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A Utility-Based Model of Common Stock Price Movements
16 references·1 citing·33 second hop
A Utility-Based Model of Common Stock Price Movements (1986)A Utility-Based Model of Common Stock Pri…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns (1983)Stochastic Consumption, Risk …The Determinants of the Variability of Stock Market Prices (1980)The Determinants of the Varia…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…THE DEMAND FOR RISKY ASSETS (1977)THE DEMAND FOR RISKY ASSETSThe Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…The Asset Structure of Individual Portfolios and Some Implications for Utility Functions (1975)The Asset Structure of Indivi…THE ASSET STRUCTURE OF INDIVIDUAL PORTFOLIOS AND SOME IMPLICATIONS FOR UTILITY FUNCTIONS (1975)THE ASSET STRUCTURE OF INDIVI…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…Increasing risk II: Its economic consequences (1971)Increasing risk II: Its econo…Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions (1970)Optimal Investment and Consum…Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …Capital Equipment Analysis: The Required Rate of Profit (1956)Capital Equipment Analysis: T…Endogenous Selection and Moral Hazard in Compensation Contracts (2010)Endogenous Selection and Mora…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Risk Aversion in the Small and in the Large (1964)Optimal rules for ordering uncertain prospects (1975)Risk Aversion in the Small and in the Large (1976)Net Health Benefits (1998)Stochastic Volatility for Lévy Processes (2003)Theory of Value (1959)Implied Binomial Trees (1994)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Efficient Capital Markets: II (1991)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)An Intertemporal Capital Asset Pricing Model (1973)On estimating the expected return on the market (1980)Predicting returns in the stock and bond markets (1986)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Chapter 18 A survey of behavioral finance (2003)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)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)The Adaptive Markets Hypothesis (2004)Myopic Loss Aversion and the Equity Premium Puzzle (1993)International Asset Allocation With Regime Shifts (2002)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns1,549 cited
  • 1971Increasing risk II: Its economic consequences1,082 cited
  • 1977THE DEMAND FOR RISKY ASSETS1,052 cited
  • 1956Capital Equipment Analysis: The Required Rate of Profit897 cited
  • 1980The Determinants of the Variability of Stock Market Prices511 cited
  • 1975The Asset Structure of Individual Portfolios and Some Implications for Utility Functions420 cited
  • 1975THE ASSET STRUCTURE OF INDIVIDUAL PORTFOLIOS AND SOME IMPLICATIONS FOR UTILITY FUNCTIONS

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378 cited
  • 1970Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions347 cited
  • Cited by

    • 2010Endogenous Selection and Moral Hazard in Compensation Contracts36 cited