No News is Good News. An Asymmetric Model of Changing Volatility in Stock Returns," Journal of Financial Economics, 31, 281-318.
-
(1992)
Journal of Financial Economics
, vol.31
, pp. 281-318
-
-
Campbell, J.Y.1
Hentschel, L.2
-
15
-
-
0001274822
-
Consumption, income, and interest rates: Reinterpreting the time-series evidence
-
O. J. Blanchard and S. Fischer (eds), MIT Press, Cambridge, MA
-
Campbell, J. Y., and N. G. Mankiw, 1989, "Consumption, Income, and Interest Rates: Reinterpreting the Time-Series Evidence," in O. J. Blanchard and S. Fischer (eds), NBER Macroeconomics Annual 1989, MIT Press, Cambridge, MA.
-
(1989)
NBER Macroeconomics Annual 1989
-
-
Campbell, J.Y.1
Mankiw, N.G.2
-
16
-
-
0002252076
-
Consumption and portfolio decisions when expected returns are time varying
-
Campbell, J. Y., and L. M. Viceira, 1999, "Consumption and Portfolio Decisions When Expected Returns Are Time Varying," Quarterly Journal of Economics, 114, 433-495.
-
(1999)
Quarterly Journal of Economics
, vol.114
, pp. 433-495
-
-
Campbell, J.Y.1
Viceira, L.M.2
-
17
-
-
0001791968
-
Who should buy long-term bonds?
-
Campbell, J. Y., and L. M. Viceira, 2001, "Who Should Buy Long-Term Bonds?" American Economic Review, 91, 99-127.
-
(2001)
American Economic Review
, vol.91
, pp. 99-127
-
-
Campbell, J.Y.1
Viceira, L.M.2
-
18
-
-
0003515102
-
-
Oxford University Press, Oxford, U.K.
-
Campbell, J. Y., and L. M. Viceira, 2002, Strategic Asset Allocation: Portfolio Choice for Long-Tern Investors, Oxford University Press, Oxford, U.K.
-
(2002)
Strategic Asset Allocation: Portfolio Choice for Long-tern Investors
-
-
Campbell, J.Y.1
Viceira, L.M.2
-
19
-
-
0242473436
-
Spectral GMM estimation of continuous-time processes
-
Chacko, G., and L. M. Viceira, 2003, "Spectral GMM Estimation of Continuous-Time Processes," Journal of Econometrics, 116, 259-292.
-
(2003)
Journal of Econometrics
, vol.116
, pp. 259-292
-
-
Chacko, G.1
Viceira, L.M.2
-
20
-
-
0037213303
-
A multivariate model of strategic asset allocation
-
Campbell, J. Y., Y. L. Chan, and L. M. Viceira, 2003, "A Multivariate Model of Strategic Asset Allocation," Journal of Financial Economics, 67, 41-80.
-
(2003)
Journal of Financial Economics
, vol.67
, pp. 41-80
-
-
Campbell, J.Y.1
Chan, Y.L.2
Viceira, L.M.3
-
21
-
-
0012071898
-
Stock market mean reversion and the optimal equity allocation of a long-lived investor
-
Campbell, J. Y., J. Cocco, F. Gomes, P. J. Maenhout, and L. M. Viceira, 2001, "Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor," European Finance Review, 5, 269-292.
-
(2001)
European Finance Review
, vol.5
, pp. 269-292
-
-
Campbell, J.Y.1
Cocco, J.2
Gomes, F.3
Maenhout, P.J.4
Viceira, L.M.5
-
22
-
-
0002519023
-
Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk
-
Campbell, J. Y., M. Lettau, B. G. Malkiel, and Y. Xu, 2001, "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, 56, 1-44.
-
(2001)
Journal of Finance
, vol.56
, pp. 1-44
-
-
Campbell, J.Y.1
Lettau, M.2
Malkiel, B.G.3
Xu, Y.4
-
23
-
-
84890656542
-
-
Princeton University Press, Princeton, NJ
-
Campbell, J. Y., A. W. Lo, and A. C. MacKinlay, 1997, The Econometrics of Financial Markets, Princeton University Press, Princeton, NJ.
-
(1997)
The Econometrics of Financial Markets
-
-
Campbell, J.Y.1
Lo, A.W.2
MacKinlay, A.C.3
-
24
-
-
0002720622
-
Optimal consumption and portfolio policies when asset prices follow a diffusion process
-
Cox, J. C., and C. Huang, 1989, "Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process," Journal of Economic Theory, 49, 33-83.
-
(1989)
Journal of Economic Theory
, vol.49
, pp. 33-83
-
-
Cox, J.C.1
Huang, C.2
-
25
-
-
0001205798
-
A theory of the term structure of interest rates
-
Cox, J. C., J. E. Ingersoll, and S. Ross, 1985, "A Theory of the Term Structure of Interest Rates," Econometrica, 53, 385-408.
-
(1985)
Econometrica
, vol.53
, pp. 385-408
-
-
Cox, J.C.1
Ingersoll, J.E.2
Ross, S.3
-
26
-
-
0001659575
-
Meteor showers or heat waves? Heteroskedastic infra-daily volatility in the foreign exchange market
-
Engle, R. F., T. Ito, and W. Lin, 1990, "Meteor Showers or Heat Waves? Heteroskedastic Infra-Daily Volatility in the Foreign Exchange Market," Econometrica, 58, 525-542.
-
(1990)
Econometrica
, vol.58
, pp. 525-542
-
-
Engle, R.F.1
Ito, T.2
Lin, W.3
-
27
-
-
0000842941
-
Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework
-
Epstein, L., and S. Zin, 1989, "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework," Econometrica, 57, 937-69.
-
(1989)
Econometrica
, vol.57
, pp. 937-969
-
-
Epstein, L.1
Zin, S.2
-
28
-
-
84935429666
-
Substitution, risk aversion, and the temporal behavior of consumption and asset returns: An empirical investigation
-
Epstein, L., and S. Zin, 1991, "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Investigation," Journal of Political Economy, 99, 263-268.
-
(1991)
Journal of Political Economy
, vol.99
, pp. 263-268
-
-
Epstein, L.1
Zin, S.2
-
29
-
-
0142014457
-
Consumption and asset prices with homothetic recursive preferences
-
Federal Reserve Bank of Atlanta
-
Fisher, M., and C. Gilles, 1999, "Consumption and Asset Prices with Homothetic Recursive Preferences," Working Paper 99-17, Federal Reserve Bank of Atlanta.
-
(1999)
Working Paper
, vol.99
, Issue.17
-
-
Fisher, M.1
Gilles, C.2
-
30
-
-
45949117024
-
Expected stock returns and volatility
-
French, K. R., G. W. Schwert, and R. F. Stambaugh, 1987, "Expected Stock Returns and Volatility," Journal of Financial Economics, 19, 3-29.
-
(1987)
Journal of Financial Economics
, vol.19
, pp. 3-29
-
-
French, K.R.1
Schwert, G.W.2
Stambaugh, R.F.3
-
31
-
-
0003258355
-
Risk aversion and intertemporal substitution in the capital asset pricing model
-
NBER
-
Giovannini, A., and P. Weil, 1989, "Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model," Working Paper 2824, NBER.
-
(1989)
Working Paper
, vol.2824
-
-
Giovannini, A.1
Weil, P.2
-
32
-
-
84993601065
-
On the relation between the expected value and the volatility of the nominal excess return on stocks
-
Glosten, L. R., R. Jagannathan, and D. Runkle, 1993, "On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, 48, 1779-1801.
-
(1993)
Journal of Finance
, vol.48
, pp. 1779-1801
-
-
Glosten, L.R.1
Jagannathan, R.2
Runkle, D.3
-
33
-
-
84936526550
-
Intertemporal substitution in consumption
-
Hall, R. E., 1988, "Intertemporal Substitution in Consumption," Journal of Political Economy, 96, 339-357.
-
(1988)
Journal of Political Economy
, vol.96
, pp. 339-357
-
-
Hall, R.E.1
-
34
-
-
84977722638
-
The world price of covariance risk
-
Harvey, C., 1991, "The World Price of Covariance Risk," Journal of Finance, 46, 111-157.
-
(1991)
Journal of Finance
, vol.46
, pp. 111-157
-
-
Harvey, C.1
-
35
-
-
0037836721
-
A closed-form solution for options with stochastic volatility with applications to bond and currency options
-
Heston, S. L., 1993, "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, 6, 327-43.
-
(1993)
Review of Financial Studies
, vol.6
, pp. 327-343
-
-
Heston, S.L.1
-
36
-
-
0036005156
-
Estimation of continuous time stochastic processes via the empirical characteristic function
-
Jiang, G., and J. Knight, 2002, "Estimation of Continuous Time Stochastic Processes via the Empirical Characteristic Function," Journal of Business and Economic Statistics, 20, 187-213.
-
(2002)
Journal of Business and Economic Statistics
, vol.20
, pp. 187-213
-
-
Jiang, G.1
Knight, J.2
-
38
-
-
0347771648
-
Dynamic nonmyopic portfolio behavior
-
Kim, T. S., and E. Omberg, 1996, "Dynamic Nonmyopic Portfolio Behavior," Review of Financial Studies, 9, 141-161.
-
(1996)
Review of Financial Studies
, vol.9
, pp. 141-161
-
-
Kim, T.S.1
Omberg, E.2
-
39
-
-
0003442821
-
Portfolio selection in stochastic environment
-
University of CaliforniaLos Angeles
-
Liu, J., 2002, "Portfolio Selection in Stochastic Environment," Working Paper, University of CaliforniaLos Angeles.
-
(2002)
Working Paper
-
-
Liu, J.1
-
40
-
-
0040362508
-
Predictability and transaction costs: The impact on rebalancing rules and behavior
-
Lynch, A. W., and P. Balduzzi, 2000, "Predictability and Transaction Costs: The Impact on Rebalancing Rules and Behavior," Journal of Finance, 55, 2285-2309.
-
(2000)
Journal of Finance
, vol.55
, pp. 2285-2309
-
-
Lynch, A.W.1
Balduzzi, P.2
-
41
-
-
0000314740
-
Lifetime portfolio selection under uncertainty: The continuous time case
-
Merton, R. C.1969, "Lifetime Portfolio Selection Under Uncertainty: The Continuous Time Case," Review of Economics and Statistics, 51, 247-257.
-
(1969)
Review of Economics and Statistics
, vol.51
, pp. 247-257
-
-
Merton, R.C.1
-
42
-
-
0011090049
-
Optimum consumption and portfolio rules in a continuous-time model
-
Merton, R. C., 1971, "Optimum Consumption and Portfolio Rules in a Continuous-Time Model," Journal of Economic Theory, 3, 373-413.
-
(1971)
Journal of Economic Theory
, vol.3
, pp. 373-413
-
-
Merton, R.C.1
-
43
-
-
0001738730
-
An intertemporal capital asset pricing model
-
Merton, R. C., 1973, "An Intertemporal Capital Asset Pricing Model," Econometrica, 41, 867-887.
-
(1973)
Econometrica
, vol.41
, pp. 867-887
-
-
Merton, R.C.1
-
45
-
-
0000314743
-
Lifetime portfolio selection by dynamic stochastic programming
-
Samuelson, P. A., 1969, "Lifetime Portfolio Selection by Dynamic Stochastic Programming," Review of Economics and Statistics, 51, 239-246.
-
(1969)
Review of Economics and Statistics
, vol.51
, pp. 239-246
-
-
Samuelson, P.A.1
-
46
-
-
0001968456
-
Optimal consumption and portfolio selection with stochastic differential utility
-
Schroder, M, and C. Skiadas, 1999, "Optimal Consumption and Portfolio Selection with Stochastic Differential Utility," Journal of Economic Theory, 89, 68-126.
-
(1999)
Journal of Economic Theory
, vol.89
, pp. 68-126
-
-
Schroder, M.1
Skiadas, C.2
-
47
-
-
84977707955
-
Why does stock market volatility change over time?
-
Schwert, G. W., 1989, "Why Does Stock Market Volatility Change Over Time?" Journal of Finance, 44, 1115-1153.
-
(1989)
Journal of Finance
, vol.44
, pp. 1115-1153
-
-
Schwert, G.W.1
-
49
-
-
0000807050
-
Estimation of affine asset pricing models using the empirical characteristic function
-
Singleton, K. J., 2001, "Estimation of Affine Asset Pricing Models Using the Empirical Characteristic Function," Journal of Econometrics, 102, 111-141.
-
(2001)
Journal of Econometrics
, vol.102
, pp. 111-141
-
-
Singleton, K.J.1
-
50
-
-
0001284767
-
Stoke price distributions with stochastic volatility: An analytic approach
-
Stein, E. M. and J. C. Stein, 1991, "Stoke Price Distributions with Stochastic Volatility: An Analytic Approach," Review of Financial Studies, 4, 727-752.
-
(1991)
Review of Financial Studies
, vol.4
, pp. 727-752
-
-
Stein, E.M.1
Stein, J.C.2
-
51
-
-
0039192952
-
Optimal portfolio choice for long-horizon investors with nontradable labor income
-
Viceira, L. M., 2001, "Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income," Journal of Finance, 56, 433-470.
-
(2001)
Journal of Finance
, vol.56
, pp. 433-470
-
-
Viceira, L.M.1
-
52
-
-
0036692994
-
Limited asset market participation and the elasticity of intertemporal substitution
-
Vissin-Jorgensen, A., 2002, "Limited Asset Market Participation and the Elasticity of Intertemporal Substitution," Journal of Political Economy, 110, 825-853.
-
(2002)
Journal of Political Economy
, vol.110
, pp. 825-853
-
-
Vissin-Jorgensen, A.1
-
53
-
-
0036003373
-
Portfolio and consumption decisions under mean-reverting returns: An exact solution for complete markets
-
Wachtet, J., 2002, "Portfolio and Consumption Decisions Under Mean-Reverting Returns: An Exact Solution for Complete Markets," Journal of Financial and Quantitative Analysis, 37, 63-91.
-
(2002)
Journal of Financial and Quantitative Analysis
, vol.37
, pp. 63-91
-
-
Wachtet, J.1
-
54
-
-
0039107366
-
Learning about predictability: The effects of parameter uncertainty on dynamic asset allocation
-
Xia, Y., 2001, "Learning About Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation," Journal of Finance, 56, 205-246.
-
(2001)
Journal of Finance
, vol.56
, pp. 205-246
-
-
Xia, Y.1
|