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Valuation of Pension Liabilities in Incomplete Markets
16 references·0 citing·41 second hop
Valuation of Pension Liabilities in Incomplete Markets (2007)Valuation of Pension Liabilities in Incom…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Portfolio Choice over the Life‐Cycle when the Stock and Labor Markets Are Cointegrated (2007)Portfolio Choice over the Lif…The Equity Premium (2002)The Equity PremiumStrategic Asset Allocation (2002)Strategic Asset AllocationDynamic Asset Allocation under Inflation (2002)Dynamic Asset Allocation unde…Portfolio Choice in the Presence of Background Risk (2000)Portfolio Choice in the Prese…Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets (2000)Beyond Arbitrage: Good‐Deal A…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Introduction to Mathematical Finance: Discrete Time Models (1997)Introduction to Mathematical …Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Labor supply flexibility and portfolio choice in a life cycle model (1992)Labor supply flexibility and …Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)Consumption and portfolio pol…Optimal replication of contingent claims under transaction costs (1989)Optimal replication of contin…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Optimum consumption and portfolio rules in a continuous-time model (1971)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)An Econometric Analysis of Nonsynchronous Trading (1989)An ordered probit analysis of transaction stock prices (1990)The Econometrics of Financial Markets (1998)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)An Intertemporal Capital Asset Pricing Model (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 Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Introductory Econometrics for Finance (2008)PORTFOLIO SELECTION* (1952)Prospect Theory: An Analysis of Decision under Risk (1979)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Consumption and Portfolio Choice over the Life Cycle (2005)Household Finance (2006)The equity premium: A puzzle (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Capital markets research in accounting (2001)Investor Psychology and Asset Pricing (2001)Optimal Investment and Consumption with Transaction Costs (1994)Optimal control of execution costs (1998)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Determining the Number of Factors in Approximate Factor Models (2002)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 2012The Econometrics of Financial Markets5,889 cited
  • 1997The Econometrics of Financial Markets5,048 cited
  • 1993Dynamic Asset Pricing Theory.2,926 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 2002The Equity Premium1,386 cited
  • 2002Strategic Asset Allocation1,354 cited
  • 1992Labor supply flexibility and portfolio choice in a life cycle model1,136 cited
  • 1989Optimal replication of contingent claims under transaction costs605 cited
  • 2000Portfolio Choice in the Presence of Background Risk539 cited
  • 2000Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets476 cited
  • 2007Portfolio Choice over the Life‐Cycle when the Stock and Labor Markets Are Cointegrated466 cited
  • 1991Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case436 cited
  • 1997Introduction to Mathematical Finance: Discrete Time Models425 cited

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2002
Dynamic Asset Allocation under Inflation
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