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Dynamic asset allocation and consumption under inflation inequality: The impacts of inflation experiences and expectations
16 references·3 citing·45 second hopsampled
Dynamic asset allocation and consumption under inflation inequality: The impacts of inflation experiences and expectations (2016)Dynamic asset allocation and consumption …Disagreement About Inflation and the Yield Curve (2015)Disagreement About Inflation …X-CAPM: An extrapolative capital asset pricing model (2014)X-CAPM: An extrapolative capi…Optimal asset allocation for DC pension plans under inflation (2012)Optimal asset allocation for …A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets (2012)A Long-Run Risks Explanation …Expectations of Inflation: The Role of Demographic Variables, Expectation Formation, and Financial Literacy (2010)Expectations of Inflation: Th…Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium (2006)Robust portfolio rules and de…Equilibrium Yield Curves (2006)Equilibrium Yield CurvesEquilibrium Yield Curves [with Comments and Discussion] (2006)Equilibrium Yield Curves [wit…INFLATION INEQUALITY IN THE UNITED STATES (2005)INFLATION INEQUALITY IN THE U…Strategic asset allocation in a continuous-time VAR model (2004)Strategic asset allocation in…Dynamic Asset Allocation under Inflation (2002)Dynamic Asset Allocation unde…The demographics of inflation opinion surveys (2001)The demographics of inflation…Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Consumption and Portfolio Dec…Stochastic Differential Utility (1992)Stochastic Differential Utili…Asset Pricing with Stochastic Differential Utility (1992)Asset Pricing with Stochastic…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…Key factors influencing household asset allocation of relocated households: A case study of Hangzhou (2022)Key factors influencing house…Migration history, hukou status, and urban household consumption (2020)Migration history, hukou stat…IT2-Based Fuzzy Hybrid Decision Making Approach to Soft Computing (2019)IT2-Based Fuzzy Hybrid Decisi…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Asset Prices in an Exchange Economy (1978)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Asset Pricing at the Millennium (2000)Robust Portfolio Rules and Asset Pricing (2004)Brownian Motion and Stochastic Calculus (2007)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A Theory of the Term Structure of Interest Rates (1985)An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks (2004)Robust control and model misspecification (2006)Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk (2008)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Beliefs, Doubts and Learning: Valuing Macroeconomic Risk (2007)Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013)Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps (2015)Coefficient Alpha and the Internal Structure of Tests (1951)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Assessing what to address in science communication (2013)Measuring Inflation Expectations (2013)Age differences in consumer financial capability (2015)The equity premium: A puzzle (1985)Noise Trader Risk in Financial Markets (1990)What is the Expected Return on the Market?* (2016)Diagnostic Expectations and Credit Cycles (2017)Five Facts about Beliefs and Portfolios (2019)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Financial Markets and the Real Economy (2005)Good and bad uncertainty: Macroeconomic and financial market implications (2015)An Intertemporal Capital Asset Pricing Model (1973)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)An equilibrium characterization of the term structure (1977)A Monte Carlo Method for Optimal Portfolios (2003)Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing (2004)Asset allocation under multivariate regime switching (2007)Rare Disasters and Exchange Rates * (2015)Bond Risk Premiums with Machine Learning (2020)
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References

  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 1999Consumption and Portfolio Decisions when Expected Returns are Time Varying1,035 cited
  • 2014X-CAPM: An extrapolative capital asset pricing model650 cited
  • 2012A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets531 cited
  • 1992Asset Pricing with Stochastic Differential Utility486 cited
  • 2002Dynamic Asset Allocation under Inflation411 cited
  • 2006Equilibrium Yield Curves306 cited
  • 2006Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium246 cited
  • 2010Expectations of Inflation: The Role of Demographic Variables, Expectation Formation, and Financial Literacy228 cited
  • 2006Equilibrium Yield Curves [with Comments and Discussion]166 cited
  • 2005INFLATION INEQUALITY IN THE UNITED STATES160 cited
  • 2015Disagreement About Inflation and the Yield Curve151 cited
  • 2001The demographics of inflation opinion surveys144 cited
  • 2012Optimal asset allocation for DC pension plans under inflation138 cited

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2004
Strategic asset allocation in a continuous-time VAR model
113 cited

Cited by

  • 2020Migration history, hukou status, and urban household consumption54 cited
  • 2019IT2-Based Fuzzy Hybrid Decision Making Approach to Soft Computing34 cited
  • 2022Key factors influencing household asset allocation of relocated households: A case study of Hangzhou16 cited