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Precautionary saving and portfolio allocation: DP by GMM
16 references·2 citing·30 second hop
Precautionary saving and portfolio allocation: DP by GMM (2001)Precautionary saving and portfolio alloca…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Consumption and Portfolio Dec…Numerical Methods in Economics (1998)Numerical Methods in EconomicsThe Econometrics of Financial Markets (1997)The Econometrics of Financial…Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Buffer-Stock Saving and the L…Why do so Few Hold Stocks? (1995)Why do so Few Hold Stocks?Precautionary Saving and Social Insurance (1995)Precautionary Saving and Soci…Precautionary Saving and Social Insurance (1994)Precautionary Saving and Soci…Labor supply flexibility and portfolio choice in a life cycle model (1992)Labor supply flexibility and …Standard Risk Aversion (1991)Standard Risk AversionOptimal Consumption with Stochastic Income: Deviations from Certainty Equivalence (1989)Optimal Consumption with Stoc…Optimal Hedging Policies (1984)Optimal Hedging PoliciesLIFETIME 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…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …Investment horizon and portfolio choice of private investors (2011)Investment horizon and portfo…Strategic Asset Allocation in Continuous Time (2002)Strategic Asset Allocation in…Uncertain Lifetime, Life Insurance, and the Theory of the Consumer (1965)Precautionary Saving in the Small and in the Large (1989)Understanding Consumption (1992)The Hyperbolic Consumption Model: Calibration, Simulation, and Empirical Evaluation (2001)Do the Rich Save More? (2004)Measuring Expectations (2004)Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)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)Precautionary Saving in the Small and in the Large (1990)A Contribution to the Empirics of Economic Growth (1992)Chapter 21 The financial accelerator in a quantitative business cycle framework (1999)Consumption Over the Life Cycle (2002)Time Discounting and Time Preference: A Critical Review (2002)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Strategic Asset Allocation (2002)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk (2000)Portfolio Choice in the Presence of Housing (2004)Myopic Loss Aversion and the Equity Premium Puzzle (1993)International Asset Allocation With Regime Shifts (2002)Introductory Econometrics for Finance (2008)
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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1998Numerical Methods in Economics2,587 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1997Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis1,706 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 1992Labor supply flexibility and portfolio choice in a life cycle model1,136 cited
  • 1995Precautionary Saving and Social Insurance1,112 cited
  • 1995Why do so Few Hold Stocks?1,078 cited
  • 1999Consumption and Portfolio Decisions when Expected Returns are Time Varying1,035 cited
  • 1984Optimal Hedging Policies939 cited
  • 1994Precautionary Saving and Social Insurance920 cited
  • 1989Optimal Consumption with Stochastic Income: Deviations from Certainty Equivalence904 cited
  • 1991Standard Risk Aversion

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  • 2002Strategic Asset Allocation in Continuous Time40 cited
  • 2011Investment horizon and portfolio choice of private investors28 cited