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Portfolio management with stochastic interest rates and inflation ambiguity
16 references·7 citing·41 second hop
Portfolio management with stochastic interest rates and inflation ambiguity (2013)Portfolio management with stochastic inte…Robust Portfolio Rules and Asset Pricing (2004)Robust Portfolio Rules and As…Overconfidence and Speculative Bubbles (2003)Overconfidence and Speculativ…Model Misspecification and Underdiversification (2003)Model Misspecification and Un…A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection (2003)A Quartet of Semigroups for M…Who Should Buy Long-Term Bonds? 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(1966)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)A Theory of the Term Structure of Interest Rates (1985)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Asymmetric correlations of equity portfolios (2002)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risk Aversion in the Small and in the Large (1964)Optimal rules for ordering uncertain prospects (1975)Net Health Benefits (1998)Stochastic Volatility for Lévy Processes (2003)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The equity premium: A puzzle (1985)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)The Cross-Section of Expected Stock Returns (1992)Diversification's effect on firm value (1995)Earnings Management to Exceed Thresholds (1999)Presidential Address: Discount Rates (2011)The short of it: Investor sentiment and anomalies (2011)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Entrepreneurial discovery and the competitive market process: an Austrian approach (2000)Gender Differences in Preferences (2009)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)
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References

  • 1921Risk, Uncertainty and Profit9,962 cited
  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1977Asset returns and inflation2,701 cited
  • 2003Overconfidence and Speculative Bubbles2,227 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 1971Increasing risk II: Its economic consequences1,082 cited
  • 2004Robust Portfolio Rules and Asset Pricing784 cited
  • 19713. Hedonic Price Indexes for Automobiles: An Econometric Analysis of Quality Change663 cited
  • 2003A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection635 cited
  • 2001Who Should Buy Long-Term Bonds?624 cited
  • 2001Statistics of Random Processes514 cited
  • 2003Model Misspecification and Underdiversification474 cited
  • 1986Optimal Portfolio Choice Under Incomplete Information

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  • 2017Dynamic derivative strategies with stochastic interest rates and model uncertainty29 cited
  • 2017Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate28 cited
  • 2023Robust retirement and life insurance with inflation risk and model ambiguity26 cited