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Optimal investment, stochastic labor income and retirement
16 references·0 citing·38 second hop
Optimal investment, stochastic labor income and retirement (2011)Optimal investment, stochastic labor inco…Continuous-time Stochastic Control and Optimization with Financial Applications (2009)Continuous-time Stochastic Co…Optimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income (2001)Optimal Portfolio Choice for …Risk-sensitive real business cycles (2000)Risk-sensitive real business …Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk (2000)Portfolio Choice and Asset Pr…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Uninsured Idiosyncratic Risk and Aggregate Saving (1994)Uninsured Idiosyncratic Risk …Understanding Consumption (1992)Understanding ConsumptionLabor supply flexibility and portfolio choice in a life cycle model (1992)Labor supply flexibility and …Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…On the Covariance Structure of Earnings and Hours Changes (1989)On the Covariance Structure o…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…On the Covariance Structure of Earnings and Hours Changes (1986)On the Covariance Structure o…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 …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)Strategic Asset Allocation (2002)Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)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)A Theory of the Term Structure of Interest Rates (1985)Does Option Compensation Increase Managerial Risk Appetite? (2000)Brownian Motion and Stochastic Calculus (2007)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Theory ahead of business-cycle measurement (1986)Precautionary Saving in the Small and in the Large (1989)Income and Wealth Heterogeneity in the Macroeconomy (1998)Interpreting the Evidence on Life Cycle Skill Formation (2005)Emerging Market Business Cycles: The Cycle Is the Trend (2007)Asset Prices in an Exchange Economy (1978)Common risk factors in the returns on stocks and bonds (1993)Idiosyncratic Risk Matters! (2003)Market Frictions, Price Delay, and the Cross-Section of Expected Returns (2005)Entrepreneurship, Frictions, and Wealth (2006)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Endogenous Technological Change (1990)Dynamic Econometrics (1995)Precautionary Saving and Social Insurance (1995)From Physical to Human Capital Accumulation: Inequality and the Process of Development (2004)Optimal high-frequency trading with limit and market orders (2012)Probabilistic Analysis of Mean-Field Games (2013)Stochastic Differential Equations (2014)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Portfolio Choice in the Presence of Housing (2004)
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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1994Uninsured Idiosyncratic Risk and Aggregate Saving2,799 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1992Understanding Consumption1,461 cited
  • 1992Labor supply flexibility and portfolio choice in a life cycle model1,136 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 2000Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk1,042 cited
  • 2009Continuous-time Stochastic Control and Optimization with Financial Applications1,041 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1998Methods of Mathematical Finance888 cited
  • 2001Optimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income755 cited
  • 2000Risk-sensitive real business cycles670 cited
  • 1989On the Covariance Structure of Earnings and Hours Changes

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600 cited
  • 1986On the Covariance Structure of Earnings and Hours Changes594 cited
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