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Time preference and capital asset pricing models
16 references·9 citing·29 second hop
Time preference and capital asset pricing models (1985)Time preference and capital asset pricing…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Optimal growth with many consumers (1984)Optimal growth with many cons…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Multiperiod Consumption-Investment Decisions (1975)Multiperiod Consumption-Inves…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …Optimal Growth with Intertemporally Dependent Preferences (1973)Optimal Growth with Intertemp…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…Capital and growth (1971)Capital and growthValue, Capital, and Growth: Papers in Honour of Sir John Hicks. (1969)Value, Capital, and Growth: P…Optimal Savings Under Uncertainty (1969)Optimal Savings Under Uncerta…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …Stationary Utility and Time Perspective (1964)Stationary Utility and Time P…Stationary Ordinal Utility and Impatience (1960)Stationary Ordinal Utility an…Time-varying state variable risk premia in the ICAPM (2020)Time-varying state variable r…Chapter 10 Arbitrage, state prices and portfolio theory (2003)Chapter 10 Arbitrage, state p…Time-series tests of a non-expected-utility model of asset pricing (1993)Time-series tests of a non-ex…Optimal consumption and portfolio rules with intertemporally dependent utility of consumption (1992)Optimal consumption and portf…Optimal Investment Strategies for University Endowment Funds (1991)Optimal Investment Strategies…Recursive utility and the Ramsey problem (1990)Recursive utility and the Ram…Optimal Hedging under Intertemporally Dependent Preferences (1990)Optimal Hedging under Interte…International risk sharing and capital mobility (1989)International risk sharing an…Capital Asset Pricing Model (1989)Capital Asset Pricing ModelAspects of the Theory of Risk-Bearing. (1966)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)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 (1965)Efficient Capital Markets: II (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Common risk factors in the returns on stocks and bonds (1993)Rational Expectations and the Theory of Price Movements (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)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)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Robust Permanent Income and Pricing (1999)Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices (2002)Discounting climate change (2008)Optimal Taxation of Capital Income in General Equilibrium with Infinite Lives (1986)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Handbook of Emotions (1993)Myopic Loss Aversion and the Equity Premium Puzzle (1993)International Asset Allocation With Regime Shifts (2002)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 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
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 1960Stationary Ordinal Utility and Impatience1,550 cited
  • 1973Optimal Growth with Intertemporally Dependent Preferences593 cited
  • 1971Capital and growth567 cited
  • 1975Multiperiod Consumption-Investment Decisions448 cited
  • 1984Optimal growth with many consumers368 cited
  • 1969Optimal Savings Under Uncertainty334 cited
  • 1969Value, Capital, and Growth: Papers in Honour of Sir John Hicks.273 cited
  • 1964Stationary Utility and Time Perspective

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264 cited

Cited by

  • 1990Recursive utility and the Ramsey problem124 cited
  • 1991Optimal Investment Strategies for University Endowment Funds60 cited
  • 1989Capital Asset Pricing Model58 cited
  • 2020Time-varying state variable risk premia in the ICAPM41 cited
  • 1992Optimal consumption and portfolio rules with intertemporally dependent utility of consumption38 cited
  • 1989International risk sharing and capital mobility33 cited
  • 2003Chapter 10 Arbitrage, state prices and portfolio theory30 cited
  • 1993Time-series tests of a non-expected-utility model of asset pricing28 cited
  • 1990Optimal Hedging under Intertemporally Dependent Preferences24 cited