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Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth
14 references·16 citing·28 second hopsampled
Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth (1989)Intertemporally Dependent Preferences and…The equity premium: A puzzle (1985)The equity premium: A puzzleAn Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…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…The valuation of options for alternative stochastic processes (1976)The valuation of options for …LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …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…Habit Formation and Dynamic Demand Functions (1970)Habit Formation and Dynamic D…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…Long‐Run Stockholder Consumption Risk and Asset Returns (2009)Long‐Run Stockholder Consumpt…Long-Run Stockholder Consumption Risk and Asset Returns (2008)Long-Run Stockholder Consumpt…Lazy Investors, Discretionary Consumption, and the Cross‐Section of Stock Returns (2007)Lazy Investors, Discretionary…Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans (2005)Stochastic lifestyling: Optim…Understanding Predictability (2004)Understanding PredictabilityTime-varying risk aversion and unexpected inflation (2003)Time-varying risk aversion an…Chapter 13 Consumption-based asset pricing (2003)Chapter 13 Consumption-based …Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices (2002)Catching Up with the Joneses:…Resurrecting the (C)Capm: A Cross-Sectional Test When Risk Premia Wre Time-Varying (2000)Resurrecting the (C)Capm: A C…Robust Permanent Income and Pricing (1999)Robust Permanent Income and P…Chapter 19 Asset prices, consumption, and the business cycle (1999)Chapter 19 Asset prices, cons…Time-Varying Expected Returns in International Bond Markets (1995)Time-Varying Expected Returns…An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications (1995)An Empirical Investigation of…Asset Pricing with Stochastic Differential Utility (1992)Asset Pricing with Stochastic…Asset Prices in an Exchange Economy with Habit Formation (1991)Asset Prices in an Exchange E…Two-Person Dynamic Equilibrium in the Capital Market (1989)Two-Person Dynamic Equilibriu…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)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)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)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)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)The Cross-Section of Expected Stock Returns (1992)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)ARCH modeling in finance (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)
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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
  • 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
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 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
  • 1970Habit Formation and Dynamic Demand Functions827 cited
  • 1964Stationary Utility and Time Perspective264 cited

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  • 1992Asset Pricing with Stochastic Differential Utility486 cited

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  • 1999Robust Permanent Income and Pricing476 cited
  • 2004Understanding Predictability456 cited
  • 2002Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices437 cited
  • 2000Resurrecting the (C)Capm: A Cross-Sectional Test When Risk Premia Wre Time-Varying412 cited
  • 1995An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications384 cited
  • 1989Two-Person Dynamic Equilibrium in the Capital Market376 cited
  • 2009Long‐Run Stockholder Consumption Risk and Asset Returns339 cited
  • 2003Chapter 13 Consumption-based asset pricing320 cited
  • 2003Time-varying risk aversion and unexpected inflation318 cited
  • 1999Chapter 19 Asset prices, consumption, and the business cycle317 cited
  • 2007Lazy Investors, Discretionary Consumption, and the Cross‐Section of Stock Returns311 cited
  • 2005Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans309 cited
  • 1991Asset Prices in an Exchange Economy with Habit Formation298 cited
  • 1995Time-Varying Expected Returns in International Bond Markets286 cited
  • 2008Long-Run Stockholder Consumption Risk and Asset Returns246 cited