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Optimal asset allocation in a stochastic factor model – an overview and open problems
16 references·1 citing·41 second hop
Optimal asset allocation in a stochastic factor model – an overview and open problems (2009)Optimal asset allocation in a stochastic …Portfolio Selection in Stochastic Environments (2006)Portfolio Selection in Stocha…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Consumption and Portfolio Dec…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Strategic asset allocation (1997)Strategic asset allocationDynamic Nonmyopic Portfolio Behavior (1996)Dynamic Nonmyopic Portfolio B…The Risk and Predictability of International Equity Returns (1993)The Risk and Predictability o…Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…Alternative models for conditional stock volatility (1990)Alternative models for condit…Time-varying conditional covariances in tests of asset pricing models (1989)Time-varying conditional cova…Precautionary Saving in the Small and in the Large (1989)Precautionary Saving in the S…Expected stock returns and volatility (1987)Expected stock returns and vo…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 …Aspects of the Theory of Risk-Bearing. (1966)Aspects of the Theory of Risk…Portfolio management in a stochastic factor model under the existence of private information (2017)Portfolio management in a sto…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)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)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)A Theory of the Term Structure of Interest Rates (1985)Predictable Risk and Returns in Emerging Markets (1994)Market Integration and Contagion (2005)Common Risk Factors in Currency Markets (2011)Saving and Uncertainty: The Precautionary Demand for Saving (1968)Uninsured Idiosyncratic Risk and Aggregate Saving (1994)The analysis of household surveys (1997)Conditional Skewness in Asset Pricing Tests (2000)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Stock Prices and Volume (1992)Intraday periodicity and volatility persistence in financial markets (1997)Forecasting Volatility in Financial Markets: A Review (2003)An Intertemporal Capital Asset Pricing Model (1973)The equity premium: A puzzle (1985)Stock Return Predictability: Is it There? (2001)Bad Beta, Good Beta (2004)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)On the measurement of inequality (1970)Risk Aversion and Incentive Effects (2002)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1966Aspects of the Theory of Risk-Bearing.1,888 cited
  • 1989Precautionary Saving in the Small and in the Large1,498 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
  • 1993The Risk and Predictability of International Equity Returns1,065 cited
  • 1999Consumption and Portfolio Decisions when Expected Returns are Time Varying1,035 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1989Time-varying conditional covariances in tests of asset pricing models851 cited
  • 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market797 cited
  • 1996Dynamic Nonmyopic Portfolio Behavior747 cited
  • 1997Strategic asset allocation730 cited

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  • 2006Portfolio Selection in Stochastic Environments660 cited
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    • 2017Portfolio management in a stochastic factor model under the existence of private information23 cited