-
1
-
-
0036198935
-
An exploration of the effects of pessimism and doubt on asset returns
-
Abel, A., 2002, "An Exploration of the Effects of Pessimism and Doubt on Asset Returns," Journal of Economic Dynamics and Control, 26, 1075-1092.
-
(2002)
Journal of Economic Dynamics and Control
, vol.26
, pp. 1075-1092
-
-
Abel, A.1
-
2
-
-
0348197959
-
A quartet of semi-groups for model specification, detection, robustness and the price of risk
-
(previous version titled "Risk and Robustness in Equilibrium), Stanford University
-
Andersen, E., L. Hansen, and T. Sargent, 2002, "A Quartet of Semi-Groups for Model Specification, Detection, Robustness and the Price of Risk" (previous version titled "Risk and Robustness in Equilibrium"), working paper, Stanford University.
-
(2002)
Working Paper
-
-
Andersen, E.1
Hansen, L.2
Sargent, T.3
-
3
-
-
0029528442
-
Is consumption growth consistent with intertemporal optimization? Evidence from the consumer expenditure survey
-
Attanansio, O., and G. Weber. 1995, "Is Consumption Growth Consistent with Intertemporal Optimization? Evidence from the Consumer Expenditure Survey," Journal of Political Economy, 103, 1121-1157.
-
(1995)
Journal of Political Economy
, vol.103
, pp. 1121-1157
-
-
Attanansio, O.1
Weber, G.2
-
4
-
-
0039179796
-
Investing for the long run when returns are predictable
-
Barberis, N., 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.1
-
6
-
-
0009713512
-
An intertemporal asset pricing model with stochastic consumption and investment opportunities
-
Breeden, p., 1979, "An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities," Journal of Financial Economics, 7, 265-296.
-
(1979)
Journal of Financial Economics
, vol.7
, pp. 265-296
-
-
Breeden, P.1
-
7
-
-
0000271564
-
The role of learning in dynamic portfolio decisions
-
Brennan, M., 1997, "The Role of Learning in Dynamic Portfolio Decisions," European Finance Review, 1, 295-306.
-
(1997)
European Finance Review
, vol.1
, pp. 295-306
-
-
Brennan, M.1
-
8
-
-
84993894907
-
Survival
-
Brown, S., W. Goetzmann, and S. Ross, 1995, "Survival," Journal of Finance, 50, 853-873.
-
(1995)
Journal of Finance
, vol.50
, pp. 853-873
-
-
Brown, S.1
Goetzmann, W.2
Ross, S.3
-
9
-
-
0036104673
-
Robustness and pricing with uncertain growth
-
Cagetti, M., L. Hansen, T. Sargent, and N. Williams, 2002, "Robustness and Pricing with Uncertain Growth," Review of Financial Studies, 15, 363-404.
-
(2002)
Review of Financial Studies
, vol.15
, pp. 363-404
-
-
Cagetti, M.1
Hansen, L.2
Sargent, T.3
Williams, N.4
-
10
-
-
0002340332
-
Individual decision making
-
J. Kagel and A. Roth (eds.), Princeton University Press, Princeton, NJ
-
Camerer, C., 1997, "Individual Decision Making," in J. Kagel and A. Roth (eds.), The Handbook of Experimental Economics, Princeton University Press, Princeton, NJ.
-
(1997)
The Handbook of Experimental Economics
-
-
Camerer, C.1
-
11
-
-
77956771554
-
Asset prices, consumption, and the business cycle
-
J. Taylor and M. Woodford (eds.), chap. 19, North-Holland, Amsterdam
-
Campbell, J. Y., 1999, "Asset Prices, Consumption, and the Business Cycle," in J. Taylor and M. Woodford (eds.), Handbook of Macroeconomics, vol. 1, chap. 19, North-Holland, Amsterdam.
-
(1999)
Handbook of Macroeconomics
, vol.1
-
-
Campbell, J.Y.1
-
12
-
-
0040250342
-
Valuation ratios and the long-run stock market outlook
-
Campbell, J. Y., and R. Shiller, 1998, "Valuation Ratios and the Long-Run Stock Market Outlook," Journal of Portfolio Management, 24, 11-26.
-
(1998)
Journal of Portfolio Management
, vol.24
, pp. 11-26
-
-
Campbell, J.Y.1
Shiller, R.2
-
13
-
-
0000013018
-
Asset pricing with distorted beliefs: Are equity returns too good to be true?
-
Cecchetti, S., P. Lam, and N. Mark, 2000, "Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to be True?," American Economic Review, 90, 787-805.
-
(2000)
American Economic Review
, vol.90
, pp. 787-805
-
-
Cecchetti, S.1
Lam, P.2
Mark, N.3
-
14
-
-
0036077604
-
Ambiguity, risk and asset returns in continuous time
-
Chen, Z., and L. Epstein, 2002, "Ambiguity, Risk and Asset Returns in Continuous Time," Econometrica, 70, 1403-1443.
-
(2002)
Econometrica
, vol.70
, pp. 1403-1443
-
-
Chen, Z.1
Epstein, L.2
-
15
-
-
0041318591
-
Where is the market going? Uncertain facts and novel theories
-
NBER
-
Cochrane, J., 1998, "Where is the Market Going? Uncertain Facts and Novel Theories," Working Paper 6207, NBER.
-
(1998)
Working Paper
, vol.6207
-
-
Cochrane, J.1
-
16
-
-
0002646438
-
Asset pricing explorations for macroeconomics
-
O. Blanchard and S. Fischer (eds.), MIT Press, Cambridge, MA
-
Cochrane, J., and L. Hansen, 1992, "Asset Pricing Explorations for Macroeconomics," in O. Blanchard and S. Fischer (eds.), National Bureau of Economic Research Macroeconomics Annual, MIT Press, Cambridge, MA.
-
(1992)
National Bureau of Economic Research Macroeconomics Annual
-
-
Cochrane, J.1
Hansen, L.2
-
17
-
-
33847554918
-
The valuation of options for alternative stochastic processes
-
Cox, J., and S. Ross, 1976, "The Valuation of Options for Alternative Stochastic Processes," Journal of Financial Economics, 3, 145-166.
-
(1976)
Journal of Financial Economics
, vol.3
, pp. 145-166
-
-
Cox, J.1
Ross, S.2
-
18
-
-
0000672689
-
Uncertainty aversion, risk aversion, and the optimal choice of portfolio
-
Dow, J., and S. Werlang, 1992, "Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio," Econometrica, 60, 197-204.
-
(1992)
Econometrica
, vol.60
, pp. 197-204
-
-
Dow, J.1
Werlang, S.2
-
19
-
-
0000189241
-
Asset pricing with stochastic differential utility
-
Duffie, D., and L. Epstein, 1992a, "Asset Pricing with Stochastic Differential Utility," Review of Financial Studies, 5, 411-436.
-
(1992)
Review of Financial Studies
, vol.5
, pp. 411-436
-
-
Duffie, D.1
Epstein, L.2
-
20
-
-
0001143199
-
Stochastic differential utility
-
Duffie, D., and L. Epstein, 1992b, "Stochastic Differential Utility," Econometrica, 60, 353-394.
-
(1992)
Econometrica
, vol.60
, pp. 353-394
-
-
Duffie, D.1
Epstein, L.2
-
21
-
-
38249015959
-
PDE solutions of stochastic differential utility
-
Duffie, D., and P.-L. Lions, 1992, "PDE Solutions of Stochastic Differential Utility," Journal of Mathematical Economics, 21, 577-606.
-
(1992)
Journal of Mathematical Economics
, vol.21
, pp. 577-606
-
-
Duffie, D.1
Lions, P.-L.2
-
22
-
-
84957363402
-
Risk, ambiguity and the savage axioms
-
Ellsberg, D., 1961, "Risk, Ambiguity and the Savage Axioms," Quarterly Journal of Economics, 25, 643-669.
-
(1961)
Quarterly Journal of Economics
, vol.25
, pp. 643-669
-
-
Ellsberg, D.1
-
23
-
-
7044269097
-
Learning under ambiguity
-
University of Rochester
-
Epstein, L., and M. Schneider, 2002, "Learning under Ambiguity," working paper, University of Rochester.
-
(2002)
Working Paper
-
-
Epstein, L.1
Schneider, M.2
-
24
-
-
0000206041
-
Intertemporal asset pricing under knightian uncertainty
-
Epstein, L., and T. Wang, 1994, "Intertemporal Asset Pricing Under Knightian Uncertainty," Econometrtca, 62, 283-322.
-
(1994)
Econometrtca
, vol.62
, pp. 283-322
-
-
Epstein, L.1
Wang, T.2
-
25
-
-
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, 937-969.
-
(1989)
Econometrica
, vol.57
, pp. 937-969
-
-
Epstein, L.1
Zin, S.2
-
26
-
-
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, 263-286.
-
(1991)
Journal of Political Economy
, vol.99
, pp. 263-286
-
-
Epstein, L.1
Zin, S.2
-
27
-
-
0001266334
-
Maxmin expected utility with non-unique prior
-
Gilboa, I., and D. Schmeidler, 1989, "Maxmin Expected Utility with Non-unique Prior," Journal of Mathematical Economics, 18, 141-153.
-
(1989)
Journal of Mathematical Economics
, vol.18
, pp. 141-153
-
-
Gilboa, I.1
Schmeidler, D.2
-
28
-
-
0029304830
-
Discounted linear exponential quadratic gaussian control
-
Hansen, L., and T. Sargent, 1995, "Discounted Linear Exponential Quadratic Gaussian Control," IEEE Transactions on Automatic Control, 40, 968-971.
-
(1995)
IEEE Transactions on Automatic Control
, vol.40
, pp. 968-971
-
-
Hansen, L.1
Sargent, T.2
-
30
-
-
0001028301
-
Robust permanent income and pricing
-
Hansen, L., T. Sargent, and T. Tallarini, 1999, "Robust Permanent Income and Pricing," Review of Economic Studies, 66, 873-907.
-
(1999)
Review of Economic Studies
, vol.66
, pp. 873-907
-
-
Hansen, L.1
Sargent, T.2
Tallarini, T.3
-
31
-
-
0038800555
-
Robustness and uncertainty aversion
-
University of Chicago
-
Hansen, L., T. Sargent, G. Turmuhambetova, and N. Williams, 2002, "Robustness and Uncertainty Aversion," working paper, University of Chicago.
-
(2002)
Working Paper
-
-
Hansen, L.1
Sargent, T.2
Turmuhambetova, G.3
Williams, N.4
-
32
-
-
38649141305
-
Martingales and arbitrage in multiperiod securities markets
-
Harrison, M., and D. Kreps, 1979, "Martingales and Arbitrage in Multiperiod Securities Markets," Journal of Economic Theory, 20, 381-408.
-
(1979)
Journal of Economic Theory
, vol.20
, pp. 381-408
-
-
Harrison, M.1
Kreps, D.2
-
33
-
-
0000985905
-
Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
-
He, H., and N. Pearson, 1991, "Consumption and Portfolio Policies with Incomplete Markets and Short-Sale Constraints: The Infinite Dimensional Case," Journal of Economic Theory, 54, 259-304.
-
(1991)
Journal of Economic Theory
, vol.54
, pp. 259-304
-
-
He, H.1
Pearson, N.2
-
34
-
-
0043137717
-
Stock prices and fundamentals
-
B. Bernanke and J. Rotemberg (eds.), MIT Press, Cambridge, MA
-
Heaton, J., and D. Lucas, 1999, "Stock Prices and Fundamentals," in B. Bernanke and J. Rotemberg (eds.), National Bureau of Economic Research Macroeconomics Annual 1999, MIT Press, Cambridge, MA.
-
(1999)
National Bureau of Economic Research Macroeconomics Annual 1999
-
-
Heaton, J.1
Lucas, D.2
-
35
-
-
0009437270
-
Global stock markets in the twentieth century
-
Jorion, P., and W. Goetzmann, 1999, "Global Stock Markets in the Twentieth Century," Journal of Finance, 54, 953-980.
-
(1999)
Journal of Finance
, vol.54
, pp. 953-980
-
-
Jorion, P.1
Goetzmann, W.2
-
37
-
-
0001599381
-
The effect of estimation risk on optimal portfolio choice
-
Klein, R., and V. Bawa, 1976, "The Effect of Estimation Risk on Optimal Portfolio Choice," Journal of Financial Economics, 3, 215-231.
-
(1976)
Journal of Financial Economics
, vol.3
, pp. 215-231
-
-
Klein, R.1
Bawa, V.2
-
38
-
-
7044270676
-
Learning how to invest when returns are uncertain
-
Harvard University
-
Knox, T., 2002, "Learning How to Invest when Returns are Uncertain," working paper, Harvard University.
-
(2002)
Working Paper
-
-
Knox, T.1
-
39
-
-
0142251481
-
Risk aversion and optimal portfolio policies in partial and general equilibrium economies
-
University of Pennsylvania
-
Kogan, L., and R. Uppal, 2000, "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," working paper, University of Pennsylvania.
-
(2000)
Working Paper
-
-
Kogan, L.1
Uppal, R.2
-
40
-
-
1842449669
-
Minimax behavior in portfolio selection
-
Krasker, W., 1982, "Minimax Behavior in Portfolio Selection," Journal of Finance, 27, 609-614.
-
(1982)
Journal of Finance
, vol.27
, pp. 609-614
-
-
Krasker, W.1
-
41
-
-
4344660127
-
An equilibrium model of rare event premia
-
MIT
-
Liu, J., J. Pan, and T. Wang, 2002, "An Equilibrium Model of Rare Event Premia," working paper, MIT.
-
(2002)
Working Paper
-
-
Liu, J.1
Pan, J.2
Wang, T.3
-
42
-
-
24044509063
-
Savings and portfolio decisions: Observable implications with knightian uncertainty
-
University of Washington
-
Liu, W.-F., 1998, "Savings and Portfolio Decisions: Observable Implications with Knightian Uncertainty," working paper, University of Washington.
-
(1998)
Working Paper
-
-
Liu, W.-F.1
-
43
-
-
0000150312
-
Asset prices in an exchange economy
-
Lucas, R. E., 1978, "Asset Prices in an Exchange Economy," Econometrica, 46, 1426-1445.
-
(1978)
Econometrica
, vol.46
, pp. 1426-1445
-
-
Lucas, R.E.1
-
44
-
-
7044251774
-
Robust portfolio rules
-
chap. I, unpublished Ph.D. dissertation, Harvard University
-
Maenhout, P., 2000, "Robust Portfolio Rules," chap. I in Essays on Portfolio Choice and Asset Pricing, unpublished Ph.D. dissertation, Harvard University.
-
(2000)
Essays on Portfolio Choice and Asset Pricing
-
-
Maenhout, P.1
-
45
-
-
46549099071
-
The equity premium: A puzzle
-
Mehra, R., and E. Prescott, 1985, "The Equity Premium: A Puzzle," Journal of Monetary Economics, 15, 145-161.
-
(1985)
Journal of Monetary Economics
, vol.15
, pp. 145-161
-
-
Mehra, R.1
Prescott, E.2
-
46
-
-
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
-
47
-
-
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
-
48
-
-
85025724501
-
On estimating the expected return on the market: An exploratory investigation
-
Merton, R. C., 1980, "On Estimating the Expected Return on the Market: An Exploratory Investigation," Journal of Financial Economics, 8, 323-361.
-
(1980)
Journal of Financial Economics
, vol.8
, pp. 323-361
-
-
Merton, R.C.1
-
49
-
-
0040925670
-
The equity premium and structural breaks
-
Pastor, L., and R. Stambaugh, 2001, "The Equity Premium and Structural Breaks," Journal of Finance, 56, 1207-1239.
-
(2001)
Journal of Finance
, vol.56
, pp. 1207-1239
-
-
Pastor, L.1
Stambaugh, R.2
-
50
-
-
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
-
51
-
-
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
-
52
-
-
0142078181
-
Robust control and recursive utility
-
forthcoming
-
Skiadas, C., 2003, "Robust Control and Recursive Utility," forthcoming in Finance and Stochastics.
-
(2003)
Finance and Stochastics
-
-
Skiadas, C.1
-
53
-
-
0042493164
-
Risk-sensitive real business cycles
-
Tallarini, T., Jr., 1999, "Risk-Sensitive Real Business Cycles," Journal of Monetary Economics, 45, 507-532.
-
(1999)
Journal of Monetary Economics
, vol.45
, pp. 507-532
-
-
Tallarini Jr., T.1
-
54
-
-
0345016438
-
Model misspecification and underdiversification
-
forthcoming
-
Uppal, R., and T. Wang, 2003, "Model Misspecification and Underdiversification," forthcoming in Journal of Finance.
-
(2003)
Journal of Finance
-
-
Uppal, R.1
Wang, T.2
-
55
-
-
0036692994
-
Limited stock market participation and the elasticity of intertemporal substitution
-
Vissing-Jorgensen, A., 2002, "Limited Stock 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
-
-
Vissing-Jorgensen, A.1
-
56
-
-
3042618633
-
A class of multi-prior preferences
-
University of British Columbia
-
Wang, T., 2003, "A Class of Multi-Prior Preferences," working paper, University of British Columbia.
-
(2003)
Working Paper
-
-
Wang, T.1
-
57
-
-
38249004563
-
The equity premium puzzle and the risk-free rate puzzle
-
Weil, P., 1989, "The Equity Premium Puzzle and the Risk-Free Rate Puzzle," Journal of Monetary Economics, 24, 401-421.
-
(1989)
Journal of Monetary Economics
, vol.24
, pp. 401-421
-
-
Weil, P.1
-
58
-
-
0001926061
-
Nonexpected utility in macroeconomics
-
Weil, P., 1990, "Nonexpected Utility in Macroeconomics," Quarterly Journal of Economics, 105, 29-42.
-
(1990)
Quarterly Journal of Economics
, vol.105
, pp. 29-42
-
-
Weil, P.1
-
59
-
-
0039621123
-
Views of financial economists on the equity premium and on professional controversies
-
Welch, I., 2000, "Views of Financial Economists on the Equity Premium and on Professional Controversies," Journal of Business, 73, 501-538.
-
(2000)
Journal of Business
, vol.73
, pp. 501-538
-
-
Welch, I.1
-
60
-
-
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
|