SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation
16 references·16 citing·44 second hopsampled
Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation (2001)Learning about Predictability: The Effect…Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…Predictive regressions (1999)Predictive regressionsConsumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Consumption and Portfolio Dec…Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement (1992)Dividend Yields and Expected …Efficient Capital Markets: II (1991)Efficient Capital Markets: IIContinuous-Time Finance. (1991)Continuous-Time Finance.Theory of Financial Decision Making. (1988)Theory of Financial Decision …Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Dividend yields and expected stock returns (1988)Dividend yields and expected …Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Does the Stock Market Rationally Reflect Fundamental Values? (1986)Does the Stock Market Rationa…The Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)The Fiscal and Monetary Linka…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Asset returns and inflation (1977)Asset returns and inflationOptimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Forecasting stock returns under economic constraints (2014)Forecasting stock returns und…Correlation Risk and Optimal Portfolio Choice (2010)Correlation Risk and Optimal …Technical analysis: An asset allocation perspective on the use of moving averages☆ (2009)Technical analysis: An asset …Robust portfolios: contributions from operations research and finance (2009)Robust portfolios: contributi…Learning in Financial Markets (2009)Learning in Financial MarketsUK mutual fund performance: Skill or luck? (2007)UK mutual fund performance: S…The Cross-Section of Expected Trading Activity (2006)The Cross-Section of Expected…Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium (2006)Robust portfolio rules and de…Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)Model Uncertainty and Option …The Term Structure of the Risk–Return Trade-Off (2005)The Term Structure of the Ris…Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets (2005)Dynamic Consumption and Portf…A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability (2005)A Simulation Approach to Dyna…Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets (2004)Optimal Consumption and Inves…Dynamic Asset Allocation with Event Risk (2003)Dynamic Asset Allocation with…Learning, Asset‐Pricing Tests, and Market Efficiency (2002)Learning, Asset‐Pricing Tests…Dynamic Asset Allocation under Inflation (2002)Dynamic Asset Allocation unde…MONEY, INCOME, AND CAUSALITY (1972)Economic Forces and the Stock Market (1986)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)The Variation of Economic Risk Premiums (1991)Expected Stock Returns and Variance Risk Premia (2009)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)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)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Common risk factors in the returns on stocks and bonds (1993)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)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)An Engine, Not a Camera (2006)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1977Asset returns and inflation2,701 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1999Predictive regressions1,614 cited
  • 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement1,521 cited
  • 2000Investing for the Long Run when Returns Are Predictable1,372 cited
  • 1986Does the Stock Market Rationally Reflect Fundamental Values?1,149 cited
  • 1999Consumption and Portfolio Decisions when Expected Returns are Time Varying1,035 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

978 cited

Cited by

  • 2005Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets418 cited
  • 2003Dynamic Asset Allocation with Event Risk415 cited
  • 2002Dynamic Asset Allocation under Inflation411 cited
  • 2002Learning, Asset‐Pricing Tests, and Market Efficiency377 cited
  • 2006Model Uncertainty and Option Markets with Heterogeneous Beliefs346 cited
  • 2009Learning in Financial Markets338 cited
  • 2005A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability335 cited
  • 2004Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets305 cited
  • 2005The Term Structure of the Risk–Return Trade-Off294 cited
  • 2014Forecasting stock returns under economic constraints294 cited
  • 2009Technical analysis: An asset allocation perspective on the use of moving averages☆289 cited
  • 2010Correlation Risk and Optimal Portfolio Choice265 cited
  • 2006The Cross-Section of Expected Trading Activity251 cited
  • 2007UK mutual fund performance: Skill or luck?251 cited
  • 2006Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium246 cited
  • 2009Robust portfolios: contributions from operations research and finance246 cited