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The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors
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The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors (1995)The Term Structure of Interest Rates in a…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Interest Rate Volatility and …Continuous-Time Finance. (1991)Continuous-Time Finance.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…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets (1972)Existence of Equilibrium of P…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Optimum Growth in an Aggregative Model of Capital Accumulation (1965)Optimum Growth in an Aggregat…On the concept of optimal economic growth (1965)On the concept of optimal eco…Stationary Ordinal Utility and Impatience (1960)Stationary Ordinal Utility an…A Contribution to the Theory of Economic Growth (1956)A Contribution to the Theory …Asset pricing with index investing (2021)Asset pricing with index inve…Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty (2014)Horizon-Dependent Risk Aversi…A Model of Monetary Policy and Risk Premia (2013)A Model of Monetary Policy an…The Lucas Orchard (2011)The Lucas OrchardThe Lucas Orchard (2011)The Lucas OrchardGeneralized Transform Analysis of Affine Processes and Applications in Finance (2011)Generalized Transform Analysi…The Representative Agent of an Economy with External Habit Formation and Heterogeneous Risk Aversion (2010)The Representative Agent of a…Asset Pricing and the Credit Market (2008)Asset Pricing and the Credit …The Market for Crash Risk (2001)The Market for Crash RiskRisk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies (2001)Risk Aversion and Optimal Por…On Kernels and Sentiment (2001)On Kernels and SentimentAn Alternative Valuation Model for Contingent Claims (1996)An Alternative Valuation Mode…Aspects of the Theory of Risk-Bearing. (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)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Introductory Econometrics for Finance (2008)Rational Expectations and the Theory of Price Movements (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Democracy and growth (1996)Determinants of Economic Growth: A Cross-Country Empirical Study (1997)Chapter 6 Institutions as a Fundamental Cause of Long-Run Growth (2005)Economic Growth in a Cross Section of Countries (1989)Endogenous Technological Change (1989)A Contribution to the Empirics of Economic Growth (1992)
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References

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  • 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model977 cited
  • 1972Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets

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