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Logarithmic Preferences, Myopic Decisions, and Incomplete Information
16 references·0 citing·35 second hop
Logarithmic Preferences, Myopic Decisions, and Incomplete Information (1992)Logarithmic Preferences, Myopic Decisions…Theory of Financial Decision Making. (1988)Theory of Financial Decision …Optimal Portfolio Choice Under Incomplete Information (1986)Optimal Portfolio Choice Unde…Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy (1986)Equilibrium Interest Rates an…Asset Pricing in a Production Economy with Incomplete Information (1986)Asset Pricing in a Production…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…THE STRONG CASE FOR THE GENERALIZED LOGARITHMIC UTILITY MODEL AS THE PREMIER MODEL OF FINANCIAL MARKETS (1976)THE STRONG CASE FOR THE GENER…OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966. (1975)OPTIMAL INVESTMENT AND CONSUM…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…On Optimal Myopic Portfolio Policies, with and Without Serial Correlation of Yields (1971)On Optimal Myopic Portfolio P…The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds (1970)The structure of investor pre…Optimal Multiperiod Portfolio Policies (1968)Optimal Multiperiod Portfolio…Optimal capital policy, the cost of capital, and myopic decision rules (1964)Optimal capital policy, the c…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)Liquidity Preference as Behavior Towards Risk (1958)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)A characterization of the distributions that imply mean—Variance utility functions (1983)The Rank of Demand Systems: Theory and Nonparametric Estimation (1991)Optimal positioning in derivative securities (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Asset Prices in an Exchange Economy (1978)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Portfolio Selection: Efficient Diversification of Investments (1959)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)On estimating the expected return on the market (1980)The Role of Learning in Dynamic Portfolio Decisions (1998)How Does Information Quality Affect Stock Returns? (2000)Learning, Asset‐Pricing Tests, and Market Efficiency (2002)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)The Cross-Section of Expected Stock Returns (1992)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)Theory of rational option pricing (2005)Multiperiod Consumption-Investment Decisions (1975)Universal Portfolios (1991)Aspects of Rational Insurance Purchasing (1992)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1968Optimal Multiperiod Portfolio Policies779 cited
  • 1986Optimal Portfolio Choice Under Incomplete Information436 cited
  • 1970The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds434 cited
  • 1975OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966.347 cited
  • 1986Asset Pricing in a Production Economy with Incomplete Information338 cited
  • 1986Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy263 cited
  • 1976THE STRONG CASE FOR THE GENERALIZED LOGARITHMIC UTILITY MODEL AS THE PREMIER MODEL OF FINANCIAL MARKETS

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212 cited
  • 1971On Optimal Myopic Portfolio Policies, with and Without Serial Correlation of Yields177 cited
  • 1964Optimal capital policy, the cost of capital, and myopic decision rules151 cited
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