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Portfolio Choice and Asset Pricing With Nontraded Assets
15 references·3 citing·35 second hop
Portfolio Choice and Asset Pricing With Nontraded Assets (1988)Portfolio Choice and Asset Pricing With N…Nonmarketable assets and capital market equilibrium under uncertainty (2016)Nonmarketable assets and capi…Optimal hedging and equilibrium in a dynamic futures market (1990)Optimal hedging and equilibri…Theory of Financial Decision Making. (1988)Theory of Financial Decision …On the Optimal Hedge of a Nontraded Cash Position (1988)On the Optimal Hedge of a Non…Explicit Solution of a General Consumption/Investment Problem (1986)Explicit Solution of a Genera…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…Optimal Hedging Policies (1984)Optimal Hedging PoliciesOptimum control of stochastic differential equation systems (1979)Optimum control of stochastic…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Human capital and capital market equilibrium (1977)Human capital and capital mar…The Demand for Index Bonds (1975)The Demand for Index BondsNonmarketable Assets and the Determination of Capital Asset Prices in the Absence of a Riskless Asset (1973)Nonmarketable Assets and the …Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Human Capital as an Asset Class Implications from a General Equilibrium Model (2014)Human Capital as an Asset Cla…Labor supply flexibility and portfolio choice in a life cycle model (1992)Labor supply flexibility and …Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)Consumption and portfolio pol…The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Theory of the Term Structure of Interest Rates (1985)The theory of financial intermediation (1997)The dark side of diversification: The case of US financial holding companies (2005)Originate-to-Distribute Model and the Subprime Mortgage Crisis (2010)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Conditional Skewness in Asset Pricing Tests (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of games and economic behavior (2019)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Aspects of the Theory of Risk-Bearing. (1966)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)An Intertemporal Capital Asset Pricing Model (1973)Backward Stochastic Differential Equations in Finance (1997)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)PORTFOLIO SELECTION* (1952)Common risk factors in the returns on stocks and bonds (1993)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Portfolio Selection with Transaction Costs (1990)Strategic Asset Allocation (2002)Consumption and Portfolio Choice over the Life Cycle (2005)Household Finance (2006)
this work references cited by second hop

References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,698 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1988Theory of Financial Decision Making.1,870 cited
  • 1984Optimal Hedging Policies939 cited
  • 1986Explicit Solution of a General Consumption/Investment Problem387 cited
  • 1975The Demand for Index Bonds298 cited
  • 1977Human capital and capital market equilibrium245 cited
  • 2016Nonmarketable assets and capital market equilibrium under uncertainty178 cited
  • 1973Nonmarketable Assets and the Determination of Capital Asset Prices in the Absence of a Riskless Asset174 cited
  • 1988On the Optimal Hedge of a Nontraded Cash Position81 cited
  • 1990Optimal hedging and equilibrium in a dynamic futures market68 cited
  • 1979Optimum control of stochastic differential equation systems51 cited

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Cited by

  • 1992Labor supply flexibility and portfolio choice in a life cycle model1,136 cited
  • 1991Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case436 cited
  • 2014Human Capital as an Asset Class Implications from a General Equilibrium Model48 cited