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An Isomorphism Between Asset Pricing Models With and Without Linear Habit Formation
16 references·16 citing·41 second hopsampled
An Isomorphism Between Asset Pricing Models With and Without Linear Habit Formation (2002)An Isomorphism Between Asset Pricing Mode…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES (2005)IMPLEMENTING ARROW-DEBREU EQU…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Stochastic Differential Utility (1992)Stochastic Differential Utili…Convex Duality in Constrained Portfolio Optimization (1992)Convex Duality in Constrained…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…Substitution, 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…Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth (1989)Intertemporally Dependent Pre…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Annuity and insurance choice under habit formation (2022)Annuity and insurance choice …Optimal Consumption with Reference to Past Spending Maximum (2020)Optimal Consumption with Refe…Consumption and Portfolio Choice under Internal Multiplicative Habit Formation (2019)Consumption and Portfolio Cho…Optimal retirement time under habit persistence: what makes individuals retire early? (2017)Optimal retirement time under…Optimal consumption under habit formation in markets with transaction costs and random endowments (2017)Optimal consumption under hab…Utility maximization with addictive consumption habit formation in incomplete semimartingale markets (2015)Utility maximization with add…Optimal Consumption and Portfolio Choice with Ambiguity (2014)Optimal Consumption and Portf…What is the impact of wealth shocks on asset allocation? (2012)What is the impact of wealth …Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs (2009)Utility Maximization with Hab…Life-Cycle Finance and the Design of Pension Plans (2009)Life-Cycle Finance and the De…Dynamic Portfolio Choice and Risk Aversion (2006)Dynamic Portfolio Choice and …Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation (2005)Do Wealth Fluctuations Genera…Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income (2004)Lifetime consumption-portfoli…Non-addictive habits: optimal consumption-portfolio policies (2003)Non-addictive habits: optimal…Dynamic Asset Allocation (2003)Dynamic Asset AllocationExternal Habit Formation and the Home Bias Puzzle (2002)External Habit Formation and …Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)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)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)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introductory Econometrics for Finance (2008)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)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)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)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)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)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1988Brownian Motion and Stochastic Calculus1,544 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 1992Convex Duality in Constrained Portfolio Optimization628 cited
  • 1989Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth527 cited

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2005
IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES
351 cited

Cited by

  • 2009Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs74 cited
  • 2002External Habit Formation and the Home Bias Puzzle54 cited
  • 2003Non-addictive habits: optimal consumption-portfolio policies48 cited
  • 2004Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income48 cited
  • 2009Life-Cycle Finance and the Design of Pension Plans47 cited
  • 2006Dynamic Portfolio Choice and Risk Aversion47 cited
  • 2014Optimal Consumption and Portfolio Choice with Ambiguity37 cited
  • 2015Utility maximization with addictive consumption habit formation in incomplete semimartingale markets33 cited
  • 2020Optimal Consumption with Reference to Past Spending Maximum32 cited
  • 2017Optimal consumption under habit formation in markets with transaction costs and random endowments26 cited
  • 2003Dynamic Asset Allocation23 cited
  • 2005Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation22 cited
  • 2022Annuity and insurance choice under habit formation21 cited
  • 2017Optimal retirement time under habit persistence: what makes individuals retire early?20 cited
  • 2012What is the impact of wealth shocks on asset allocation?19 cited
  • 2019Consumption and Portfolio Choice under Internal Multiplicative Habit Formation19 cited