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Asset Prices in an Exchange Economy with Habit Formation
16 references·16 citing·34 second hopsampled
Asset Prices in an Exchange Economy with Habit Formation (1991)Asset Prices in an Exchange Economy with …Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth (1989)Intertemporally Dependent Pre…Empirical Tests of the Consumption‐Oriented CAPM (1989)Empirical Tests of the Consum…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…The equity premium: A puzzle (1985)The equity premium: A puzzleAn Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…The Foundations of Expected Utility (1982)The Foundations of Expected U…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…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…Optimal Growth with Intertemporally Dependent Preferences (1973)Optimal Growth with Intertemp…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Capital and growth (1971)Capital and growthLifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)On Transforming a Certain Cla…Why Does Return Predictability Concentrate in Bad Times? (2017)Why Does Return Predictabilit…Financial Asset Pricing Theory (2013)Financial Asset Pricing TheoryAsset Prices and Risk Sharing in Open Economies (2011)Asset Prices and Risk Sharing…Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences (2008)Portfolio and consumption cho…The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns When Agents Differ in Risk Aversion (2007)The Effect of Introducing a N…Habit Formation and Macroeconomic Models of the Term Structure of Interest Rates (2007)Habit Formation and Macroecon…Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility (2007)Equilibrium Portfolio Strateg…Idiosyncratic Consumption Risk and the Cross Section of Asset Returns (2004)Idiosyncratic Consumption Ris…Portfolio choice with endogenous utility: a large deviations approach (2003)Portfolio choice with endogen…An Isomorphism Between Asset Pricing Models With and Without Linear Habit Formation (2002)An Isomorphism Between Asset …Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices (2001)Catching Up with the Joneses:…GROWTH-OPTIMAL PORTFOLIO RESTRICTIONS ON ASSET PRICING MODELS (1997)GROWTH-OPTIMAL PORTFOLIO REST…Time nonseparability in aggregate consumption (1993)Time nonseparability in aggre…The Interaction Between Time-Nonseparable Preferences and Time Aggregation (1993)The Interaction Between Time-…Optimal Consumption and Portfolio Rules with Durability and Local Substitution (1993)Optimal Consumption and Portf…Optimal Consumption‐Portfolio Policies With Habit Formation 1 (1992)Optimal Consumption‐Portfolio…The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)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)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)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)Does Option Compensation Increase Managerial Risk Appetite? (2000)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Brownian Motion and Stochastic Calculus (2007)Rational Expectations and the Theory of Price Movements (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Economic Forces and the Stock Market (1986)An Intertemporal Capital Asset Pricing Model (1973)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)ARCH modeling in finance (1992)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)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)
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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1978Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence3,581 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 1960On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures722 cited
  • 1989Empirical Tests of the Consumption‐Oriented CAPM705 cited
  • 1973Optimal Growth with Intertemporally Dependent Preferences593 cited
  • 1971Capital and growth567 cited
  • 1989Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth

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527 cited
  • 1982The Foundations of Expected Utility511 cited
  • Cited by

    • 1993The Interaction Between Time-Nonseparable Preferences and Time Aggregation228 cited
    • 2017Why Does Return Predictability Concentrate in Bad Times?160 cited
    • 2007Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility156 cited
    • 2007Habit Formation and Macroeconomic Models of the Term Structure of Interest Rates150 cited
    • 2001Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices149 cited
    • 1997GROWTH-OPTIMAL PORTFOLIO RESTRICTIONS ON ASSET PRICING MODELS123 cited
    • 2004Idiosyncratic Consumption Risk and the Cross Section of Asset Returns119 cited
    • 2003Portfolio choice with endogenous utility: a large deviations approach108 cited
    • 2008Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences103 cited
    • 2007The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns When Agents Differ in Risk Aversion102 cited
    • 1993Optimal Consumption and Portfolio Rules with Durability and Local Substitution99 cited
    • 2002An Isomorphism Between Asset Pricing Models With and Without Linear Habit Formation93 cited
    • 2013Financial Asset Pricing Theory91 cited
    • 1992Optimal Consumption‐Portfolio Policies With Habit Formation 184 cited
    • 1993Time nonseparability in aggregate consumption84 cited
    • 2011Asset Prices and Risk Sharing in Open Economies83 cited