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Lifetime investment and consumption with recursive preferences and small transaction costs
16 references·1 citing·36 second hop
Lifetime investment and consumption with recursive preferences and small transaction costs (2020)Lifetime investment and consumption with …Habit Persistence, Asset Returns, and the Business Cycle (2001)Habit Persistence, Asset Retu…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Dynamic Nonmyopic Portfolio Behavior (1996)Dynamic Nonmyopic Portfolio B…By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior (1995)By Force of Habit: A Consumpt…Stochastic Differential Utility (1992)Stochastic Differential Utili…Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…Nonexpected Utility in Macroeconomics (1990)Nonexpected Utility in Macroe…Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…Asset Prices under Habit Formation and Catching up with the Joneses (1990)Asset Prices under Habit Form…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE (1988)THE EQUITY PREMIUM PUZZLE AND…Capital Market Equilibrium with Transaction Costs (1986)Capital Market Equilibrium wi…The equity premium: A puzzle (1985)The equity premium: A puzzleDo Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…A Primer on Portfolio Choice with Small Transaction Costs (2017)A Primer on Portfolio Choice …Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)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)Investor Psychology and Asset Pricing (2001)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)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)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)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)Utility Theory for Decision Making (1971)A Smooth Model of Decision Making under Ambiguity (2005)Expected Stock Returns and Variance Risk Premia (2009)An Intertemporal Capital Asset Pricing Model (1973)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Debt, Deficits, and Finite Horizons (1985)Myopic Loss Aversion and the Equity Premium Puzzle (1993)Prospect Theory and Asset Prices (2001)Asymmetric Volatility and Risk in Equity Markets (2000)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)
this work references cited by second hop

References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1990Asset Prices under Habit Formation and Catching up with the Joneses2,021 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
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  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 1986Capital Market Equilibrium with Transaction Costs1,096 cited
  • 2001Habit Persistence, Asset Returns, and the Business Cycle1,049 cited
  • 1990Nonexpected Utility in Macroeconomics986 cited

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  • 1996Dynamic Nonmyopic Portfolio Behavior747 cited
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    • 2017A Primer on Portfolio Choice with Small Transaction Costs24 cited