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Multi-period portfolio choice and the intertemporal hedging demands for stocks and bonds: International evidence
16 references·9 citing·41 second hop
Multi-period portfolio choice and the intertemporal hedging demands for stocks and bonds: International evidence (2008)Multi-period portfolio choice and the int…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Prospect Theory and Asset Prices (2001)Prospect Theory and Asset Pri…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIA VARIANCE DECOMPOSITION FOR STOCK RETURNS (1990)A VARIANCE DECOMPOSITION FOR …Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Dividend yields and expected stock returns (1988)Dividend yields and expected …The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Stock Returns and the Term Structure (1985)Stock Returns and the Term St…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…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Portfolio Selection (1952)Portfolio SelectionThe impact of the coronavirus crisis on the market price of risk (2020)The impact of the coronavirus…Freight Rates in Downside and Upside Markets: Pricing of Own and Spillover Risks from Other Shipping Segments (2020)Freight Rates in Downside and…The demand for eurozone stocks and bonds in a time-varying asset allocation framework (2019)The demand for eurozone stock…The demand of energy from an optimal portfolio choice perspective (2017)The demand of energy from an …Forecasting market returns: bagging or combining? (2016)Forecasting market returns: b…Can commodity returns forecast Canadian sector stock returns? (2015)Can commodity returns forecas…Stocks for the long run? Evidence from emerging markets (2014)Stocks for the long run? Evid…Fuzzy multi period portfolio selection with different rates for borrowing and lending (2011)Fuzzy multi period portfolio …A historical examination of optimal real return portfolios for non‐US investors (2010)A historical examination of o…Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)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)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Common risk factors in the returns on stocks and bonds (1993)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)A five-factor asset pricing model (2014)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
this work references cited by second hop

References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1952Portfolio Selection4,609 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 2001Prospect Theory and Asset Prices1,876 cited
  • 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS

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1,822 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • Cited by

    • 2011Fuzzy multi period portfolio selection with different rates for borrowing and lending57 cited
    • 2014Stocks for the long run? Evidence from emerging markets41 cited
    • 2020Freight Rates in Downside and Upside Markets: Pricing of Own and Spillover Risks from Other Shipping Segments41 cited
    • 2016Forecasting market returns: bagging or combining?41 cited
    • 2010A historical examination of optimal real return portfolios for non‐US investors38 cited
    • 2020The impact of the coronavirus crisis on the market price of risk38 cited
    • 2019The demand for eurozone stocks and bonds in a time-varying asset allocation framework27 cited
    • 2017The demand of energy from an optimal portfolio choice perspective24 cited
    • 2015Can commodity returns forecast Canadian sector stock returns?24 cited