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Robust Permanent Income and Pricing
16 references·16 citing·40 second hopsampled
Robust Permanent Income and Pricing (1999)Robust Permanent Income and PricingThe Buffer-Stock Theory of Saving: Some Macroeconomic Evidence (1992)The Buffer-Stock Theory of Sa…Nonexpected Utility in Macroeconomics (1990)Nonexpected Utility in Macroe…Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…The Equity Premium Puzzle and the Riskfree Rate Puzzle (1989)The Equity Premium Puzzle and…Saving and Liquidity Constraints (1989)Saving and Liquidity Constrai…Optimal Consumption with Stochastic Income: Deviations from Certainty Equivalence (1989)Optimal Consumption with Stoc…A Theory of Rational Addiction (1988)A Theory of Rational AddictionModels of business cycles (1987)Models of business cyclesTheory ahead of business-cycle measurement (1986)Theory ahead of business-cycl…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Stochastic Implications of th…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…An Equilibrium Model of the Business Cycle (1975)An Equilibrium Model of the B…Saving and Uncertainty: The Precautionary Demand for Saving (1968)Saving and Uncertainty: The P…Optimal Properties of Exponentially Weighted Forecasts (1960)Optimal Properties of Exponen…Asset pricing and ambiguity: Empirical evidence (2018)Asset pricing and ambiguity: …Macroeconomics after the Crisis: Time to Deal with the Pretense-of-Knowledge Syndrome (2010)Macroeconomics after the Cris…Heterogeneity and Portfolio Choice: Theory and Evidence (2010)Heterogeneity and Portfolio C…Fragile beliefs and the price of uncertainty (2010)Fragile beliefs and the price…The market price of risk and the equity premium: A legacy of the Great Depression? (2008)The market price of risk and …Recursive robust estimation and control without commitment (2007)Recursive robust estimation a…Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs (2007)Consensus Consumer and Intert…Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2005)Portfolio Selection with Para…Uncertainty and Risk in Financial Markets (2004)Uncertainty and Risk in Finan…Corporate earnings and the equity premium (2004)Corporate earnings and the eq…A two-person dynamic equilibrium under ambiguity (2003)A two-person dynamic equilibr…Robustness and Pricing with Uncertain Growth (2002)Robustness and Pricing with U…Consumption-Based Asset Pricing (2002)Consumption-Based Asset Prici…Convergence trading with wealth effects: an amplification mechanism in financial markets (2001)Convergence trading with weal…Acknowledging Misspecification in Macroeconomic Theory (2001)Acknowledging Misspecificatio…Chapter 8 Micro data and general equilibrium models (1999)Chapter 8 Micro data and gene…The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Optimum consumption and portfolio rules in a continuous-time model (1971)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)A Contribution to the Theory of Economic Growth (1956)Understanding business cycles (1977)Agency Costs, Net Worth, And Business Fluctuations (1988)Uninsured Idiosyncratic Risk and Aggregate Saving (1994)The Band Pass Filter (1999)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)Utility Theory for Decision Making (1971)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)A Smooth Model of Decision Making under Ambiguity (2005)Expected Stock Returns and Variance Risk Premia (2009)Consumption and Liquidity Constraints: An Empirical Investigation (1989)Precautionary Saving in the Small and in the Large (1990)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Chapter 21 The financial accelerator in a quantitative business cycle framework (1999)Out of Control: Visceral Influences on Behavior (1996)Doing It Now or Later (1999)Time Discounting and Time Preference: A Critical Review (2002)Income and Wealth Heterogeneity in the Macroeconomy (1998)Information and the Change in the Paradigm in Economics (2002)The Macroeconomics of Happiness (2003)Trends and random walks in macroeconmic time series (1982)Testing for a Unit Root in Time Series Regression (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Precautionary Saving in the Small and in the Large (1989)DO NATURAL DISASTERS PROMOTE LONG‐RUN GROWTH? (2002)
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References

  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1988A Theory of Rational Addiction3,870 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1978Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence3,581 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
  • 1986Theory ahead of business-cycle measurement1,663 cited
  • 1987Models of business cycles1,509 cited
  • 1968Saving and Uncertainty: The Precautionary Demand for Saving1,376 cited
  • 1989Saving and Liquidity Constraints1,341 cited
  • 1992The Buffer-Stock Theory of Saving: Some Macroeconomic Evidence1,060 cited
  • 1975An Equilibrium Model of the Business Cycle1,036 cited
  • 1990Nonexpected Utility in Macroeconomics986 cited
  • 1960Optimal Properties of Exponentially Weighted Forecasts985 cited
  • 1989The Equity Premium Puzzle and the Riskfree Rate Puzzle922 cited
  • 1989Optimal Consumption with Stochastic Income: Deviations from Certainty Equivalence

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Cited by

  • 1999Chapter 8 Micro data and general equilibrium models476 cited
  • 2010Macroeconomics after the Crisis: Time to Deal with the Pretense-of-Knowledge Syndrome363 cited
  • 2001Convergence trading with wealth effects: an amplification mechanism in financial markets282 cited
  • 2005Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach264 cited
  • 2002Consumption-Based Asset Pricing239 cited
  • 2003A two-person dynamic equilibrium under ambiguity233 cited
  • 2008The market price of risk and the equity premium: A legacy of the Great Depression?223 cited
  • 2010Fragile beliefs and the price of uncertainty221 cited
  • 2004Corporate earnings and the equity premium217 cited
  • 2018Asset pricing and ambiguity: Empirical evidence213 cited
  • 2007Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs213 cited
  • 2007Recursive robust estimation and control without commitment211 cited
  • 2002Robustness and Pricing with Uncertain Growth207 cited
  • 2001Acknowledging Misspecification in Macroeconomic Theory206 cited
  • 2004Uncertainty and Risk in Financial Markets201 cited
  • 2010Heterogeneity and Portfolio Choice: Theory and Evidence198 cited