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Dynamic consumption and asset allocation with derivative securities
16 references·0 citing·27 second hop
Dynamic consumption and asset allocation with derivative securities (2007)Dynamic consumption and asset allocation …Theory of rational option pricing (2005)Theory of rational option pri…Strategic Asset Allocation (2002)Strategic Asset AllocationConsumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Consumption and Portfolio Dec…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stochastic Differential Utility (1992)Stochastic Differential Utili…No news is good news (1992)No news is good newsARCH modeling in finance (1992)ARCH modeling in financeStock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…Expected stock returns and volatility (1987)Expected stock returns and vo…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…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 …The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Coherent Measures of Risk (1999)Generalized autoregressive conditional heteroskedasticity (1986)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Dynamic Conditional Correlation (2002)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Econometric Analysis of Cross Section and Panel Data (2001)Option pricing: A simplified approach (1979)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,063 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1973Theory of Rational Option Pricing8,084 cited
  • 2005Theory of rational option pricing7,183 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1992ARCH modeling in finance4,343 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1992No news is good news1,929 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 2002Strategic Asset Allocation1,354 cited
  • 1992Stochastic Differential Utility1,165 cited

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1999
Consumption and Portfolio Decisions when Expected Returns are Time Varying
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