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A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
16 references·16 citing·36 second hopsampled
A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability (2005)A Simulation Approach to Dynamic Portfoli…Strategic Asset Allocation (2002)Strategic Asset AllocationValuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Consumption and Portfolio Dec…Numerical Methods in Economics (1998)Numerical Methods in EconomicsMyopic Loss Aversion and the Equity Premium Puzzle (1995)Myopic Loss Aversion and the …Myopic Loss Aversion and the Equity Premium Puzzle (1993)Myopic Loss Aversion and the …Global Portfolio Optimization (1992)Global Portfolio OptimizationSubstitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…On estimating the expected return on the market (1980)On estimating the expected re…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 …Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …Safety First and the Holding of Assets (1952)Safety First and the Holding …Life-Cycle Asset Allocation with Ambiguity Aversion and Learning (2018)Life-Cycle Asset Allocation w…Economies of Scope, Resource Relatedness, and the Dynamics of Corporate Diversification (2017)Economies of Scope, Resource …The annuity puzzle remains a puzzle (2016)The annuity puzzle remains a …Sequential Learning, Predictability, and Optimal Portfolio Returns (2013)Sequential Learning, Predicta…Robust Portfolio Choice with Ambiguity and Learning About Return Predictability (2012)Robust Portfolio Choice with …Are Stocks Really Less Volatile in the Long Run? (2012)Are Stocks Really Less Volati…Portfolio Choice Problems (2010)Portfolio Choice ProblemsOptimal Annuity Risk Management (2010)Optimal Annuity Risk Manageme…Correlation Risk and Optimal Portfolio Choice (2010)Correlation Risk and Optimal …Bayesian Portfolio Analysis (2010)Bayesian Portfolio AnalysisWhen Can Life Cycle Investors Benefit from Time-Varying Bond Risk Premia? (2009)When Can Life Cycle Investors…Momentum and Mean Reversion in Strategic Asset Allocation (2009)Momentum and Mean Reversion i…Predictable returns and asset allocation: Should a skeptical investor time the market? (2008)Predictable returns and asset…Dynamic Portfolio Selection by Augmenting the Asset Space (2006)Dynamic Portfolio Selection b…The Term Structure of the Risk–Return Trade-Off (2005)The Term Structure of the Ris…Dynamic Portfolio Selection by Augmenting the Asset Space (2004)Dynamic Portfolio Selection b…Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)Prospect theory: An analysis of decision under risk (1988)Status quo bias in decision making (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Do Investors Trade Too Much? (1999)Familiarity Breeds Investment (2001)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)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Regression methods for pricing complex American-style options (2001)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Industry costs of equity (1997)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)On the Measurement of Poverty (1987)An Engine, Not a Camera (2006)Bank activity and funding strategies: The impact on risk and returns☆ (2010)An equilibrium characterization of the term structure (1977)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (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
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1998Numerical Methods in Economics2,587 cited
  • 1952Safety First and the Holding of Assets2,537 cited
  • 1995Myopic Loss Aversion and the Equity Premium Puzzle2,486 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1992Global Portfolio Optimization1,846 cited
  • 1993Myopic Loss Aversion and the Equity Premium Puzzle1,799 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 2000Investing for the Long Run when Returns Are Predictable1,372 cited
  • 2002Strategic Asset Allocation1,279 cited

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

  • 1999Consumption and Portfolio Decisions when Expected Returns are Time Varying1,035 cited
  • Cited by

    • 2010Portfolio Choice Problems325 cited
    • 2005The Term Structure of the Risk–Return Trade-Off294 cited
    • 2010Correlation Risk and Optimal Portfolio Choice265 cited
    • 2013Sequential Learning, Predictability, and Optimal Portfolio Returns234 cited
    • 2006Dynamic Portfolio Selection by Augmenting the Asset Space230 cited
    • 2012Are Stocks Really Less Volatile in the Long Run?226 cited
    • 2010Bayesian Portfolio Analysis178 cited
    • 2009When Can Life Cycle Investors Benefit from Time-Varying Bond Risk Premia?143 cited
    • 2008Predictable returns and asset allocation: Should a skeptical investor time the market?131 cited
    • 2012Robust Portfolio Choice with Ambiguity and Learning About Return Predictability109 cited
    • 2010Optimal Annuity Risk Management99 cited
    • 2016The annuity puzzle remains a puzzle78 cited
    • 2017Economies of Scope, Resource Relatedness, and the Dynamics of Corporate Diversification77 cited
    • 2018Life-Cycle Asset Allocation with Ambiguity Aversion and Learning76 cited
    • 2009Momentum and Mean Reversion in Strategic Asset Allocation74 cited
    • 2004Dynamic Portfolio Selection by Augmenting the Asset Space72 cited