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Hedging House Price Risk with Incomplete Markets
16 references·7 citing·44 second hop
Hedging House Price Risk with Incomplete Markets (2000)Hedging House Price Risk with Incomplete …Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Consumption and Portfolio Dec…Numerical Methods in Economics (1998)Numerical Methods in EconomicsStrategic asset allocation (1997)Strategic asset allocationBuffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Buffer-Stock Saving and the L…On the Predictability of Stock Returns: An Asset-Allocation Perspective (1996)On the Predictability of Stoc…Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing (1996)Evaluating the Effects of Inc…Dynamic Nonmyopic Portfolio Behavior (1996)Dynamic Nonmyopic Portfolio B…Saving and Liquidity Constraints (1991)Saving and Liquidity Constrai…Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models (1991)Quadrature-Based Methods for …Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…The baby boom, the baby bust, and the housing market (1989)The baby boom, the baby bust,…Optimal Consumption with Stochastic Income: Deviations from Certainty Equivalence (1989)Optimal Consumption with Stoc…The Efficiency of the Market for Single-Family Homes (1988)The Efficiency of the Market …Capital Market Equilibrium with Transaction Costs (1986)Capital Market Equilibrium wi…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Portfolio Choice Problems (2010)Portfolio Choice ProblemsHousing, consumption and asset pricing (2006)Housing, consumption and asse…Hedging, Familiarity and Portfolio Choice (2006)Hedging, Familiarity and Port…Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective (2005)Housing Collateral, Consumpti…Assessing High House Prices: Bubbles, Fundamentals and Misperceptions (2005)Assessing High House Prices: …Hedging Housing Risk in London (2003)Hedging Housing Risk in LondonWhy Stocks May Disappoint (2000)Why Stocks May DisappointA Regression Method for Real Estate Price Index Construction (1963)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Rational herding in financial economics (1996)Is There a Bubble in the Housing Market? (2003)The Consequences of Mortgage Credit Expansion: Evidence from the U.S. Mortgage Default Crisis * (2009)Short- Term Interest Rates as Predictors of Inflation (2021)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Consumption and Liquidity Constraints: An Empirical Investigation (1989)Precautionary Saving in the Small and in the Large (1989)Chapter 21 The financial accelerator in a quantitative business cycle framework (1999)Consumption Over the Life Cycle (2002)Panel Data Econometrics (2003)Brownian Motion and Stochastic Flow Systems. (1987)Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Arbitrage Theory in Continuous Time (1998)Optimal control of execution costs (1998)Portfolio Choice in the Presence of Housing (2004)An Intertemporal Capital Asset Pricing Model (1973)Household Finance (2006)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Presidential Address: Discount Rates (2011)The Econometrics of Financial Markets (2012)Theory of the Consumption Function (1957)Time to Build and Aggregate Fluctuations (1982)A Contribution to the Empirics of Economic Growth (1992)Time Discounting and Time Preference: A Critical Review (2002)Business conditions and expected returns on stocks and bonds (1989)Predictive regressions (1999)International Asset Allocation With Regime Shifts (2002)Loss Aversion and Seller Behavior: Evidence from the Housing Market (2001)Chapter 49 Evidence on the nature and sources of agglomeration economies (2004)Housing supply and housing bubbles (2008)Credit Booms and Lending Standards: Evidence from the Subprime Mortgage Market (2012)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The Impact of Uncertainty Shocks (2009)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)
this work references cited by second hop

References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1998Numerical Methods in Economics2,589 cited
  • 1988The Efficiency of the Market for Single-Family Homes1,828 cited
  • 1997Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis1,729 cited
  • 1991Saving and Liquidity Constraints1,656 cited
  • 2000Investing for the Long Run when Returns Are Predictable1,372 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1986Capital Market Equilibrium with Transaction Costs1,096 cited
  • 1999Consumption and Portfolio Decisions when Expected Returns are Time Varying1,035 cited
  • 1989The baby boom, the baby bust, and the housing market966 cited
  • 1991Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models926 cited
  • 1989Optimal Consumption with Stochastic Income: Deviations from Certainty Equivalence904 cited
  • 1996On the Predictability of Stock Returns: An Asset-Allocation Perspective786 cited
  • 1996Dynamic Nonmyopic Portfolio Behavior747 cited
  • 1997Strategic asset allocation730 cited
  • 1996

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Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing
650 cited

Cited by

  • 2005Assessing High House Prices: Bubbles, Fundamentals and Misperceptions1,237 cited
  • 2006Housing, consumption and asset pricing720 cited
  • 2006Hedging, Familiarity and Portfolio Choice643 cited
  • 2005Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective637 cited
  • 2000Why Stocks May Disappoint354 cited
  • 2010Portfolio Choice Problems329 cited
  • 2003Hedging Housing Risk in London54 cited