-
1
-
-
0039147416
-
Variable selection for portfolio choice
-
Aït-Sahalia Y., Brandt M.W. Variable selection for portfolio choice. Journal of Finance 2001, 56:1297-1351.
-
(2001)
Journal of Finance
, vol.56
, pp. 1297-1351
-
-
Aït-Sahalia, Y.1
Brandt, M.W.2
-
2
-
-
84882555215
-
-
Portfolio and consumption choice with option-implied state prices, working paper, Princeton University.
-
Aït-Sahalia, Y., and M.W Brandt, 2007, Portfolio and consumption choice with option-implied state prices, working paper, Princeton University.
-
(2007)
-
-
Sahalia, Y.1
Brandt M.W2
-
4
-
-
0036193218
-
Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis
-
Alexander G., Baptista A. Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis. Journal of Economic Dynamics and Control 2002, 26:1159-1193.
-
(2002)
Journal of Economic Dynamics and Control
, vol.26
, pp. 1159-1193
-
-
Alexander, G.1
Baptista, A.2
-
5
-
-
0000581356
-
An introduction to kernel and nearest-neighbor nonparametric regression
-
Altman N.S. An introduction to kernel and nearest-neighbor nonparametric regression. American Statistician 1992, 46:175-185.
-
(1992)
American Statistician
, vol.46
, pp. 175-185
-
-
Altman, N.S.1
-
6
-
-
84882530662
-
-
How do household portfolio shares vary with age? working paper, Columbia University.
-
Ameriks, J., and S.P. Zeldes, 2004, How do household portfolio shares vary with age? working paper, Columbia University.
-
(2004)
-
-
Ameriks, J.1
Zeldes, S.P.2
-
7
-
-
77955645818
-
Stock return predictability: Is it there?
-
Ang A., Bekaert G. Stock return predictability: Is it there?. Review of Financial Studies 2007, 20:651-707.
-
(2007)
Review of Financial Studies
, vol.20
, pp. 651-707
-
-
Ang, A.1
Bekaert, G.2
-
9
-
-
0036335816
-
Stock return predictability and model uncertainty
-
Avramov D. Stock return predictability and model uncertainty. Journal of Financial Economics 2002, 64:423-458.
-
(2002)
Journal of Financial Economics
, vol.64
, pp. 423-458
-
-
Avramov, D.1
-
10
-
-
4344711664
-
Stock return predictability and asset pricing models
-
Avramov D. Stock return predictability and asset pricing models. Review of Financial Studies 2004, 17:699-738.
-
(2004)
Review of Financial Studies
, vol.17
, pp. 699-738
-
-
Avramov, D.1
-
11
-
-
84977726502
-
Effects of capital gains taxation on life-cylce investment and portfolio management
-
Balcer Y., Judd K. Effects of capital gains taxation on life-cylce investment and portfolio management. Journal of Finance 1987, 42:743-761.
-
(1987)
Journal of Finance
, vol.42
, pp. 743-761
-
-
Balcer, Y.1
Judd, K.2
-
12
-
-
0001883834
-
Transaction costs and predictability: Some utility cost calculations
-
Balduzzi P., Lynch A. Transaction costs and predictability: Some utility cost calculations. Journal of Financial Economics 1999, 52:47-58.
-
(1999)
Journal of Financial Economics
, vol.52
, pp. 47-58
-
-
Balduzzi, P.1
Lynch, A.2
-
13
-
-
0039179796
-
Investing for the long run when returns are predictable
-
Barberis N. Investing for the long run when returns are predictable. Journal of Finance 2000, 55:225-264.
-
(2000)
Journal of Finance
, vol.55
, pp. 225-264
-
-
Barberis, N.1
-
15
-
-
0035592442
-
Value-at-risk based risk management: Optimal policies and asset prices
-
Basak S., Shapiro A. Value-at-risk based risk management: Optimal policies and asset prices. Review of Financial Studies 2001, 14:371-405.
-
(2001)
Review of Financial Studies
, vol.14
, pp. 371-405
-
-
Basak, S.1
Shapiro, A.2
-
17
-
-
0001183078
-
On the sensitivity of mean-variance efficient portfolios to changes in asset means: Some analytical and computational results
-
Best M.J., Grauer R. On the sensitivity of mean-variance efficient portfolios to changes in asset means: Some analytical and computational results. Review of Financial Studies 1991, 4:315-342.
-
(1991)
Review of Financial Studies
, vol.4
, pp. 315-342
-
-
Best, M.J.1
Grauer, R.2
-
18
-
-
85015692260
-
The pricing of options and corporate liabilities
-
Black F., Scholes M.S. The pricing of options and corporate liabilities. Journal of Political Economy 1973, 81:637-654.
-
(1973)
Journal of Political Economy
, vol.81
, pp. 637-654
-
-
Black, F.1
Scholes, M.S.2
-
21
-
-
0002045823
-
Personal investing: Advice, theory, and evidence
-
Bodie Z., Crane D.B. Personal investing: Advice, theory, and evidence. Financial Analyst Journal 1997, 53:13-23.
-
(1997)
Financial Analyst Journal
, vol.53
, pp. 13-23
-
-
Bodie, Z.1
Crane, D.B.2
-
23
-
-
0040348531
-
Estimating portfolio and consumption choice: A conditional euler equations approach
-
Brandt M.W. Estimating portfolio and consumption choice: A conditional euler equations approach. Journal of Finance 1999, 54:1609-1646.
-
(1999)
Journal of Finance
, vol.54
, pp. 1609-1646
-
-
Brandt, M.W.1
-
24
-
-
0037321033
-
Hedging demands in hedging contingent claims
-
Brandt M.W. Hedging demands in hedging contingent claims. Review of Economics and Statistics 2003, 85:119-140.
-
(2003)
Review of Economics and Statistics
, vol.85
, pp. 119-140
-
-
Brandt, M.W.1
-
25
-
-
13844262342
-
A simulation approach to dynamic portfolio choice with an application to learning about return predictability
-
Brandt M.W., Goyal A., Santa-Clara P., Stroud J.R. A simulation approach to dynamic portfolio choice with an application to learning about return predictability. Review of Financial Studies 2005, 18:831-873.
-
(2005)
Review of Financial Studies
, vol.18
, pp. 831-873
-
-
Brandt, M.W.1
Goyal, A.2
Santa-Clara, P.3
Stroud, J.R.4
-
26
-
-
33748774136
-
Dynamic portfolio selection by augmenting the asset space
-
Brandt M.W., Santa-Clara P. Dynamic portfolio selection by augmenting the asset space. Journal of Finance 2006, 61:2187-2217.
-
(2006)
Journal of Finance
, vol.61
, pp. 2187-2217
-
-
Brandt, M.W.1
Santa-Clara, P.2
-
27
-
-
71949092395
-
Parametric portfolio policies: Exploiting characteristics in the cross section of equity returns
-
forthcoming
-
Brandt M.W., Santa-Clara P., Valkanov R. Parametric portfolio policies: Exploiting characteristics in the cross section of equity returns. Review of Financial Studies 2009, forthcoming.
-
(2009)
Review of Financial Studies
-
-
Brandt, M.W.1
Santa-Clara, P.2
Valkanov, R.3
-
28
-
-
0038851310
-
The sampling error in estimates of mean-variance efficient portfolio weights
-
Britten-Jones M. The sampling error in estimates of mean-variance efficient portfolio weights. Journal of Finance 1999, 54:655-671.
-
(1999)
Journal of Finance
, vol.54
, pp. 655-671
-
-
Britten-Jones, M.1
-
29
-
-
24044525445
-
The portfolio choice problem: Comparison of certainty equivalent and optimal Bayes portfolios
-
Brown S. The portfolio choice problem: Comparison of certainty equivalent and optimal Bayes portfolios. Communications in Statistics: Simulation and Computation 1978, B7:321-334.
-
(1978)
Communications in Statistics: Simulation and Computation
, vol.B7
, pp. 321-334
-
-
Brown, S.1
-
30
-
-
0000395225
-
Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark
-
Browne S. Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark. Finance and Stochastics 1999, 3:275-294.
-
(1999)
Finance and Stochastics
, vol.3
, pp. 275-294
-
-
Browne, S.1
-
31
-
-
0002340332
-
Individual decision making
-
Princeton University Press, Princeton, NJ, J.H. Kagel, A.E. Roth (Eds.)
-
Camerer C.F. Individual decision making. Handbook of Experimental Economics 1995, 587-703. Princeton University Press, Princeton, NJ. J.H. Kagel, A.E. Roth (Eds.).
-
(1995)
Handbook of Experimental Economics
, pp. 587-703
-
-
Camerer, C.F.1
-
32
-
-
0345447667
-
Household risk managament and optimal mortgage choice
-
Campbell J.Y., Cocco J.F. Household risk managament and optimal mortgage choice. Quarterly Journal of Economics 2003, 118:1449-1494.
-
(2003)
Quarterly Journal of Economics
, vol.118
, pp. 1449-1494
-
-
Campbell, J.Y.1
Cocco, J.F.2
-
33
-
-
0002252076
-
Consumption and portfolio decisions when expected returns are time varying
-
Campbell J.Y., Viceira L.M. Consumption and portfolio decisions when expected returns are time varying. Quarterly Journal of Economics 1999, 114:433-495.
-
(1999)
Quarterly Journal of Economics
, vol.114
, pp. 433-495
-
-
Campbell, J.Y.1
Viceira, L.M.2
-
35
-
-
0000007521
-
The dividend price ratio and expectations of future dividends and discount factors
-
Campbell J.Y., Shiller R.J. The dividend price ratio and expectations of future dividends and discount factors. Review of Financial Studies 1988, 1:195-228.
-
(1988)
Review of Financial Studies
, vol.1
, pp. 195-228
-
-
Campbell, J.Y.1
Shiller, R.J.2
-
38
-
-
0033453060
-
On portfolio optimization: Forecasting covariances and choosing the risk model
-
Chan L., Karceski J., Lakonishok J. On portfolio optimization: Forecasting covariances and choosing the risk model. Review of Financial Studies 1999, 12:937-974.
-
(1999)
Review of Financial Studies
, vol.12
, pp. 937-974
-
-
Chan, L.1
Karceski, J.2
Lakonishok, J.3
-
39
-
-
84882549600
-
-
Asset allocation with endogenous labor income: The case of incomplete markets, working paper, Hong Kong University of Science and Technology.
-
Chan, Y.L., and L.M. Viceira, 2000, Asset allocation with endogenous labor income: The case of incomplete markets, working paper, Hong Kong University of Science and Technology.
-
(2000)
-
-
Chan, Y.L.1
Viceira, L.M.2
-
41
-
-
84882517254
-
-
Uncertainty in second moments: Implications for portfolio allocation, working paper, SUNY at Buffalo.
-
Cho, D., 2007, Uncertainty in second moments: Implications for portfolio allocation, working paper, SUNY at Buffalo.
-
(2007)
-
-
Cho, D.1
-
42
-
-
2042499464
-
The effects of errors in the means, variances, and covariances
-
Chopra V.K., Ziemba W.T. The effects of errors in the means, variances, and covariances. Journal of Portfolio Management 1993, 19:6-11.
-
(1993)
Journal of Portfolio Management
, vol.19
, pp. 6-11
-
-
Chopra, V.K.1
Ziemba, W.T.2
-
43
-
-
84882537968
-
-
Hedging house price risk with incomplete markets, working paper, London Business School.
-
Cocco, J.F., 2000, Hedging house price risk with incomplete markets, working paper, London Business School.
-
(2000)
-
-
Cocco, J.F.1
-
44
-
-
25844509862
-
Portfolio choice in the presence of housing
-
Cocco J.F. Portfolio choice in the presence of housing. Review of Financial Studies 2005, 18:535-567.
-
(2005)
Review of Financial Studies
, vol.18
, pp. 535-567
-
-
Cocco, J.F.1
-
45
-
-
0000080701
-
The sensitivity of tests of the intertemporal allocation of consumption to near-rational alternatives
-
Cochrane J.H. The sensitivity of tests of the intertemporal allocation of consumption to near-rational alternatives. American Economic Review 1989, 79:319-337.
-
(1989)
American Economic Review
, vol.79
, pp. 319-337
-
-
Cochrane, J.H.1
-
46
-
-
2742534423
-
Sensible return forecasting for portfolio management
-
Connor G. Sensible return forecasting for portfolio management. Financial Analyst Journal 1997, 53:44-51.
-
(1997)
Financial Analyst Journal
, vol.53
, pp. 44-51
-
-
Connor, G.1
-
47
-
-
33646972178
-
Risk and return in an equilibrium APT: Application of a new test methodology
-
Connor G., Korajczyk R. Risk and return in an equilibrium APT: Application of a new test methodology. Journal of Financial Economics 1988, 21:255-290.
-
(1988)
Journal of Financial Economics
, vol.21
, pp. 255-290
-
-
Connor, G.1
Korajczyk, R.2
-
48
-
-
0002720622
-
Optimum consumption and portfolio policies when asset prices follow a diffusion process
-
Cox J.C., Huang C.F. Optimum consumption and portfolio policies when asset prices follow a diffusion process. Journal of Economic Theory 1989, 49:33-83.
-
(1989)
Journal of Economic Theory
, vol.49
, pp. 33-83
-
-
Cox, J.C.1
Huang, C.F.2
-
49
-
-
0003317522
-
A variational problem occurring in financial economics
-
Cox J.C., Huang C.F. A variational problem occurring in financial economics. Journal of Mathematical Economics 1991, 20:465-487.
-
(1991)
Journal of Mathematical Economics
, vol.20
, pp. 465-487
-
-
Cox, J.C.1
Huang, C.F.2
-
51
-
-
0344685284
-
Stock return predictability: A Bayesian model selection perspective
-
Cremers M. Stock return predictability: A Bayesian model selection perspective. Review of Financial Studies 2002, 15:1223-1249.
-
(2002)
Review of Financial Studies
, vol.15
, pp. 1223-1249
-
-
Cremers, M.1
-
52
-
-
84882470630
-
-
Optimal dynamic trading strategies with risk limits, Operations Research forthcoming.
-
Cuoco, D., H. He, and S. Issaenko, 2007, Optimal dynamic trading strategies with risk limits, Operations Research forthcoming.
-
(2007)
-
-
Cuoco, D.1
He, H.2
Issaenko, S.3
-
53
-
-
29944443198
-
Theory of portfolio optimization in markets with frictions
-
Cambridge University Press, Cambridge, Chapter 17
-
Cvitanic J. Theory of portfolio optimization in markets with frictions. Handbook of Mathematical Finance 2001, Cambridge University Press, Cambridge, Chapter 17.
-
(2001)
Handbook of Mathematical Finance
-
-
Cvitanic, J.1
-
54
-
-
84882470180
-
-
Diversification and capital gains taxes with multiple risky assets, working paper, Carnegie Mellon University.
-
Dammon, R., C. Spatt, and H. Zhang, 2001a, Diversification and capital gains taxes with multiple risky assets, working paper, Carnegie Mellon University.
-
(2001)
-
-
Dammon, R.1
Spatt, C.2
Zhang, H.3
-
55
-
-
0035646557
-
Optimal consumption and investment with capital gains taxes
-
Dammon R., Spatt C., Zhang H. Optimal consumption and investment with capital gains taxes. Review of Financial Studies 2001, 14:583-616.
-
(2001)
Review of Financial Studies
, vol.14
, pp. 583-616
-
-
Dammon, R.1
Spatt, C.2
Zhang, H.3
-
56
-
-
2942750233
-
Optimal asset location and allocation with taxable and tax-deferred investing
-
Dammon R., Spatt C., Zhang H. Optimal asset location and allocation with taxable and tax-deferred investing. Journal of Finance 2004, 59:999-1037.
-
(2004)
Journal of Finance
, vol.59
, pp. 999-1037
-
-
Dammon, R.1
Spatt, C.2
Zhang, H.3
-
59
-
-
14944342668
-
Portfolio investment with the exact tax basis via nonlinear programming
-
DeMiguel A.V., Uppal R. Portfolio investment with the exact tax basis via nonlinear programming. Management Science 2005, 51:277-290.
-
(2005)
Management Science
, vol.51
, pp. 277-290
-
-
DeMiguel, A.V.1
Uppal, R.2
-
61
-
-
22244479552
-
Transaction costs and portfolio choice in a discrete-continuous time setting
-
Duffie D., Sun T. Transaction costs and portfolio choice in a discrete-continuous time setting. Journal of Economic Dynamics and Control 1990, 14:35-51.
-
(1990)
Journal of Economic Dynamics and Control
, vol.14
, pp. 35-51
-
-
Duffie, D.1
Sun, T.2
-
62
-
-
0041931569
-
Duesenberry's racheting of consumption: Optimal dynamic allocation and investment given intolerance for any decline in standard of living
-
Dybvig P.H. Duesenberry's racheting of consumption: Optimal dynamic allocation and investment given intolerance for any decline in standard of living. Review of Economic Studies 1995, 62:287-313.
-
(1995)
Review of Economic Studies
, vol.62
, pp. 287-313
-
-
Dybvig, P.H.1
-
65
-
-
0000842941
-
Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework
-
Epstein L., Zin S. Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework. Econometrica 1989, 57:937-969.
-
(1989)
Econometrica
, vol.57
, pp. 937-969
-
-
Epstein, L.1
Zin, S.2
-
66
-
-
38549147867
-
Common risk factors in the returns on stocks and bonds
-
Fama E., French K. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 1993, 33:3-56.
-
(1993)
Journal of Financial Economics
, vol.33
, pp. 3-56
-
-
Fama, E.1
French, K.2
-
67
-
-
0001311205
-
Multiperiod consumption-investment decisions
-
Fama E.F. Multiperiod consumption-investment decisions. American Economic Review 1970, 60:163-174.
-
(1970)
American Economic Review
, vol.60
, pp. 163-174
-
-
Fama, E.F.1
-
69
-
-
3042869574
-
Local linear regression smoothers and their minimax efficiencies
-
Fan J. Local linear regression smoothers and their minimax efficiencies. Annals of Statistics 1993, 21:196-216.
-
(1993)
Annals of Statistics
, vol.21
, pp. 196-216
-
-
Fan, J.1
-
70
-
-
0038605950
-
Owner-occupied housing and the composition of the household portfolio over the life-cylce
-
Flavin M., Yamashita T. Owner-occupied housing and the composition of the household portfolio over the life-cylce. American Economic Review 2002, 92:345-362.
-
(2002)
American Economic Review
, vol.92
, pp. 345-362
-
-
Flavin, M.1
Yamashita, T.2
-
74
-
-
84882522264
-
-
Portfolio selection with multiple assets and capital gains taxes, working paper, University of British Columbia.
-
Garlappi, L., L. V. Naik, and J. Slive, 2001, Portfolio selection with multiple assets and capital gains taxes, working paper, University of British Columbia.
-
(2001)
-
-
Garlappi, L.1
Naik, L.V.2
Slive, J.3
-
77
-
-
11144301875
-
Portfolio choice and trading volume with loss-averse investors
-
Gomes F. Portfolio choice and trading volume with loss-averse investors. Journal of Business 2005, 78:675-706.
-
(2005)
Journal of Business
, vol.78
, pp. 675-706
-
-
Gomes, F.1
-
78
-
-
0242508471
-
Portfolio choice with internal habit formation: A life-cycle model with uninsurable labor income risk
-
Gomes F., Michaelides A. Portfolio choice with internal habit formation: A life-cycle model with uninsurable labor income risk. Review or Economic Dynamics 2003, 6:729-766.
-
(2003)
Review or Economic Dynamics
, vol.6
, pp. 729-766
-
-
Gomes, F.1
Michaelides, A.2
-
79
-
-
0038002643
-
Predicting the equity premium with dividend ratios
-
Goyal A., Welch I. Predicting the equity premium with dividend ratios. Management Science 2003, 49:639-654.
-
(2003)
Management Science
, vol.49
, pp. 639-654
-
-
Goyal, A.1
Welch, I.2
-
80
-
-
84993924627
-
When will mean-variance efficient portfolios be welldiversified?
-
Green R., Hollifield B. When will mean-variance efficient portfolios be welldiversified?. Journal of Finance 1992, 47:1785-1809.
-
(1992)
Journal of Finance
, vol.47
, pp. 1785-1809
-
-
Green, R.1
Hollifield, B.2
-
81
-
-
0001969053
-
Asset pricing and optimal portfolio choice in the presence of illiquid durable consumption goods
-
Grossman S., Laroque G. Asset pricing and optimal portfolio choice in the presence of illiquid durable consumption goods. Econometrica 1991, 58:25-51.
-
(1991)
Econometrica
, vol.58
, pp. 25-51
-
-
Grossman, S.1
Laroque, G.2
-
82
-
-
0008671004
-
Portfolio insurance in complete markets: A note
-
Grossman S.J., Vila J. Portfolio insurance in complete markets: A note. Journal of Business 1989, 62:473-476.
-
(1989)
Journal of Business
, vol.62
, pp. 473-476
-
-
Grossman, S.J.1
Vila, J.2
-
83
-
-
84882484637
-
-
GSAM Quantitative Strategies Group, 2000, An introduction to the Black-Litterman asset allocation model, working paper, Goldman Sachs Asset Management.
-
GSAM Quantitative Strategies Group, 2000, An introduction to the Black-Litterman asset allocation model, working paper, Goldman Sachs Asset Management.
-
-
-
-
84
-
-
0000823520
-
A theory of dissapointment aversion
-
Gul F. A theory of dissapointment aversion. Econometrica 1991, 59:667-686.
-
(1991)
Econometrica
, vol.59
, pp. 667-686
-
-
Gul, F.1
-
86
-
-
0012847349
-
Optimal investment and consumption strategies under risk, an uncertain lifetime, and insurance
-
Hakansson N.H. Optimal investment and consumption strategies under risk, an uncertain lifetime, and insurance. International Economic Review 1969, 10:443-466.
-
(1969)
International Economic Review
, vol.10
, pp. 443-466
-
-
Hakansson, N.H.1
-
88
-
-
38649141305
-
Martingales and arbitrage in multiperiod securities markets
-
Harrison M.J., Kreps D.M. Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory 1979, 2:381-408.
-
(1979)
Journal of Economic Theory
, vol.2
, pp. 381-408
-
-
Harrison, M.J.1
Kreps, D.M.2
-
89
-
-
84882467583
-
-
Portfolio selection with higher moments, working paper, Duke University.
-
Harvey, C.R., J.C. Liechty, M.W Liechty, and P. Müller, 2004, Portfolio selection with higher moments, working paper, Duke University.
-
(2004)
-
-
Harvey, C.R.1
Liechty, J.C.2
Liechty, M.W.3
Müller, P.4
-
90
-
-
0000985905
-
Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
-
He H., Pearson N.D. Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case. Journal of Economic Theory 1991, 54:259-304.
-
(1991)
Journal of Economic Theory
, vol.54
, pp. 259-304
-
-
He, H.1
Pearson, N.D.2
-
91
-
-
0031350833
-
Market frictions, savings behavior, and portfolio choice
-
Heaton J., Lucas D.J. Market frictions, savings behavior, and portfolio choice. Macroeconomic Dynamics 1997, 1:76-101.
-
(1997)
Macroeconomic Dynamics
, vol.1
, pp. 76-101
-
-
Heaton, J.1
Lucas, D.J.2
-
92
-
-
0005495431
-
Portfolio choice and asset prices: The importance of entrepeneurial risk
-
Heaton J., Lucas D.J. Portfolio choice and asset prices: The importance of entrepeneurial risk. Journal of Finance 2000, 55:1163-1198.
-
(2000)
Journal of Finance
, vol.55
, pp. 1163-1198
-
-
Heaton, J.1
Lucas, D.J.2
-
93
-
-
20444445518
-
Portfolio choice for homeowners
-
Hu X. Portfolio choice for homeowners. Journal of Urban Economics 2005, 58:114-136.
-
(2005)
Journal of Urban Economics
, vol.58
, pp. 114-136
-
-
Hu, X.1
-
94
-
-
52449094966
-
Taxable and tax-deferred investing: A tax-arbitrage approach
-
Huang J. Taxable and tax-deferred investing: A tax-arbitrage approach. Review of Financial Studies 2008, 21:2173-2207.
-
(2008)
Review of Financial Studies
, vol.21
, pp. 2173-2207
-
-
Huang, J.1
-
96
-
-
0142188090
-
Risk reduction in large portfolios: Why imposing the wrong constraints helps
-
Jagannathan R., Ma T. Risk reduction in large portfolios: Why imposing the wrong constraints helps. Journal of Finance 2003, 58:1651-1683.
-
(2003)
Journal of Finance
, vol.58
, pp. 1651-1683
-
-
Jagannathan, R.1
Ma, T.2
-
97
-
-
0001486499
-
-
Estimation with quadratic loss, Proceedings of the Fourth Berkeley Symposium on Mathematics and Statistics
-
James, W, and C. Stein, 1961, Estimation with quadratic loss, Proceedings of the Fourth Berkeley Symposium on Mathematics and Statistics pp. 361-379.
-
(1961)
, pp. 361-379
-
-
James, W.1
Stein, C.2
-
100
-
-
84882462822
-
-
Improved estimation for Markowitz portfolios using James-Stein type estimators, Proceedings of the American Statistical Association, Business and Economic Statistics Section
-
Jobson, J.D., B. Korkie, and V. Ratti, 1979, Improved estimation for Markowitz portfolios using James-Stein type estimators, Proceedings of the American Statistical Association, Business and Economic Statistics Section pp. 279-284.
-
(1979)
-
-
Jobson, J.D.1
Korkie, B.2
Ratti, V.3
-
103
-
-
0000125532
-
Prospect theory: An analysis of decision under risk
-
Kahneman D., Tversky A. Prospect theory: An analysis of decision under risk. Econometrica 1979, 47:263-291.
-
(1979)
Econometrica
, vol.47
, pp. 263-291
-
-
Kahneman, D.1
Tversky, A.2
-
105
-
-
0040898734
-
On the predictability of stock returns: An asset-allocation perspective
-
Kandel S., Stambaugh R.F. On the predictability of stock returns: An asset-allocation perspective. Journal of Finance 1996, 51:385-424.
-
(1996)
Journal of Finance
, vol.51
, pp. 385-424
-
-
Kandel, S.1
Stambaugh, R.F.2
-
108
-
-
0000941310
-
A stochastic programming model
-
Kataoka A. A stochastic programming model. Econometrica 1963, 31:181-196.
-
(1963)
Econometrica
, vol.31
, pp. 181-196
-
-
Kataoka, A.1
-
110
-
-
0001599381
-
The effect of estimation risk on optimal portfolio choice
-
Klein R.W., Bawa VS. The effect of estimation risk on optimal portfolio choice. Journal of Financial Economics 1976, 3:215-231.
-
(1976)
Journal of Financial Economics
, vol.3
, pp. 215-231
-
-
Klein, R.W.1
Bawa, V.S.2
-
111
-
-
0031617382
-
Consumptyion and portfolio selection with labor income: A continuous time approach
-
Koo H.K. Consumptyion and portfolio selection with labor income: A continuous time approach. Mathematical Finance 1998, 8:49-65.
-
(1998)
Mathematical Finance
, vol.8
, pp. 49-65
-
-
Koo, H.K.1
-
112
-
-
84944838305
-
Skewness preferences and the valuation of risky assets
-
Kraus A., Litzenberger R.H. Skewness preferences and the valuation of risky assets. Journal of Finance 1976, 31:1085-1100.
-
(1976)
Journal of Finance
, vol.31
, pp. 1085-1100
-
-
Kraus, A.1
Litzenberger, R.H.2
-
113
-
-
84882516475
-
-
Habit formation and lifetime portfolio selection, working paper, Goldman Sachs Asset Management.
-
Lax, Y, 2002, Habit formation and lifetime portfolio selection, working paper, Goldman Sachs Asset Management.
-
(2002)
-
-
Lax, Y.1
-
114
-
-
0041841552
-
Improved estimation of the covariance matrix of returns with an application to portfolio selection
-
Ledoit O., Wolf M. Improved estimation of the covariance matrix of returns with an application to portfolio selection. Journal of Empirical Finance 2003, 10:603-621.
-
(2003)
Journal of Empirical Finance
, vol.10
, pp. 603-621
-
-
Ledoit, O.1
Wolf, M.2
-
116
-
-
84882466069
-
-
Optimal portfolio implementation with transaction costs and capital gains taxes, working paper, Unversity of California, Berkeley.
-
Leland, H., 2001, Optimal portfolio implementation with transaction costs and capital gains taxes, working paper, Unversity of California, Berkeley.
-
(2001)
-
-
Leland, H.1
-
117
-
-
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 2004, 59:289-338.
-
(2004)
Journal of Finance
, vol.59
, pp. 289-338
-
-
Liu, H.1
-
118
-
-
84882469281
-
-
Savings and portfolio decision: Observable implications of Knightian uncertainty, working paper, University of Washington.
-
Liu, W.F., 2002, Savings and portfolio decision: Observable implications of Knightian uncertainty, working paper, University of Washington.
-
(2002)
-
-
Liu, W.F.1
-
119
-
-
0142219266
-
Dynamic asset allocation with event risk
-
Longstaff F., Liu J., Pan J. Dynamic asset allocation with event risk. Journal of Finance 2003, 58:231-259.
-
(2003)
Journal of Finance
, vol.58
, pp. 231-259
-
-
Longstaff, F.1
Liu, J.2
Pan, J.3
-
120
-
-
70450246083
-
Multiple risky assets, transaction costs and return predictability: Allocation rules and implications for U.S. investors
-
forthcoming
-
Lynch A., Tan S. Multiple risky assets, transaction costs and return predictability: Allocation rules and implications for U.S. investors. Journal of Financial and Quantitative Analysis 2009, forthcoming.
-
(2009)
Journal of Financial and Quantitative Analysis
-
-
Lynch, A.1
Tan, S.2
-
121
-
-
3042618455
-
Robust portfolio rules and asset pricing
-
Maenhout P.J. Robust portfolio rules and asset pricing. Review of Financial Studies 2004, 17:951-983.
-
(2004)
Review of Financial Studies
, vol.17
, pp. 951-983
-
-
Maenhout, P.J.1
-
122
-
-
33646373647
-
Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
-
Maenhout PJ. Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium. Journal of Economic Theory 2006, 128:136-163.
-
(2006)
Journal of Economic Theory
, vol.128
, pp. 136-163
-
-
Maenhout, P.J.1
-
124
-
-
84882459005
-
-
Moments of certain functions of elements in the inverse wishart matrix, working paper, Texas A&M University.
-
Marx, D.L., and R.R. Hocking, 1977, Moments of certain functions of elements in the inverse wishart matrix, working paper, Texas A&M University.
-
(1977)
-
-
Marx, D.L.1
Hocking, R.R.2
-
125
-
-
0000314740
-
Lifetime portfolio selection under uncertainty: The continuous time case
-
Merton R.C. Lifetime portfolio selection under uncertainty: The continuous time case. Review of Economics and Statistics 1969, 51:247-257.
-
(1969)
Review of Economics and Statistics
, vol.51
, pp. 247-257
-
-
Merton, R.C.1
-
126
-
-
0011090049
-
Optimum consumption and portfolio rules in a continuous-time model
-
Merton R.C. Optimum consumption and portfolio rules in a continuous-time model. Journal of Economic Theory 1971, 3:373-413.
-
(1971)
Journal of Economic Theory
, vol.3
, pp. 373-413
-
-
Merton, R.C.1
-
127
-
-
0001738730
-
An intertemporal capital asset pricing model
-
Merton R.C. An intertemporal capital asset pricing model. Econometrica 1973, 41:867-887.
-
(1973)
Econometrica
, vol.41
, pp. 867-887
-
-
Merton, R.C.1
-
128
-
-
0002588005
-
Theory of finance from the perspective of continuous time
-
Merton R.C. Theory of finance from the perspective of continuous time. Journal of Financial and Quantitative Analysis 1975, 7:1851-1872.
-
(1975)
Journal of Financial and Quantitative Analysis
, vol.7
, pp. 1851-1872
-
-
Merton, R.C.1
-
129
-
-
0002451059
-
The markowitz optimization enigma: Is optimized optimal?
-
Michaud R.O. The markowitz optimization enigma: Is optimized optimal?. Financial Analyst Journal 1989, 45:31-42.
-
(1989)
Financial Analyst Journal
, vol.45
, pp. 31-42
-
-
Michaud, R.O.1
-
130
-
-
23244458675
-
The instantaneous capital market line
-
Nielsen L.T., Vassalou M. The instantaneous capital market line. Economic Theory 2006, 28:651-664.
-
(2006)
Economic Theory
, vol.28
, pp. 651-664
-
-
Nielsen, L.T.1
Vassalou, M.2
-
131
-
-
84882522877
-
-
Bayesian model averaging for moment conditions models, working paper, University of Wisconsin-Madison.
-
Nigmatullin, E., 2003, Bayesian model averaging for moment conditions models, working paper, University of Wisconsin-Madison.
-
(2003)
-
-
Nigmatullin, E.1
-
132
-
-
0038957681
-
Portfolio selection and asset pricing models
-
Pastor L. Portfolio selection and asset pricing models. Journal of Finance 2000, 50:179-223.
-
(2000)
Journal of Finance
, vol.50
, pp. 179-223
-
-
Pastor, L.1
-
133
-
-
0034195524
-
Comparing asset pricing models: An investment perspective
-
Pastor L., Stambaugh R.F. Comparing asset pricing models: An investment perspective. Journal of Financial Economics 2000, 56:335-381.
-
(2000)
Journal of Financial Economics
, vol.56
, pp. 335-381
-
-
Pastor, L.1
Stambaugh, R.F.2
-
136
-
-
0001099098
-
Semiparametric estimation of index coefficients
-
Powell J.L., Stock J.H., Stoker T.M. Semiparametric estimation of index coefficients. Econometrica 1989, 57:1403-1430.
-
(1989)
Econometrica
, vol.57
, pp. 1403-1430
-
-
Powell, J.L.1
Stock, J.H.2
Stoker, T.M.3
-
138
-
-
0001567393
-
Safety first and the holding of assets
-
Roy A. Safety first and the holding of assets. Econometrica 1952, 20:431-439.
-
(1952)
Econometrica
, vol.20
, pp. 431-439
-
-
Roy, A.1
-
139
-
-
0000314743
-
Lifetime portfolio selection by dynamic stochastic programming
-
Samuelson P.A. Lifetime portfolio selection by dynamic stochastic programming. Review of Economics and Statistics 1969, 51:239-246.
-
(1969)
Review of Economics and Statistics
, vol.51
, pp. 239-246
-
-
Samuelson, P.A.1
-
141
-
-
0001968456
-
Optimal consumption and portfolio selection with stochastic differential utility
-
Schroder M., Skiadas C. Optimal consumption and portfolio selection with stochastic differential utility. Journal of Economic Theory 1999, 89:68-126.
-
(1999)
Journal of Economic Theory
, vol.89
, pp. 68-126
-
-
Schroder, M.1
Skiadas, C.2
-
142
-
-
0036349805
-
An isomorphism between asset pricing models with and without linear habit formation
-
Schroder M., Skiadas C. An isomorphism between asset pricing models with and without linear habit formation. Review of Financial Studies 2002, 15:1189-1221.
-
(2002)
Review of Financial Studies
, vol.15
, pp. 1189-1221
-
-
Schroder, M.1
Skiadas, C.2
-
143
-
-
84903426896
-
Enhanced indexation
-
Butterworth-Henemann, New York, NY, S. Satchell, A. Scowcroft (Eds.)
-
Scowcroft A., Sefton J. Enhanced indexation. Advances in portfolio construction and implementation 2003, 95-124. Butterworth-Henemann, New York, NY. S. Satchell, A. Scowcroft (Eds.).
-
(2003)
Advances in portfolio construction and implementation
, pp. 95-124
-
-
Scowcroft, A.1
Sefton, J.2
-
144
-
-
0001217228
-
A simplified model for portfolio analysis
-
Sharpe W. A simplified model for portfolio analysis. Management Science 1963, 9:277-293.
-
(1963)
Management Science
, vol.9
, pp. 277-293
-
-
Sharpe, W.1
-
147
-
-
0042461054
-
Portfolio selection and asset pricing three parameter framework
-
Simaan Y. Portfolio selection and asset pricing three parameter framework. Management Science 1993, 5:568-577.
-
(1993)
Management Science
, vol.5
, pp. 568-577
-
-
Simaan, Y.1
-
150
-
-
0043195636
-
Optimal investment with minimum performance constraints
-
Tepla L. Optimal investment with minimum performance constraints. Journal of Economic Dynamics and Control 2001, 25:1629-1645.
-
(2001)
Journal of Economic Dynamics and Control
, vol.25
, pp. 1629-1645
-
-
Tepla, L.1
-
152
-
-
1842659070
-
Data-generating process uncertainty: What difference does it make in portfolio decisions?
-
Tu J., Zhou G. Data-generating process uncertainty: What difference does it make in portfolio decisions?. Journal of Financial Economics 2004, 72:385-421.
-
(2004)
Journal of Financial Economics
, vol.72
, pp. 385-421
-
-
Tu, J.1
Zhou, G.2
-
153
-
-
0039192952
-
Optimal portfolio choice for long-horizon investors with nontradable labor income
-
Viceira L.M. Optimal portfolio choice for long-horizon investors with nontradable labor income. Journal of Finance 2001, 56:433-470.
-
(2001)
Journal of Finance
, vol.56
, pp. 433-470
-
-
Viceira, L.M.1
-
154
-
-
0036003373
-
Portfolio and consumption decisions under mean-reverting returns: An exact solution for complete markets
-
Wachter J.A. Portfolio and consumption decisions under mean-reverting returns: An exact solution for complete markets. Journal of Financial and Quantitative Analysis 2002, 37:63-91.
-
(2002)
Journal of Financial and Quantitative Analysis
, vol.37
, pp. 63-91
-
-
Wachter, J.A.1
-
155
-
-
38249004563
-
The equity premium puzzle and the risk-free rate puzzle
-
Weil P. The equity premium puzzle and the risk-free rate puzzle. Journal of Monetary Economics 1989, 24:401-421.
-
(1989)
Journal of Monetary Economics
, vol.24
, pp. 401-421
-
-
Weil, P.1
-
156
-
-
12344264177
-
Optimal consumption and portfolio choices with risky housing and borrowing constraints
-
Yao R., Zhang H.H. Optimal consumption and portfolio choices with risky housing and borrowing constraints. Review of Financial Studies 2005, 18:197-239.
-
(2005)
Review of Financial Studies
, vol.18
, pp. 197-239
-
-
Yao, R.1
Zhang, H.H.2
-
157
-
-
0000627474
-
Prediction and decision problems in regression models from the Bayesian point of view
-
Zellner Z.A., Chetty V.K. Prediction and decision problems in regression models from the Bayesian point of view. Journal of the American Statistical Association 1965, 60:608-615.
-
(1965)
Journal of the American Statistical Association
, vol.60
, pp. 608-615
-
-
Zellner, Z.A.1
Chetty, V.K.2
|