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Dynamic asset allocation when bequests are luxury goods
16 references·4 citing·38 second hop
Dynamic asset allocation when bequests are luxury goods (2013)Dynamic asset allocation when bequests ar…Why Do Household Portfolio Shares Rise in Wealth? ∗ (2014)Why Do Household Portfolio Sh…Bequest motives and the annuity puzzle (2011)Bequest motives and the annui…Why Do the Elderly Save? The Role of Medical Expenses (2010)Why Do the Elderly Save? The …Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans (2005)Stochastic lifestyling: Optim…The Importance of Bequests and Life-Cycle Saving in Capital Accumulation: A New Answer (2002)The Importance of Bequests an…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Theory of constant proportion portfolio insurance (1992)Theory of constant proportion…Labor 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…Theory of Financial Decision Making. (1988)Theory of Financial Decision …The valuation of options for alternative stochastic processes (1976)The valuation of options for …Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model (1975)Optimal consumption, portfoli…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 …Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods (2020)Optimal life insurance and an…Superannuation in Australia: A Survey of the Literature (2018)Superannuation in Australia: …Default and naive diversification heuristics in annuity choice (2016)Default and naive diversifica…Optimal Annuity Purchases for Australian Retirees (2015)Optimal Annuity Purchases for…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)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Post-'87 crash fears in the S&P 500 futures option market (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of games and economic behavior (2019)Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)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)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)Saving and Liquidity Constraints (1989)Precautionary Saving and Social Insurance (1995)Consumption Over the Life Cycle (2002)The Economic Importance of Financial Literacy: Theory and Evidence (2013)Cohort Profile: the Health and Retirement Study (HRS) (2014)Optimal Financial Knowledge and Wealth Inequality (2017)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 and Asset Prices: The Importance of Entrepreneurial Risk (2000)Portfolio Choice in the Presence of Housing (2004)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Pricing American Options: A Duality Approach (2004)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)
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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
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1992Labor supply flexibility and portfolio choice in a life cycle model1,136 cited
  • 1998Methods of Mathematical Finance888 cited
  • 2010Why Do the Elderly Save? The Role of Medical Expenses874 cited
  • 1975Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model436 cited
  • 1992Theory of constant proportion portfolio insurance403 cited
  • 2011Bequest motives and the annuity puzzle328 cited
  • 2005Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans309 cited
  • 2014Why Do Household Portfolio Shares Rise in Wealth? ∗

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267 cited
  • 2002The Importance of Bequests and Life-Cycle Saving in Capital Accumulation: A New Answer239 cited
  • Cited by

    • 2016Default and naive diversification heuristics in annuity choice29 cited
    • 2015Optimal Annuity Purchases for Australian Retirees28 cited
    • 2018Superannuation in Australia: A Survey of the Literature25 cited
    • 2020Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods23 cited