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The Role of Learning in Dynamic Portfolio Decisions
7 references·16 citing·45 second hopsampled
The Role of Learning in Dynamic Portfolio Decisions (1998)The Role of Learning in Dynamic Portfolio…On the Predictability of Stock Returns: An Asset‐Allocation Perspective (1996)On the Predictability of Stoc…Optimal Portfolio Choice Under Incomplete Information (1986)Optimal Portfolio Choice Unde…The equity premium: A puzzle (1985)The equity premium: A puzzleAn intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…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 …Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Sequential Learning, Predictability, and Optimal Portfolio Returns (2013)Sequential Learning, Predicta…Why Do (Some) Households Trade So Much? (2011)Why Do (Some) Households Trad…Optimal investment under partial information (2010)Optimal investment under part…Learning in Financial Markets (2009)Learning in Financial MarketsGood Times or Bad Times? Investors' Uncertainty and Stock Returns (2008)Good Times or Bad Times? Inve…Rational Inattention and Portfolio Selection (2007)Rational Inattention and Port…Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium (2006)Robust portfolio rules and de…Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)Model Uncertainty and Option …A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability (2005)A Simulation Approach to Dyna…A Monte Carlo Method for Optimal Portfolios (2003)A Monte Carlo Method for Opti…Optimal portfolio choice for unobservable and regime-switching mean returns (2002)Optimal portfolio choice for …The relaxed investor and parameter uncertainty (2001)The relaxed investor and para…Stock price volatility and equity premium (2001)Stock price volatility and eq…Assessing Asset Pricing Anomalies (2001)Assessing Asset Pricing Anoma…A Multivariate Model of Strategic Asset Allocation (2001)A Multivariate Model of Strat…Dynamic Asset Allocation and Fixed Income Management (1999)Dynamic Asset Allocation and …The Theory of Games and Economic Behavior (1945)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Portfolio Selection and Asset Pricing Models (2000)An Empirical Analysis of Analysts' Target Prices: Short‐term Informativeness and Long‐term Dynamics (2003)Portfolio selection with higher moments (2010)Theory of games and economic behavior (2019)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An equilibrium characterization of the term structure (1977)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets: II (1991)Common risk factors in the returns on stocks and bonds (1993)An Intertemporal Capital Asset Pricing Model (1973)On estimating the expected return on the market (1980)How Does Information Quality Affect Stock Returns? (2000)Learning, Asset‐Pricing Tests, and Market Efficiency (2002)Learning with Information Capacity Constraints (2005)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Understanding Index Option Returns (2009)Time-varying rare disaster risk and stock returns (2011)The Economic Implications of Learning by Doing (1962)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Continuous Auctions and Insider Trading (1985)Corporate social responsibility and firm financial risk reduction: On the moderating role of the legal environment (2017)Psychology-Based Models of Asset Prices and Trading Volume (2018)Freedom and stock market performance during Covid-19 outbreak (2020)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)The Term Structure of the Risk–Return Trade-Off (2005)Correlation Risk and Optimal Portfolio Choice (2010)Portfolio Choice Problems (2010)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)ARCH modeling in finance (1992)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)
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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1996On the Predictability of Stock Returns: An Asset‐Allocation Perspective730 cited
  • 1976The effect of estimation risk on optimal portfolio choice532 cited
  • 1986Optimal Portfolio Choice Under Incomplete Information436 cited

Cited by

  • 2006Model Uncertainty and Option Markets with Heterogeneous Beliefs346 cited
  • 2009Learning in Financial Markets338 cited
  • 2005A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability335 cited
  • 2003A Monte Carlo Method for Optimal Portfolios306 cited
  • 2001Stock price volatility and equity premium298 cited
  • 2006Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium246 cited
  • 2013Sequential Learning, Predictability, and Optimal Portfolio Returns234 cited
  • 2001A Multivariate Model of Strategic Asset Allocation

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208 cited
  • 2008Good Times or Bad Times? Investors' Uncertainty and Stock Returns182 cited
  • 2007Rational Inattention and Portfolio Selection160 cited
  • 2001The relaxed investor and parameter uncertainty146 cited
  • 2011Why Do (Some) Households Trade So Much?141 cited
  • 1999Dynamic Asset Allocation and Fixed Income Management136 cited
  • 2002Optimal portfolio choice for unobservable and regime-switching mean returns135 cited
  • 2001Assessing Asset Pricing Anomalies129 cited
  • 2010Optimal investment under partial information129 cited