-
1
-
-
0003692758
-
-
Working paper, Department of Economics, University of Chicago
-
Anderson, E., Hansen, L., Sargent, T. (2000). Robustness, detection and the price of risk. Working paper, Department of Economics, University of Chicago
-
(2000)
Robustness, detection and the price of risk
-
-
Anderson, E.1
Hansen, L.2
Sargent, T.3
-
4
-
-
2342581211
-
A quantization algorithm for solving discrete time multidimensional optimal stopping problems
-
Bally V., and Pages G. A quantization algorithm for solving discrete time multidimensional optimal stopping problems. Bernoulli 9 (2002) 1003-1049
-
(2002)
Bernoulli
, vol.9
, pp. 1003-1049
-
-
Bally, V.1
Pages, G.2
-
7
-
-
77950471080
-
Discrete time approximation of decoupled forward-backward SDE with jumps
-
Université Paris 6 and CREST
-
Bouchard, B., Elie, R. (2005). Discrete time approximation of decoupled forward-backward SDE with jumps. Working paper, LPMA, CNRS, UMR 7599, Université Paris 6 and CREST
-
(2005)
Working paper, LPMA, CNRS, UMR
, pp. 7599
-
-
Bouchard, B.1
Elie, R.2
-
8
-
-
2342427092
-
Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
-
Bouchard B., and Touzi N. Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations. Stochastic Processes and their Applications 111 (2004) 175-206
-
(2004)
Stochastic Processes and their Applications
, vol.111
, pp. 175-206
-
-
Bouchard, B.1
Touzi, N.2
-
9
-
-
34247233899
-
Portfolio choice problems
-
forthcoming, Ait-Sahalia, Y, Hansen, L.P, Eds, Elsevier/North-Holland, New York
-
Brandt, M.W. (forthcoming). Portfolio choice problems. In: Ait-Sahalia, Y., Hansen, L.P. (Eds.), Handbook of Financial Econometrics, Elsevier/North-Holland, New York
-
Handbook of Financial Econometrics
-
-
Brandt, M.W.1
-
11
-
-
27544436210
-
Dynamic consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
-
Chacko G., and Viceira L. Dynamic consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets. Review of Financial Studies 18 (2005) 1369-1402
-
(2005)
Review of Financial Studies
, vol.18
, pp. 1369-1402
-
-
Chacko, G.1
Viceira, L.2
-
12
-
-
0036077604
-
Ambiguity, risk, and asset returns in continuous time
-
Chen Z., and Epstein L. Ambiguity, risk, and asset returns in continuous time. Econometrica 70 (2002) 1403-1443
-
(2002)
Econometrica
, vol.70
, pp. 1403-1443
-
-
Chen, Z.1
Epstein, L.2
-
14
-
-
0038394778
-
Numerical methods for backward stochastic differential equations
-
Rogers L., and Talay D. (Eds), Cambridge Univ. Press, Cambridge, UK
-
Chevance D. Numerical methods for backward stochastic differential equations. In: Rogers L., and Talay D. (Eds). Numerical Methods in Finance (1997), Cambridge Univ. Press, Cambridge, UK 232-244
-
(1997)
Numerical Methods in Finance
, pp. 232-244
-
-
Chevance, D.1
-
15
-
-
84935322716
-
Habit formation: A resolution of the equity premium puzzle
-
Constantinides G.M. Habit formation: A resolution of the equity premium puzzle. Journal of Political Economy 98 (1990) 519-543
-
(1990)
Journal of Political Economy
, vol.98
, pp. 519-543
-
-
Constantinides, G.M.1
-
16
-
-
0002720622
-
Optimal consumption and portfolio policies when asset prices follow a diffusion process
-
Cox J., and Huang C.-F. Optimal consumption and portfolio policies when asset prices follow a diffusion process. Journal of Economic Theory 49 (1989) 33-83
-
(1989)
Journal of Economic Theory
, vol.49
, pp. 33-83
-
-
Cox, J.1
Huang, C.-F.2
-
17
-
-
0030637289
-
Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
-
Cuoco D. Optimal consumption and equilibrium prices with portfolio constraints and stochastic income. Journal of Economic Theory 72 (1997) 33-73
-
(1997)
Journal of Economic Theory
, vol.72
, pp. 33-73
-
-
Cuoco, D.1
-
21
-
-
0000024283
-
Utility maximization in incomplete markets with random endowment
-
Cvitanić J., Schachermayer W., and Wang H. Utility maximization in incomplete markets with random endowment. Finance and Stochastics 5 (2001) 259-272
-
(2001)
Finance and Stochastics
, vol.5
, pp. 259-272
-
-
Cvitanić, J.1
Schachermayer, W.2
Wang, H.3
-
22
-
-
0036145215
-
Investor psychology in capital markets: Evidence and policy implications
-
Daniel K., Hirshleifer D., and Teoh S.H. Investor psychology in capital markets: Evidence and policy implications. Journal of Monetary Economics 49 (2002) 139-209
-
(2002)
Journal of Monetary Economics
, vol.49
, pp. 139-209
-
-
Daniel, K.1
Hirshleifer, D.2
Teoh, S.H.3
-
24
-
-
0037501599
-
Dynamic equilibrium with liquidity constraints
-
Detemple J., and Serrat A. Dynamic equilibrium with liquidity constraints. Review of Financial Studies 16 (2003) 597-629
-
(2003)
Review of Financial Studies
, vol.16
, pp. 597-629
-
-
Detemple, J.1
Serrat, A.2
-
25
-
-
0001370320
-
Asset prices in an exchange economy with habit formation
-
Detemple J., and Zapatero F. Asset prices in an exchange economy with habit formation. Econometrica 59 (1991) 1633-1657
-
(1991)
Econometrica
, vol.59
, pp. 1633-1657
-
-
Detemple, J.1
Zapatero, F.2
-
26
-
-
0030520557
-
Numerical methods for forward-backward stochastic differential equations
-
Douglas Jr. J., Ma J., and Protter P. Numerical methods for forward-backward stochastic differential equations. Annals of Applied Probability 6 (1996) 940-968
-
(1996)
Annals of Applied Probability
, vol.6
, pp. 940-968
-
-
Douglas Jr., J.1
Ma, J.2
Protter, P.3
-
28
-
-
25144494545
-
Credit risk modeling with affine processes
-
Duffie D. Credit risk modeling with affine processes. Journal of Banking and Finance 29 (2005) 2751-2802
-
(2005)
Journal of Banking and Finance
, vol.29
, pp. 2751-2802
-
-
Duffie, D.1
-
29
-
-
0001143199
-
Stochastic differential utility
-
Duffie D., and Epstein L. Stochastic differential utility. Econometrica 60 (1992) 353-394
-
(1992)
Econometrica
, vol.60
, pp. 353-394
-
-
Duffie, D.1
Epstein, L.2
-
30
-
-
38149144032
-
Continuous-time security pricing: A utility gradient approach
-
Duffie D., and Skiadas C. Continuous-time security pricing: A utility gradient approach. Journal of Mathematical Economics 23 (1994) 107-131
-
(1994)
Journal of Mathematical Economics
, vol.23
, pp. 107-131
-
-
Duffie, D.1
Skiadas, C.2
-
31
-
-
84986783418
-
Optimal investment with undiversifiable income risk
-
Duffie D., and Zariphopoulou T. Optimal investment with undiversifiable income risk. Mathematical Finance 3 (1993) 135-148
-
(1993)
Mathematical Finance
, vol.3
, pp. 135-148
-
-
Duffie, D.1
Zariphopoulou, T.2
-
33
-
-
34548501149
-
-
Working paper, Olin School of Business, Washington University, St. Louis, MO
-
Dybvig, P.H., Liu, H. (2005). Lifetime consumption and investment: Retirement and constrained borrowing. Working paper, Olin School of Business, Washington University, St. Louis, MO
-
(2005)
Lifetime consumption and investment: Retirement and constrained borrowing
-
-
Dybvig, P.H.1
Liu, H.2
-
35
-
-
0002234857
-
-
El Karoui N., and Mazliak L. (Eds), Addison-Wesley/Longman, Essex, UK
-
In: El Karoui N., and Mazliak L. (Eds). Backward Stochastic Differential Equations (1997), Addison-Wesley/Longman, Essex, UK
-
(1997)
Backward Stochastic Differential Equations
-
-
-
37
-
-
0035413556
-
A dynamic maximum principle for the optimization of recursive utilities under constraints
-
El Karoui N., Peng S., and Quenez M.-C. A dynamic maximum principle for the optimization of recursive utilities under constraints. Annals of Applied Probability 11 (2001) 664-693
-
(2001)
Annals of Applied Probability
, vol.11
, pp. 664-693
-
-
El Karoui, N.1
Peng, S.2
Quenez, M.-C.3
-
38
-
-
84957363402
-
Risk, ambiguity, and the savage axioms
-
Ellsberg D. Risk, ambiguity, and the savage axioms. Quarterly Journal of Economics 75 (1961) 643-669
-
(1961)
Quarterly Journal of Economics
, vol.75
, pp. 643-669
-
-
Ellsberg, D.1
-
39
-
-
0003257472
-
Behavior under risk: Recent developments in theory and applications
-
Laffont J.-J. (Ed), Cambridge Univ. Press, Cambridge, UK
-
Epstein L. Behavior under risk: Recent developments in theory and applications. In: Laffont J.-J. (Ed). Advances in Economic Theory (1992), Cambridge Univ. Press, Cambridge, UK
-
(1992)
Advances in Economic Theory
-
-
Epstein, L.1
-
42
-
-
0000842941
-
Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework
-
Epstein L., and Zin S. Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework. Econometrica 57 (1989) 937-969
-
(1989)
Econometrica
, vol.57
, pp. 937-969
-
-
Epstein, L.1
Zin, S.2
-
43
-
-
77950503382
-
-
Working paper, Department of Economics, MIT, Cambridge, MA
-
Farhi, E., Panageas, S. (2005). Saving and investing for early retirement: A theoretical analysis. Working paper, Department of Economics, MIT, Cambridge, MA
-
(2005)
Saving and investing for early retirement: A theoretical analysis
-
-
Farhi, E.1
Panageas, S.2
-
46
-
-
29144464083
-
A regression-based Monte Carlo method to solve backward stochastic differential equations
-
Gobet E., Lemor J., and Warin X. A regression-based Monte Carlo method to solve backward stochastic differential equations. Annals of Applied Probability 15 (2005) 2172-2202
-
(2005)
Annals of Applied Probability
, vol.15
, pp. 2172-2202
-
-
Gobet, E.1
Lemor, J.2
Warin, X.3
-
48
-
-
0001969053
-
Asset pricing and optimal portfolio choice in the presence of illiquid durable consumption goods
-
Grossman S.J., and Laroque G. Asset pricing and optimal portfolio choice in the presence of illiquid durable consumption goods. Econometrica 58 (1990) 25-51
-
(1990)
Econometrica
, vol.58
, pp. 25-51
-
-
Grossman, S.J.1
Laroque, G.2
-
49
-
-
0038415131
-
Équations différentielles stochastiques rétrogrades : Le cas localement Lipschitzien
-
Hamadene S. Équations différentielles stochastiques rétrogrades : Le cas localement Lipschitzien. Annales de l'Institut Henri Poincaré 32 (1996) 645-659
-
(1996)
Annales de l'Institut Henri Poincaré
, vol.32
, pp. 645-659
-
-
Hamadene, S.1
-
50
-
-
0038800555
-
-
Working paper, Department of Economics, University of Chicago
-
Hansen, L., Sargent, T., Turmuhambetova, G., Williams, N. (2001). Robustness and uncertainty aversion. Working paper, Department of Economics, University of Chicago
-
(2001)
Robustness and uncertainty aversion
-
-
Hansen, L.1
Sargent, T.2
Turmuhambetova, G.3
Williams, N.4
-
51
-
-
0001303966
-
Labor income, borrowing constraints and equilibrium asset prices: A duality approach
-
He H., and Pagès H. Labor income, borrowing constraints and equilibrium asset prices: A duality approach. Economic Theory 3 (1993) 663-696
-
(1993)
Economic Theory
, vol.3
, pp. 663-696
-
-
He, H.1
Pagès, H.2
-
52
-
-
0000985905
-
Consumption and portfolio policies with incomplete markets and short-sale constrains: The infinite dimensional case
-
He H., and Pearson N. Consumption and portfolio policies with incomplete markets and short-sale constrains: The infinite dimensional case. Journal of Economic Theory 54 (1991) 259-304
-
(1991)
Journal of Economic Theory
, vol.54
, pp. 259-304
-
-
He, H.1
Pearson, N.2
-
56
-
-
0023455980
-
Optimal portfolio and consumption decisions for a 'small investor' on a finite horizon
-
Karatzas I., Lehoczky J., and Shreve S. Optimal portfolio and consumption decisions for a 'small investor' on a finite horizon. SIAM Journal of Control and Optimization 25 (1987) 1557-1586
-
(1987)
SIAM Journal of Control and Optimization
, vol.25
, pp. 1557-1586
-
-
Karatzas, I.1
Lehoczky, J.2
Shreve, S.3
-
58
-
-
0347771648
-
Dynamic nonmyopic portfolio behavior
-
Kim T., and Omberg E. Dynamic nonmyopic portfolio behavior. Review of Financial Studies 9 (1996) 141-162
-
(1996)
Review of Financial Studies
, vol.9
, pp. 141-162
-
-
Kim, T.1
Omberg, E.2
-
59
-
-
3042633072
-
-
Working paper, MEDS, Kellogg School of Management, Northwestern University
-
Klibanoff, P., Marinacci, M., Mukerji, S. (2002). A smooth model of decision making under ambiguity. Working paper, MEDS, Kellogg School of Management, Northwestern University
-
(2002)
A smooth model of decision making under ambiguity
-
-
Klibanoff, P.1
Marinacci, M.2
Mukerji, S.3
-
60
-
-
0034345576
-
Backward stochastic differential equations and partial differential equations with quadratic growth
-
Kobylanski M. Backward stochastic differential equations and partial differential equations with quadratic growth. The Annals of Probability 28 (2000) 558-602
-
(2000)
The Annals of Probability
, vol.28
, pp. 558-602
-
-
Kobylanski, M.1
-
61
-
-
0031617382
-
Nontraded assets in incomplete markets
-
Koo H. Nontraded assets in incomplete markets. Mathematical Finance 8 (1998) 49-65
-
(1998)
Mathematical Finance
, vol.8
, pp. 49-65
-
-
Koo, H.1
-
62
-
-
0003464514
-
-
World Scientific, River Edge, NJ
-
Korn R. Optimal Portfolios (1997), World Scientific, River Edge, NJ
-
(1997)
Optimal Portfolios
-
-
Korn, R.1
-
63
-
-
0033249382
-
The asymptotic elasticity of utility functions and optimal investment in incomplete markets
-
Kramkov D., and Schachermayer W. The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Annals of Applied Probability 9 (1999) 904-950
-
(1999)
Annals of Applied Probability
, vol.9
, pp. 904-950
-
-
Kramkov, D.1
Schachermayer, W.2
-
64
-
-
0346913242
-
Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
-
Kramkov D., and Schachermayer W. Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Annals of Applied Probability 13 (2003) 1504-1516
-
(2003)
Annals of Applied Probability
, vol.13
, pp. 1504-1516
-
-
Kramkov, D.1
Schachermayer, W.2
-
65
-
-
0001072531
-
Temporal resolution of uncertainty and dynamic choice theory
-
Kreps D., and Porteus E. Temporal resolution of uncertainty and dynamic choice theory. Econometrica 46 (1978) 185-200
-
(1978)
Econometrica
, vol.46
, pp. 185-200
-
-
Kreps, D.1
Porteus, E.2
-
67
-
-
34248521006
-
Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
-
Lemor J., Gobet E., and Warin X. Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations. Bernoulli 12 (2006) 889-916
-
(2006)
Bernoulli
, vol.12
, pp. 889-916
-
-
Lemor, J.1
Gobet, E.2
Warin, X.3
-
68
-
-
0031116187
-
Backward stochastic differential equations with continuous coefficient
-
Lepeltier J.-P., and San Martín J. Backward stochastic differential equations with continuous coefficient. Statistics and Probability Letters 32 (1997) 425-430
-
(1997)
Statistics and Probability Letters
, vol.32
, pp. 425-430
-
-
Lepeltier, J.-P.1
San Martín, J.2
-
70
-
-
0142109762
-
On the existence or non-existence of solutions for certain backward stochastic differential equations
-
Lepeltier J.-P., and San Martín J. On the existence or non-existence of solutions for certain backward stochastic differential equations. Bernoulli 8 (2002) 123-137
-
(2002)
Bernoulli
, vol.8
, pp. 123-137
-
-
Lepeltier, J.-P.1
San Martín, J.2
-
71
-
-
1642387320
-
Optimal consumption and investment with transaction costs and multiple risky assets
-
Liu H. Optimal consumption and investment with transaction costs and multiple risky assets. Journal of Finance 59 (2004) 289-338
-
(2004)
Journal of Finance
, vol.59
, pp. 289-338
-
-
Liu, H.1
-
73
-
-
0036296927
-
Optimal portfolio selection with transaction costs and finite horizons
-
Liu H., and Loewenstein M. Optimal portfolio selection with transaction costs and finite horizons. Review of Financial Studies 15 (2002) 805-835
-
(2002)
Review of Financial Studies
, vol.15
, pp. 805-835
-
-
Liu, H.1
Loewenstein, M.2
-
76
-
-
0344891803
-
Solving forward-backward stochastic differential equations explicitly-A four step scheme
-
Ma J., Protter P., and Yong J. Solving forward-backward stochastic differential equations explicitly-A four step scheme. Probability Theory and Related Fields 98 (1994) 339-359
-
(1994)
Probability Theory and Related Fields
, vol.98
, pp. 339-359
-
-
Ma, J.1
Protter, P.2
Yong, J.3
-
79
-
-
84995186518
-
Portfolio selection
-
Markowitz H. Portfolio selection. Journal of Finance 7 (1952) 77-91
-
(1952)
Journal of Finance
, vol.7
, pp. 77-91
-
-
Markowitz, H.1
-
80
-
-
0000314740
-
Lifetime portfolio selection under uncertainty: The continuous time case
-
Merton R. Lifetime portfolio selection under uncertainty: The continuous time case. Review of Economics and Statistics 51 (1969) 247-257
-
(1969)
Review of Economics and Statistics
, vol.51
, pp. 247-257
-
-
Merton, R.1
-
81
-
-
0011090049
-
Optimum consumption and portfolio rules in a continuous-time model
-
Merton R. Optimum consumption and portfolio rules in a continuous-time model. Journal of Economic Theory 3 (1971) 373-413
-
(1971)
Journal of Economic Theory
, vol.3
, pp. 373-413
-
-
Merton, R.1
-
84
-
-
21144436340
-
An example of indifference prices under exponential preferences
-
Musiela M., and Zariphopoulou T. An example of indifference prices under exponential preferences. Finance and Stochastics 8 (2004) 229-239
-
(2004)
Finance and Stochastics
, vol.8
, pp. 229-239
-
-
Musiela, M.1
Zariphopoulou, T.2
-
86
-
-
0028560106
-
Risk-taking, global diversification, and growth
-
Obstfeld M. Risk-taking, global diversification, and growth. American Economic Review 84 (1994) 1310-1329
-
(1994)
American Economic Review
, vol.84
, pp. 1310-1329
-
-
Obstfeld, M.1
-
87
-
-
0036929730
-
Optimal consumption and portfolio with fixed and proportional transaction costs
-
Øksendal B., and Sulem A. Optimal consumption and portfolio with fixed and proportional transaction costs. SIAM Journal of Control and Optimization 40 (2002) 1765-1790
-
(2002)
SIAM Journal of Control and Optimization
, vol.40
, pp. 1765-1790
-
-
Øksendal, B.1
Sulem, A.2
-
89
-
-
0025262967
-
Adapted solution of a backward stochastic differential equation
-
Pardoux E., and Peng S. Adapted solution of a backward stochastic differential equation. Systems and Control Letters 14 (1990) 55-61
-
(1990)
Systems and Control Letters
, vol.14
, pp. 55-61
-
-
Pardoux, E.1
Peng, S.2
-
90
-
-
73849108339
-
Affine term structure models
-
Elsevier/North-Holland, Amsterdam/New York
-
Piazzesi M. Affine term structure models. Handbook of Financial Econometrics (2005), Elsevier/North-Holland, Amsterdam/New York
-
(2005)
Handbook of Financial Econometrics
-
-
Piazzesi, M.1
-
91
-
-
0001579697
-
Risk aversion in the small and in the large
-
Pratt J.W. Risk aversion in the small and in the large. Econometrica 32 (1964) 122-136
-
(1964)
Econometrica
, vol.32
, pp. 122-136
-
-
Pratt, J.W.1
-
92
-
-
0001968456
-
Optimal consumption and portfolio selection with stochastic differential utility
-
Schroder M., and Skiadas C. Optimal consumption and portfolio selection with stochastic differential utility. Journal of Economic Theory 89 (1999) 68-126
-
(1999)
Journal of Economic Theory
, vol.89
, pp. 68-126
-
-
Schroder, M.1
Skiadas, C.2
-
93
-
-
0036349805
-
An isomorphism between asset pricing models with and without linear habit formation
-
Schroder M., and Skiadas C. An isomorphism between asset pricing models with and without linear habit formation. Review of Financial Studies 15 (2002) 1189-1221
-
(2002)
Review of Financial Studies
, vol.15
, pp. 1189-1221
-
-
Schroder, M.1
Skiadas, C.2
-
94
-
-
0142087749
-
Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences
-
Schroder M., and Skiadas C. Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences. Stochastic Processes and Their Applications 108 (2003) 155-202
-
(2003)
Stochastic Processes and Their Applications
, vol.108
, pp. 155-202
-
-
Schroder, M.1
Skiadas, C.2
-
95
-
-
10244244992
-
Lifetime consumption-portfolio choice under trading constraints and nontradeable income
-
Schroder M., and Skiadas C. Lifetime consumption-portfolio choice under trading constraints and nontradeable income. Stochastic Processes and Their Applications 115 (2005) 1-30
-
(2005)
Stochastic Processes and Their Applications
, vol.115
, pp. 1-30
-
-
Schroder, M.1
Skiadas, C.2
-
96
-
-
77950478630
-
Optimality and state pricing in constrained financial markets with recursive utility under continuous and discontinuous information
-
in press
-
Schroder, M., Skiadas, C. (2005b). Optimality and state pricing in constrained financial markets with recursive utility under continuous and discontinuous information. Mathematical Finance, in press
-
(2005)
Mathematical Finance
-
-
Schroder, M.1
Skiadas, C.2
-
97
-
-
0000092680
-
First-order versus second-order risk aversion
-
Segal U., and Spivak A. First-order versus second-order risk aversion. Journal of Economic Theory 51 (1990) 111-125
-
(1990)
Journal of Economic Theory
, vol.51
, pp. 111-125
-
-
Segal, U.1
Spivak, A.2
-
99
-
-
0000557964
-
Optimal investment and consumption with transaction costs
-
Shreve S., and Soner H.M. Optimal investment and consumption with transaction costs. Annals of Applied Probability 4 (1994) 609-692
-
(1994)
Annals of Applied Probability
, vol.4
, pp. 609-692
-
-
Shreve, S.1
Soner, H.M.2
-
100
-
-
0002961811
-
A duality method for optimal consumption and investment under short-selling prohibition. I. General market coefficients
-
Shreve S., and Xu G. A duality method for optimal consumption and investment under short-selling prohibition. I. General market coefficients. Annals of Applied Probability 2 (1992) 87-112
-
(1992)
Annals of Applied Probability
, vol.2
, pp. 87-112
-
-
Shreve, S.1
Xu, G.2
-
101
-
-
0002961815
-
A duality method for optimal consumption and investment under short-selling prohibition. II. Constant market coefficients
-
Shreve S., and Xu G. A duality method for optimal consumption and investment under short-selling prohibition. II. Constant market coefficients. Annals of Applied Probability 2 (1992) 314-328
-
(1992)
Annals of Applied Probability
, vol.2
, pp. 314-328
-
-
Shreve, S.1
Xu, G.2
-
102
-
-
0032220562
-
Recursive utility and preferences for information
-
Skiadas C. Recursive utility and preferences for information. Economic Theory 12 (1998) 293-312
-
(1998)
Economic Theory
, vol.12
, pp. 293-312
-
-
Skiadas, C.1
-
103
-
-
0142078181
-
Robust control and recursive utility
-
Skiadas C. Robust control and recursive utility. Finance and Stochastics 7 (2003) 475-489
-
(2003)
Finance and Stochastics
, vol.7
, pp. 475-489
-
-
Skiadas, C.1
-
104
-
-
0002387168
-
Intertemporally dependent preferences and the volatility of consumption and wealth
-
Sundaresan S. Intertemporally dependent preferences and the volatility of consumption and wealth. Review of Financial Studies 2 (1989) 73-89
-
(1989)
Review of Financial Studies
, vol.2
, pp. 73-89
-
-
Sundaresan, S.1
-
105
-
-
38249006735
-
Portfolio choice with non-expected utility in continuous time
-
Svensson L. Portfolio choice with non-expected utility in continuous time. Economic Letters 30 (1989) 313-317
-
(1989)
Economic Letters
, vol.30
, pp. 313-317
-
-
Svensson, L.1
-
106
-
-
38249001772
-
Nontraded assets in incomplete markets: Pricing and portfolio choice
-
Svensson L., and Werner I. Nontraded assets in incomplete markets: Pricing and portfolio choice. European Economic Review 37 (1993) 1149-1168
-
(1993)
European Economic Review
, vol.37
, pp. 1149-1168
-
-
Svensson, L.1
Werner, I.2
-
107
-
-
0345016438
-
Model misspecification and under-diversification
-
Uppal R., and Wang T. Model misspecification and under-diversification. Journal of Finance (2003)
-
(2003)
Journal of Finance
-
-
Uppal, R.1
Wang, T.2
-
108
-
-
0032354194
-
Transaction costs and asset prices: A dynamic equilibrium model
-
Vayanos D. Transaction costs and asset prices: A dynamic equilibrium model. Review of Financial Studies 11 (1998) 1-58
-
(1998)
Review of Financial Studies
, vol.11
, pp. 1-58
-
-
Vayanos, D.1
-
109
-
-
0031542133
-
Optimal consumption and portfolio choice with borrowing constraints
-
Vila J.-L., and Zariphopoulou T. Optimal consumption and portfolio choice with borrowing constraints. Journal of Economic Theory 77 (1997) 402-431
-
(1997)
Journal of Economic Theory
, vol.77
, pp. 402-431
-
-
Vila, J.-L.1
Zariphopoulou, T.2
-
111
-
-
0036003373
-
Portfolio and consumption decisions under mean-reverting returns: An exact solution in complete markets
-
Wachter J. Portfolio and consumption decisions under mean-reverting returns: An exact solution in complete markets. Journal of Financial and Quantitative Analysis 37 (2002) 63-91
-
(2002)
Journal of Financial and Quantitative Analysis
, vol.37
, pp. 63-91
-
-
Wachter, J.1
-
116
-
-
26844465182
-
A numerical scheme for BSDEs
-
Zhang J. A numerical scheme for BSDEs. Annals of Applied Probability 14 (2004) 459-488
-
(2004)
Annals of Applied Probability
, vol.14
, pp. 459-488
-
-
Zhang, J.1
|