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Autocorrelated Returns and Optimal Intertemporal Portfolio Choice
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Autocorrelated Returns and Optimal Intertemporal Portfolio Choice (1997)Autocorrelated Returns and Optimal Intert…Forecasting Economic Time Series (2000)Forecasting Economic Time Ser…On the Predictability of Stock Returns: An Asset‐Allocation Perspective (1996)On the Predictability of Stoc…Implementing Option Pricing Models When Asset Returns Are Predictable (1995)Implementing Option Pricing M…Labor supply flexibility and portfolio choice in a life cycle model (1992)Labor supply flexibility and …Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence (1991)Mean Reversion in Stock Price…Predicting Stock Returns in an Efficient Market (1990)Predicting Stock Returns in a…Asset allocation could be dangerous to your health (1990)Asset allocation could be dan…The judgment of economic science on rational portfolio management (1989)The judgment of economic scie…A case at last for age-phased reduction in equity. (1989)A case at last for age-phased…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…A Note on the Suboptimality of Dollar-Cost Averaging as an Investment Policy (1979)A Note on the Suboptimality o…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…Optimal Multiperiod Portfolio Policies (1968)Optimal Multiperiod Portfolio…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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)When are Contrarian Profits Due to Stock Market Overreaction? (1989)Indexes of U.S. Stock Prices from 1802 to 1987 (1990)When Are Contrarian Profits Due to Stock Market Overreaction? (1990)Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies (2000)The arbitrage theory of capital asset pricing (1976)The theory and practice of econometrics (1986)Asset Pricing at the Millennium (2000)Optimal Portfolio Choice with Parameter Uncertainty (2007)Manager sentiment and stock returns (2018)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Multiperiod Consumption-Investment Decisions (1975)Universal Portfolios (1991)Aspects of Rational Insurance Purchasing (1992)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)Investor Psychology and Asset Pricing (2001)An Almost Ideal Demand System (1980)Empirical exchange rate models of the seventies (1983)Generalized autoregressive conditional heteroskedasticity (1986)Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk (2000)Strategic Asset Allocation (2002)Portfolio Choice in the Presence of Housing (2004)
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References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
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  • 2000Forecasting Economic Time Series1,768 cited
  • 1992Labor supply flexibility and portfolio choice in a life cycle model1,136 cited
  • 1968Optimal Multiperiod Portfolio Policies779 cited
  • 1996On the Predictability of Stock Returns: An Asset‐Allocation Perspective730 cited
  • 1991Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence469 cited
  • 1990Predicting Stock Returns in an Efficient Market327 cited
  • 1995Implementing Option Pricing Models When Asset Returns Are Predictable217 cited
  • 1989The judgment of economic science on rational portfolio management201 cited
  • 1989A case at last for age-phased reduction in equity.127 cited
  • 1990Asset allocation could be dangerous to your health113 cited

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  • 1979A Note on the Suboptimality of Dollar-Cost Averaging as an Investment Policy111 cited
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