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Optimal portfolio choice and stochastic volatility
16 references·0 citing·37 second hop
Optimal portfolio choice and stochastic volatility (2011)Optimal portfolio choice and stochastic v…Portfolio Selection in Stochastic Environments (2006)Portfolio Selection in Stocha…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation (2001)Learning about Predictability…Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…Predictive regressions (1999)Predictive regressionsOn the Predictability of Stock Returns: An Asset-Allocation Perspective (1996)On the Predictability of Stoc…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…Foundations for Financial Economics. (1989)Foundations for Financial Eco…The effect of estimation risk on optimal portfolio choice (1976)The effect of estimation risk…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …An aggregation theorem for securities markets (1974)An aggregation theorem for se…Risk, Return, and Equilibrium (1971)Risk, Return, and EquilibriumOptimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …The Theory of Syndicates (1968)The Theory of SyndicatesRisk Aversion in the Small and in the Large (1976)Moral Hazard and Observability (1979)Optimal contracts and competitive markets with costly state verification (1979)Signaling in Retrospect and the Informational Structure of Markets (2002)The Distribution of Share Price Changes (1972)A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)Multivariate tests of financial models (1982)Option valuation using the fast Fourier transform (1999)A Jump-Diffusion Model for Option Pricing (2002)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Modeling and Forecasting Realized Volatility (2003)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)An Intertemporal Capital Asset Pricing Model (1973)Business conditions and expected returns on stocks and bonds (1989)International Asset Allocation With Regime Shifts (2002)Presidential Address: Discount Rates (2011)Asset returns and inflation (1977)Stock Returns and the Term Structure (1985)Dividend yields and expected stock returns (1988)Illiquidity and stock returns: cross-section and time-series effects (2002)Investor Sentiment and the Cross‐Section of Stock Returns (2006)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)On the Estimation of Beta-Pricing Models (1992)Earnings, Book Values, and Dividends in Equity Valuation* (1995)Asset pricing with liquidity risk (2005)Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence (1989)Myopic Loss Aversion and the Equity Premium Puzzle (1993)
this work references cited by second hop

References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,808 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 1999Predictive regressions1,614 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 2000Investing for the Long Run when Returns Are Predictable1,372 cited
  • 1968The Theory of Syndicates1,178 cited
  • 1989Foundations for Financial Economics.834 cited
  • 1996On the Predictability of Stock Returns: An Asset-Allocation Perspective779 cited
  • 2006Portfolio Selection in Stochastic Environments660 cited
  • 1971Risk, Return, and Equilibrium539 cited
  • 1976The effect of estimation risk on optimal portfolio choice532 cited
  • 1974An aggregation theorem for securities markets484 cited
  • 2001Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation

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